<?xml version="1.0" encoding="UTF-8"?><edgarSubmission xmlns="http://www.sec.gov/edgar/nport" xmlns:com="http://www.sec.gov/edgar/common" xmlns:ncom="http://www.sec.gov/edgar/nportcommon" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
  <headerData>
    <submissionType>NPORT-P</submissionType>
    <isConfidential>false</isConfidential>
    <filerInfo>

      <filer>
        <issuerCredentials>
          <cik>0000810893</cik>
          <ccc>XXXXXXXX</ccc>
        </issuerCredentials>
      </filer>


      <seriesClassInfo>
        <seriesId>S000009853</seriesId>
        <classId>C000027281</classId>
      </seriesClassInfo>


    </filerInfo>
  </headerData>
  <formData>
    <genInfo>
      <regName>PIMCO Funds</regName>
      <regFileNumber>811-05028</regFileNumber>
      <regCik>0000810893</regCik>
      <regLei>5493003B5Y5GR0Y25Y76</regLei>
      <regStreet1>650 Newport Center Drive</regStreet1>
      <regCity>Newport Beach</regCity>
      <regStateConditional regCountry="US" regState="US-CA"/>
      <regZipOrPostalCode>92660</regZipOrPostalCode>
      <regPhone>(888) 877-4626</regPhone>
      <seriesName>PIMCO Mortgage and Short-Term Investments Portfolio</seriesName>
      <seriesId>S000009853</seriesId>
      <seriesLei>GQTZH3G16O0ZDGTIUS87</seriesLei>
      <repPdEnd>2024-03-31</repPdEnd>
      <repPdDate>2023-12-31</repPdDate>
      <isFinalFiling>N</isFinalFiling>
    </genInfo>
    <fundInfo>
      <totAssets>10760166751.630000</totAssets>
      <totLiabs>9361300352.150000</totLiabs>
      <netAssets>1398866399.480000</netAssets>
      <assetsAttrMiscSec>0.000000</assetsAttrMiscSec>
      <assetsInvested>0.000000</assetsInvested>
      <amtPayOneYrBanksBorr>539530201.760000</amtPayOneYrBanksBorr>
      <amtPayOneYrCtrldComp>0.000000</amtPayOneYrCtrldComp>
      <amtPayOneYrOthAffil>0.000000</amtPayOneYrOthAffil>
      <amtPayOneYrOther>0.000000</amtPayOneYrOther>
      <amtPayAftOneYrBanksBorr>0.000000</amtPayAftOneYrBanksBorr>
      <amtPayAftOneYrCtrldComp>0.000000</amtPayAftOneYrCtrldComp>
      <amtPayAftOneYrOthAffil>0.000000</amtPayAftOneYrOthAffil>
      <amtPayAftOneYrOther>0.000000</amtPayAftOneYrOther>
      <delayDeliv>0.000000</delayDeliv>
      <standByCommit>0.000000</standByCommit>
      <liquidPref>0.000000</liquidPref>
      <cshNotRptdInCorD>46140926.580000</cshNotRptdInCorD>
      <curMetrics>
        <curMetric>
          <curCd>USD</curCd>
          <intrstRtRiskdv01 period10Yr="-14629.144988" period1Yr="128176.045637" period30Yr="-39429.149402" period3Mon="1289.072646" period5Yr="1104835.955505"/>
          <intrstRtRiskdv100 period10Yr="3472561.155838" period1Yr="15972545.074395" period30Yr="-3405214.747018" period3Mon="-3567092.955301" period5Yr="136925624.347384"/>
        </curMetric>
      </curMetrics>
      <creditSprdRiskInvstGrade period10Yr="434132.694300" period1Yr="129386.131800" period30Yr="-41190.440600" period3Mon="76889.454000" period5Yr="1678593.408700"/>
      <creditSprdRiskNonInvstGrade period10Yr="5545.529100" period1Yr="4814.459800" period30Yr="97.749000" period3Mon="10401.431900" period5Yr="17652.850800"/>
      <isNonCashCollateral>N</isNonCashCollateral>
      <returnInfo>
        <monthlyTotReturns>
          <monthlyTotReturn classId="C000027281" rtn1="-4.891304" rtn2="10.428571" rtn3="7.802221"/>
        </monthlyTotReturns>
        <monthlyReturnCats>
          <creditContracts>
            <mon1 netRealizedGain="0.00" netUnrealizedAppr="0.73"/>
            <mon2 netRealizedGain="0.000000" netUnrealizedAppr="-0.820000"/>
            <mon3 netRealizedGain="0.000000" netUnrealizedAppr="0.010000"/>
            <swapCategory>
              <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.73"/>
              <instrMon2 netRealizedGain="0.000000" netUnrealizedAppr="-0.820000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="0.010000"/>
            </swapCategory>
          </creditContracts>
          <interestRtContracts>
            <mon1 netRealizedGain="7819983.20" netUnrealizedAppr="25721690.23"/>
            <mon2 netRealizedGain="14711613.460000" netUnrealizedAppr="-77357678.240000"/>
            <mon3 netRealizedGain="-2668684.200000" netUnrealizedAppr="-47455519.380000"/>
            <futureCategory>
              <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="27784517.67"/>
              <instrMon2 netRealizedGain="14536195.120000" netUnrealizedAppr="-63612304.570000"/>
              <instrMon3 netRealizedGain="-738509.800000" netUnrealizedAppr="-43654315.440000"/>
            </futureCategory>
            <optionCategory>
              <instrMon1 netRealizedGain="882812.52" netUnrealizedAppr="1729005.30"/>
              <instrMon2 netRealizedGain="-63328.130000" netUnrealizedAppr="-3794897.750000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="723839.660000"/>
            </optionCategory>
            <swaptionCategory>
              <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="1425920.18"/>
              <instrMon2 netRealizedGain="238746.470000" netUnrealizedAppr="-5418207.020000"/>
              <instrMon3 netRealizedGain="-1930174.400000" netUnrealizedAppr="-1729549.570000"/>
            </swaptionCategory>
            <swapCategory>
              <instrMon1 netRealizedGain="6937170.68" netUnrealizedAppr="-5217752.92"/>
              <instrMon2 netRealizedGain="0.000000" netUnrealizedAppr="-4532268.900000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="-2795494.030000"/>
            </swapCategory>
          </interestRtContracts>
        </monthlyReturnCats>
        <othMon1 netRealizedGain="-103018569.47" netUnrealizedAppr="1596923.66"/>
        <othMon2 netRealizedGain="30603659.020000" netUnrealizedAppr="150436749.540000"/>
        <othMon3 netRealizedGain="96823035.140000" netUnrealizedAppr="52846785.290000"/>
      </returnInfo>
      <mon1Flow redemption="-19662164.040000" reinvestment="0.000000" sales="12270000.000000"/>
      <mon2Flow redemption="-5162600.000000" reinvestment="0.000000" sales="470000.000000"/>
      <mon3Flow redemption="-18234789.740000" reinvestment="31557197.360000" sales="8324244.000000"/>

      <varInfo>


      </varInfo>
    </fundInfo>
    <invstOrSecs>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZK8509 FR 01/32 FIXED 2.5</title>
        <cusip>3131XCN29</cusip>
        <identifiers>
          <isin value="US3131XCN295"/>
        </identifiers>
        <balance>426673.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>402160.200000</valUSD>
        <pctVal>0.028749</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THRU SEC T-35</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 35 A</title>
        <cusip>313398VT3</cusip>
        <identifiers>
          <isin value="US313398VT33"/>
        </identifiers>
        <balance>38571.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38731.330000</valUSD>
        <pctVal>0.0027688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73191</annualizedRt>
          <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 2015-166</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA</title>
        <cusip>38379FDK2</cusip>
        <identifiers>
          <isin value="US38379FDK21"/>
        </identifiers>
        <balance>548779.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16885.330000</valUSD>
        <pctVal>0.0012071</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>
        </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 008482 G2 08/24 FLOATING VAR</title>
        <cusip>36202KM77</cusip>
        <identifiers>
          <isin value="US36202KM772"/>
        </identifiers>
        <balance>651.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>649.760000</valUSD>
        <pctVal>0.0000464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781630 GN 07/33 FIXED 5.5</title>
        <cusip>36225BY36</cusip>
        <identifiers>
          <isin value="US36225BY363"/>
        </identifiers>
        <balance>544.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>550.470000</valUSD>
        <pctVal>0.0000394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</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>31750NBE5 OTC EPUT FN 5.0 FEB24 96.8125 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50990"/>
        </identifiers>
        <balance>-58000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-109550.400000</valUSD>
        <pctVal>-0.0078314</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>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506273"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>96.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>44512.100000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 G01818 FG 05/35 FIXED 5</title>
        <cusip>3128LXAT7</cusip>
        <identifiers>
          <isin value="US3128LXAT79"/>
        </identifiers>
        <balance>960077.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>977349.380000</valUSD>
        <pctVal>0.0698672</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 255894 FN 10/25 FIXED 5</title>
        <cusip>31371MGB7</cusip>
        <identifiers>
          <isin value="US31371MGB72"/>
        </identifiers>
        <balance>7311.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7234.770000</valUSD>
        <pctVal>0.0005172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 710859 GN 09/39 FIXED 5</title>
        <cusip>36297FWU2</cusip>
        <identifiers>
          <isin value="US36297FWU29"/>
        </identifiers>
        <balance>38431.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38836.490000</valUSD>
        <pctVal>0.0027763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080112 G2 09/27 FLOATING VAR</title>
        <cusip>36225CDS2</cusip>
        <identifiers>
          <isin value="US36225CDS26"/>
        </identifiers>
        <balance>1372.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1358.510000</valUSD>
        <pctVal>0.0000971</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 758789 FN 12/33 FIXED 5.5</title>
        <cusip>31403U7A3</cusip>
        <identifiers>
          <isin value="US31403U7A33"/>
        </identifiers>
        <balance>5964.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6144.080000</valUSD>
        <pctVal>0.0004392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 770170 FN 03/34 FIXED 6</title>
        <cusip>31404JT39</cusip>
        <identifiers>
          <isin value="US31404JT396"/>
        </identifiers>
        <balance>5104.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5278.120000</valUSD>
        <pctVal>0.0003773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05087 FG 01/37 FIXED 5</title>
        <cusip>3128M66Y9</cusip>
        <identifiers>
          <isin value="US3128M66Y99"/>
        </identifiers>
        <balance>2702.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2751.380000</valUSD>
        <pctVal>0.0001967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A38837 FG 05/35 FIXED 4.5</title>
        <cusip>31297UZA1</cusip>
        <identifiers>
          <isin value="US31297UZA14"/>
        </identifiers>
        <balance>62199.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62436.340000</valUSD>
        <pctVal>0.0044634</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>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 757021 FN 04/34 FIXED 5.5</title>
        <cusip>31403TAW4</cusip>
        <identifiers>
          <isin value="US31403TAW45"/>
        </identifiers>
        <balance>17429.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17955.930000</valUSD>
        <pctVal>0.0012836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FANNIE MAE REMICS 2016-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 63 YI</title>
        <cusip>3136ATXU3</cusip>
        <identifiers>
          <isin value="US3136ATXU37"/>
        </identifiers>
        <balance>277309.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20536.120000</valUSD>
        <pctVal>0.0014681</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</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>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA6354 FR 11/51 FIXED 3.5</title>
        <cusip>3133KNBX0</cusip>
        <identifiers>
          <isin value="US3133KNBX03"/>
        </identifiers>
        <balance>929949.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>854186.380000</valUSD>
        <pctVal>0.0610628</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BI1270 GN 08/48 FIXED 4</title>
        <cusip>3617HAMT1</cusip>
        <identifiers>
          <isin value="US3617HAMT19"/>
        </identifiers>
        <balance>223085.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220462.960000</valUSD>
        <pctVal>0.0157601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 758788 FN 12/33 FIXED 5.5</title>
        <cusip>31403U6Z9</cusip>
        <identifiers>
          <isin value="US31403U6Z92"/>
        </identifiers>
        <balance>21654.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22307.820000</valUSD>
        <pctVal>0.0015947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF4034 G2 02/48 FIXED 3.5</title>
        <cusip>3617GAPT9</cusip>
        <identifiers>
          <isin value="US3617GAPT90"/>
        </identifiers>
        <balance>804861.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>741443.550000</valUSD>
        <pctVal>0.0530032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</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 POOL 004715 G2 06/40 FIXED 5</title>
        <cusip>36202FGY6</cusip>
        <identifiers>
          <isin value="US36202FGY60"/>
        </identifiers>
        <balance>964164.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>981836.740000</valUSD>
        <pctVal>0.070188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008410 G2 04/24 FLOATING VAR</title>
        <cusip>36202KKX2</cusip>
        <identifiers>
          <isin value="US36202KKX27"/>
        </identifiers>
        <balance>242.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>241.960000</valUSD>
        <pctVal>0.0000173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 808202 FN 01/35 FIXED 5.5</title>
        <cusip>31406E3K8</cusip>
        <identifiers>
          <isin value="US31406E3K81"/>
        </identifiers>
        <balance>26124.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26912.360000</valUSD>
        <pctVal>0.0019239</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>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>CIFC FUNDING LTD 2014-3A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2014 3A A1R2 144A</title>
        <cusip>12549QBA2</cusip>
        <identifiers>
          <isin value="US12549QBA22"/>
        </identifiers>
        <balance>3650000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3654587.170000</valUSD>
        <pctVal>0.261254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.87354</annualizedRt>
          <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 AS8509 FN 12/46 FIXED 3</title>
        <cusip>3138WJN38</cusip>
        <identifiers>
          <isin value="US3138WJN388"/>
        </identifiers>
        <balance>5696143.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5186981.890000</valUSD>
        <pctVal>0.370799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2266</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2266 F</title>
        <cusip>3133TQFM4</cusip>
        <identifiers>
          <isin value="US3133TQFM42"/>
        </identifiers>
        <balance>36.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36.150000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735642 FN 08/42 FLOATING VAR</title>
        <cusip>31402RHT9</cusip>
        <identifiers>
          <isin value="US31402RHT95"/>
        </identifiers>
        <balance>152410.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147726.390000</valUSD>
        <pctVal>0.0105604</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 920731 FN 01/37 FIXED 6</title>
        <cusip>31412B4Q2</cusip>
        <identifiers>
          <isin value="US31412B4Q21"/>
        </identifiers>
        <balance>5313.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5491.390000</valUSD>
        <pctVal>0.0003926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 598543 GN 04/35 FIXED 5.5</title>
        <cusip>36200D5C3</cusip>
        <identifiers>
          <isin value="US36200D5C34"/>
        </identifiers>
        <balance>320.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>322.090000</valUSD>
        <pctVal>0.000023</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>5.5</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 772297 FN 03/34 FIXED 5.5</title>
        <cusip>31404L7J3</cusip>
        <identifiers>
          <isin value="US31404L7J31"/>
        </identifiers>
        <balance>3384.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3451.740000</valUSD>
        <pctVal>0.0002468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 804158 FN 12/34 FIXED 5.5</title>
        <cusip>31406AMF6</cusip>
        <identifiers>
          <isin value="US31406AMF65"/>
        </identifiers>
        <balance>14602.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15046.930000</valUSD>
        <pctVal>0.0010757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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 A83000 FG 11/38 FIXED 5.5</title>
        <cusip>312929KM3</cusip>
        <identifiers>
          <isin value="US312929KM33"/>
        </identifiers>
        <balance>21286.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21961.460000</valUSD>
        <pctVal>0.0015699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM7070 FN 04/51 FIXED VAR</title>
        <cusip>3140XA2C5</cusip>
        <identifiers>
          <isin value="US3140XA2C52"/>
        </identifiers>
        <balance>5065124.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4559999.490000</valUSD>
        <pctVal>0.325978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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 780443 FH 03/33 FLOATING VAR</title>
        <cusip>31342AP45</cusip>
        <identifiers>
          <isin value="US31342AP452"/>
        </identifiers>
        <balance>33030.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33529.700000</valUSD>
        <pctVal>0.0023969</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.293</annualizedRt>
          <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 060680 FN 02/28 FLOATING VAR</title>
        <cusip>31362GM57</cusip>
        <identifiers>
          <isin value="US31362GM579"/>
        </identifiers>
        <balance>9659.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9428.730000</valUSD>
        <pctVal>0.000674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.508</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRATUS CLO 2021-2A LTD</name>
        <lei>N/A</lei>
        <title>STRATUS CLO STRAS 2021 2A A 144A</title>
        <cusip>86315TAA3</cusip>
        <identifiers>
          <isin value="US86315TAA34"/>
        </identifiers>
        <balance>3076486.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3060061.050000</valUSD>
        <pctVal>0.218753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.57743</annualizedRt>
          <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 755411 FH 02/27 FLOATING VAR</title>
        <cusip>31349HAL1</cusip>
        <identifiers>
          <isin value="US31349HAL15"/>
        </identifiers>
        <balance>17109.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16908.870000</valUSD>
        <pctVal>0.0012088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.518</annualizedRt>
          <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 A77808 FG 05/38 FIXED 5.5</title>
        <cusip>3128LBU97</cusip>
        <identifiers>
          <isin value="US3128LBU970"/>
        </identifiers>
        <balance>15400.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15849.570000</valUSD>
        <pctVal>0.001133</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI1821 FN 05/41 FIXED 4.5</title>
        <cusip>3138AFAX8</cusip>
        <identifiers>
          <isin value="US3138AFAX84"/>
        </identifiers>
        <balance>38454.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37210.670000</valUSD>
        <pctVal>0.0026601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 764480 GN 05/41 FIXED 5</title>
        <cusip>36176FCR7</cusip>
        <identifiers>
          <isin value="US36176FCR73"/>
        </identifiers>
        <balance>4588.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4571.390000</valUSD>
        <pctVal>0.0003268</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 433689 GN 04/28 FIXED 7</title>
        <cusip>36207JXS7</cusip>
        <identifiers>
          <isin value="US36207JXS76"/>
        </identifiers>
        <balance>93.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93.350000</valUSD>
        <pctVal>0.0000067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U1YBA3 PIMCO SWAPTION 2.04 CALL USD 2024011</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0025JL0"/>
        </identifiers>
        <balance>16900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1.690000</valUSD>
        <pctVal>0.0000001</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>Call</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/2.04000 01/16/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01O1M5"/>
                    </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/2.04000 01/16/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01O1M5"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.040000"/>
                  <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>2034-01-16</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>2.040000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-161393.310000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 C71288 FG 09/32 FIXED 5.5</title>
        <cusip>31287YND2</cusip>
        <identifiers>
          <isin value="US31287YND21"/>
        </identifiers>
        <balance>2841.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2930.960000</valUSD>
        <pctVal>0.0002095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB2301 FN 12/51 FIXED 3</title>
        <cusip>3140QMRX4</cusip>
        <identifiers>
          <isin value="US3140QMRX43"/>
        </identifiers>
        <balance>4318371.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3821143.840000</valUSD>
        <pctVal>0.27316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-28</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 28 YS</title>
        <cusip>3136AC5B3</cusip>
        <identifiers>
          <isin value="US3136AC5B37"/>
        </identifiers>
        <balance>3303251.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>415269.590000</valUSD>
        <pctVal>0.0296862</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.69809</annualizedRt>
          <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 BN0932 FN 12/48 FIXED 4</title>
        <cusip>3140JHBA0</cusip>
        <identifiers>
          <isin value="US3140JHBA02"/>
        </identifiers>
        <balance>2846437.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2737593.350000</valUSD>
        <pctVal>0.195701</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <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 254146 FN 01/32 FIXED 6</title>
        <cusip>31371KHX2</cusip>
        <identifiers>
          <isin value="US31371KHX28"/>
        </identifiers>
        <balance>2525.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2613.810000</valUSD>
        <pctVal>0.0001869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-01</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>JP MORGAN MORTGAGE TRUST 2021-INV8</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A</title>
        <cusip>46654RAG7</cusip>
        <identifiers>
          <isin value="US46654RAG74"/>
        </identifiers>
        <balance>6927151.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5940430.960000</valUSD>
        <pctVal>0.42466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-05-25</maturityDt>
          <couponKind>Variable</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>MOUNTAIN VIEW CLO LLC 2017-2A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A</title>
        <cusip>62432LAL5</cusip>
        <identifiers>
          <isin value="US62432LAL53"/>
        </identifiers>
        <balance>432976.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>432868.470000</valUSD>
        <pctVal>0.0309442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.69548</annualizedRt>
          <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 A40118 FG 11/35 FIXED 4.5</title>
        <cusip>3128K0DX8</cusip>
        <identifiers>
          <isin value="US3128K0DX81"/>
        </identifiers>
        <balance>2297.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2256.210000</valUSD>
        <pctVal>0.0001613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W13</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2003 W13 AV2</title>
        <cusip>31393C7G2</cusip>
        <identifiers>
          <isin value="US31393C7G20"/>
        </identifiers>
        <balance>8.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8.340000</valUSD>
        <pctVal>0.0000006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.72257</annualizedRt>
          <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 G01820 FG 06/35 FIXED 5.5</title>
        <cusip>3128LXAV2</cusip>
        <identifiers>
          <isin value="US3128LXAV26"/>
        </identifiers>
        <balance>1471281.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1517827.960000</valUSD>
        <pctVal>0.108504</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>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 786513 FH 07/28 FLOATING VAR</title>
        <cusip>31295KGW8</cusip>
        <identifiers>
          <isin value="US31295KGW80"/>
        </identifiers>
        <balance>48725.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48319.730000</valUSD>
        <pctVal>0.0034542</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>Floating</couponKind>
          <annualizedRt>5.171</annualizedRt>
          <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 G03865 FG 12/37 FIXED 5.5</title>
        <cusip>3128M5TW0</cusip>
        <identifiers>
          <isin value="US3128M5TW02"/>
        </identifiers>
        <balance>10983.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11331.430000</valUSD>
        <pctVal>0.00081</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 700829 GN 10/38 FIXED 5.5</title>
        <cusip>36296TSS3</cusip>
        <identifiers>
          <isin value="US36296TSS32"/>
        </identifiers>
        <balance>1546.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1552.710000</valUSD>
        <pctVal>0.000111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE1638 G2 12/47 FIXED 4</title>
        <cusip>3617BUZB8</cusip>
        <identifiers>
          <isin value="US3617BUZB81"/>
        </identifiers>
        <balance>553829.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>546460.850000</valUSD>
        <pctVal>0.0390645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-20</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>MERRILL LYNCH MORTGAGE INVESTO-2006-RM5</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A</title>
        <cusip>59023FAA3</cusip>
        <identifiers>
          <isin value="US59023FAA30"/>
        </identifiers>
        <balance>971987.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150578.000000</valUSD>
        <pctVal>0.0107643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.59043</annualizedRt>
          <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 734431 GN 05/41 FIXED 4.5</title>
        <cusip>3620AM4Q2</cusip>
        <identifiers>
          <isin value="US3620AM4Q25"/>
        </identifiers>
        <balance>2767.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2741.060000</valUSD>
        <pctVal>0.0001959</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>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 609969 FH 10/24 FLOATING VAR</title>
        <cusip>31354SCE3</cusip>
        <identifiers>
          <isin value="US31354SCE37"/>
        </identifiers>
        <balance>1419.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1410.360000</valUSD>
        <pctVal>0.0001008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0250 FN 11/39 FIXED 5</title>
        <cusip>31417YH42</cusip>
        <identifiers>
          <isin value="US31417YH426"/>
        </identifiers>
        <balance>17230.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17016.700000</valUSD>
        <pctVal>0.0012165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080657 G2 12/32 FLOATING VAR</title>
        <cusip>36225CWT9</cusip>
        <identifiers>
          <isin value="US36225CWT97"/>
        </identifiers>
        <balance>235813.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232454.180000</valUSD>
        <pctVal>0.0166173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 931950 FN 01/37 FIXED 6.5</title>
        <cusip>31412QL72</cusip>
        <identifiers>
          <isin value="US31412QL722"/>
        </identifiers>
        <balance>10231.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10835.350000</valUSD>
        <pctVal>0.0007746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 AZ3519 G2 06/47 FIXED 3.5</title>
        <cusip>36197F4C4</cusip>
        <identifiers>
          <isin value="US36197F4C46"/>
        </identifiers>
        <balance>714526.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>674122.060000</valUSD>
        <pctVal>0.0481906</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>3.5</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 783610 GN 11/41 FIXED 4.5</title>
        <cusip>3622A2AK8</cusip>
        <identifiers>
          <isin value="US3622A2AK80"/>
        </identifiers>
        <balance>14441.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14367.230000</valUSD>
        <pctVal>0.0010271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</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 G08175 FG 01/37 FIXED 6.5</title>
        <cusip>3128MJFR6</cusip>
        <identifiers>
          <isin value="US3128MJFR65"/>
        </identifiers>
        <balance>12685.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13417.450000</valUSD>
        <pctVal>0.0009592</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A46767 FG 09/35 FIXED 5.5</title>
        <cusip>3128K7QU5</cusip>
        <identifiers>
          <isin value="US3128K7QU58"/>
        </identifiers>
        <balance>4669.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4818.420000</valUSD>
        <pctVal>0.0003445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 783231 FN 09/34 FIXED 6</title>
        <cusip>31405AEC3</cusip>
        <identifiers>
          <isin value="US31405AEC36"/>
        </identifiers>
        <balance>11418.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11863.760000</valUSD>
        <pctVal>0.0008481</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 POOL 655251 GN 10/36 FIXED 6.5</title>
        <cusip>36294N5L8</cusip>
        <identifiers>
          <isin value="US36294N5L84"/>
        </identifiers>
        <balance>2388.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2500.010000</valUSD>
        <pctVal>0.0001787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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>COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3</title>
        <cusip>02146VAC6</cusip>
        <identifiers>
          <isin value="US02146VAC63"/>
        </identifiers>
        <balance>572312.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>433252.620000</valUSD>
        <pctVal>0.0309717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A</title>
        <cusip>929227QB5</cusip>
        <identifiers>
          <isin value="US929227QB55"/>
        </identifiers>
        <balance>73300.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67142.760000</valUSD>
        <pctVal>0.0047998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.4118</annualizedRt>
          <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 905380 FN 11/36 FIXED 6.5</title>
        <cusip>31411D2M0</cusip>
        <identifiers>
          <isin value="US31411D2M09"/>
        </identifiers>
        <balance>283107.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>298544.970000</valUSD>
        <pctVal>0.0213419</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>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 552114 GN 10/31 FIXED 7.5</title>
        <cusip>36213EK39</cusip>
        <identifiers>
          <isin value="US36213EK396"/>
        </identifiers>
        <balance>654.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>665.380000</valUSD>
        <pctVal>0.0000476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</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>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"/>
        </identifiers>
        <balance>35207.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33039.440000</valUSD>
        <pctVal>0.0023619</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 5034</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 5034 MI</title>
        <cusip>3137F6K55</cusip>
        <identifiers>
          <isin value="US3137F6K554"/>
        </identifiers>
        <balance>6118948.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>760672.220000</valUSD>
        <pctVal>0.0543778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 626921 GN 03/45 FIXED 3</title>
        <cusip>36291FPE2</cusip>
        <identifiers>
          <isin value="US36291FPE24"/>
        </identifiers>
        <balance>384498.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345357.890000</valUSD>
        <pctVal>0.0246884</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>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 535708 FN 02/31 FIXED VAR</title>
        <cusip>31384WDM9</cusip>
        <identifiers>
          <isin value="US31384WDM91"/>
        </identifiers>
        <balance>92.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95.960000</valUSD>
        <pctVal>0.0000069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</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>ELLINGTON LOAN ACQUISITION TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A</title>
        <cusip>288542AA1</cusip>
        <identifiers>
          <isin value="US288542AA12"/>
        </identifiers>
        <balance>399812.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>385411.710000</valUSD>
        <pctVal>0.0275517</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.57043</annualizedRt>
          <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-1775</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1775 Z</title>
        <cusip>3133T6BZ3</cusip>
        <identifiers>
          <isin value="US3133T6BZ37"/>
        </identifiers>
        <balance>3856.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3897.010000</valUSD>
        <pctVal>0.0002786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008686 G2 08/25 FLOATING VAR</title>
        <cusip>36202KUK9</cusip>
        <identifiers>
          <isin value="US36202KUK95"/>
        </identifiers>
        <balance>5097.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5036.190000</valUSD>
        <pctVal>0.00036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0313 G2 08/42 FIXED 4</title>
        <cusip>36179MK25</cusip>
        <identifiers>
          <isin value="US36179MK251"/>
        </identifiers>
        <balance>22762.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21818.490000</valUSD>
        <pctVal>0.0015597</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-20</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 672937 GN 08/38 FIXED 6</title>
        <cusip>36295KS20</cusip>
        <identifiers>
          <isin value="US36295KS203"/>
        </identifiers>
        <balance>20944.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21693.100000</valUSD>
        <pctVal>0.0015508</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</annualizedRt>
          <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 C90823 FG 04/24 FIXED 5</title>
        <cusip>31335H4G5</cusip>
        <identifiers>
          <isin value="US31335H4G56"/>
        </identifiers>
        <balance>567.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>564.920000</valUSD>
        <pctVal>0.0000404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 608150 GN 04/33 FIXED 5.5</title>
        <cusip>36202STF5</cusip>
        <identifiers>
          <isin value="US36202STF55"/>
        </identifiers>
        <balance>18008.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18208.710000</valUSD>
        <pctVal>0.0013017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA6009 FN 05/50 FIXED 3.5</title>
        <cusip>3140QDVB7</cusip>
        <identifiers>
          <isin value="US3140QDVB77"/>
        </identifiers>
        <balance>300375.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277900.300000</valUSD>
        <pctVal>0.0198661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735649 FN 12/32 FIXED VAR</title>
        <cusip>31402RH28</cusip>
        <identifiers>
          <isin value="US31402RH281"/>
        </identifiers>
        <balance>8358.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8668.370000</valUSD>
        <pctVal>0.0006197</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>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 764548 FN 03/34 FIXED 5.5</title>
        <cusip>31404CL57</cusip>
        <identifiers>
          <isin value="US31404CL570"/>
        </identifiers>
        <balance>7182.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7333.410000</valUSD>
        <pctVal>0.0005242</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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 A36995 FG 09/35 FIXED 5.5</title>
        <cusip>31297SXY6</cusip>
        <identifiers>
          <isin value="US31297SXY61"/>
        </identifiers>
        <balance>24422.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25194.150000</valUSD>
        <pctVal>0.001801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>MORTGAGE EQUITY CONVER ASSET TR 2007-FF2</name>
        <lei>N/A</lei>
        <title>MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF2 A 144A</title>
        <cusip>61911CAA1</cusip>
        <identifiers>
          <isin value="US61911CAA18"/>
        </identifiers>
        <balance>996789.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>974682.000000</valUSD>
        <pctVal>0.0696766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.29</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 899732 FN 09/37 FIXED 6.5</title>
        <cusip>31410WSV1</cusip>
        <identifiers>
          <isin value="US31410WSV18"/>
        </identifiers>
        <balance>16730.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17459.950000</valUSD>
        <pctVal>0.0012481</pctVal>
        <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>
          <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 811773 FN 01/35 FIXED 5.5</title>
        <cusip>31406J2E2</cusip>
        <identifiers>
          <isin value="US31406J2E22"/>
        </identifiers>
        <balance>6632.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6833.290000</valUSD>
        <pctVal>0.0004885</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BG3914 G2 05/48 FIXED 3.5</title>
        <cusip>3617GNK33</cusip>
        <identifiers>
          <isin value="US3617GNK333"/>
        </identifiers>
        <balance>618648.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>583665.530000</valUSD>
        <pctVal>0.0417242</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-20</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 POOL BE1670 G2 06/48 FIXED 4</title>
        <cusip>3617BU2B4</cusip>
        <identifiers>
          <isin value="US3617BU2B47"/>
        </identifiers>
        <balance>409929.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>404473.990000</valUSD>
        <pctVal>0.0289144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</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 599357 GN 01/33 FIXED 5.5</title>
        <cusip>36200EZW4</cusip>
        <identifiers>
          <isin value="US36200EZW47"/>
        </identifiers>
        <balance>3857.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3900.520000</valUSD>
        <pctVal>0.0002788</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 652847 FN 09/32 FIXED 6</title>
        <cusip>31390QHY4</cusip>
        <identifiers>
          <isin value="US31390QHY44"/>
        </identifiers>
        <balance>15909.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16397.250000</valUSD>
        <pctVal>0.0011722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A98016 FG 06/39 FIXED 4.5</title>
        <cusip>3129463Z7</cusip>
        <identifiers>
          <isin value="US3129463Z76"/>
        </identifiers>
        <balance>24139.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24381.400000</valUSD>
        <pctVal>0.0017429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BJ4127 G2 10/48 FIXED 4.5</title>
        <cusip>3617HRSQ4</cusip>
        <identifiers>
          <isin value="US3617HRSQ41"/>
        </identifiers>
        <balance>62644.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60953.010000</valUSD>
        <pctVal>0.0043573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 271286 FN 02/24 FLOATING VAR</title>
        <cusip>31372FJ77</cusip>
        <identifiers>
          <isin value="US31372FJ774"/>
        </identifiers>
        <balance>1100.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1096.030000</valUSD>
        <pctVal>0.0000784</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.72</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080092 G2 07/27 FLOATING VAR</title>
        <cusip>36225CC61</cusip>
        <identifiers>
          <isin value="US36225CC615"/>
        </identifiers>
        <balance>1279.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1257.540000</valUSD>
        <pctVal>0.0000899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91249 FG 05/29 FIXED 4.5</title>
        <cusip>3128P7L68</cusip>
        <identifiers>
          <isin value="US3128P7L682"/>
        </identifiers>
        <balance>861482.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>855621.900000</valUSD>
        <pctVal>0.0611654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784295 G2 03/47 FIXED 3.5</title>
        <cusip>3622A2XY3</cusip>
        <identifiers>
          <isin value="US3622A2XY38"/>
        </identifiers>
        <balance>6923372.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6515120.270000</valUSD>
        <pctVal>0.465743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735806 FN 06/35 FLOATING VAR</title>
        <cusip>31402RNX3</cusip>
        <identifiers>
          <isin value="US31402RNX34"/>
        </identifiers>
        <balance>18399.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18287.150000</valUSD>
        <pctVal>0.0013073</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>4.912</annualizedRt>
          <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 AH9863 FN 04/26 FIXED 4</title>
        <cusip>3138AB5Z8</cusip>
        <identifiers>
          <isin value="US3138AB5Z86"/>
        </identifiers>
        <balance>4638.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4551.500000</valUSD>
        <pctVal>0.0003254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</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 II POOL 005303 G2 02/42 FIXED 4</title>
        <cusip>36202F3L8</cusip>
        <identifiers>
          <isin value="US36202F3L85"/>
        </identifiers>
        <balance>10386.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9980.350000</valUSD>
        <pctVal>0.0007135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-20</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>RESIDENTIAL FUNDING MTGE SEC 2005-SA4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21</title>
        <cusip>76111XYD9</cusip>
        <identifiers>
          <isin value="US76111XYD91"/>
        </identifiers>
        <balance>620246.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>413841.630000</valUSD>
        <pctVal>0.0295841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.09079</annualizedRt>
          <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 AR2152 FN 02/43 FIXED 4</title>
        <cusip>3138NYMA0</cusip>
        <identifiers>
          <isin value="US3138NYMA06"/>
        </identifiers>
        <balance>62987.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61452.220000</valUSD>
        <pctVal>0.004393</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 781339 GN 09/31 FIXED 8</title>
        <cusip>36225BPY8</cusip>
        <identifiers>
          <isin value="US36225BPY82"/>
        </identifiers>
        <balance>2052.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2211.660000</valUSD>
        <pctVal>0.0001581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC ARM TRUST 2001-H2</name>
        <lei>N/A</lei>
        <title>INDYMAC ARM TRUST INARM 2001 H2 A2</title>
        <cusip>45660UAT6</cusip>
        <identifiers>
          <isin value="US45660UAT60"/>
        </identifiers>
        <balance>1484.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1363.670000</valUSD>
        <pctVal>0.0000975</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>5.54492</annualizedRt>
          <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 AZ1909 FN 06/45 FIXED 3</title>
        <cusip>3138YTDP6</cusip>
        <identifiers>
          <isin value="US3138YTDP61"/>
        </identifiers>
        <balance>27727.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25005.460000</valUSD>
        <pctVal>0.0017876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS5159 FN 06/30 FIXED 3</title>
        <cusip>3138WEWV7</cusip>
        <identifiers>
          <isin value="US3138WEWV77"/>
        </identifiers>
        <balance>19610.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18858.480000</valUSD>
        <pctVal>0.0013481</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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>BANK OF AMERICA MTG SEC 2002-E</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 E A1</title>
        <cusip>06050HJH2</cusip>
        <identifiers>
          <isin value="US06050HJH21"/>
        </identifiers>
        <balance>30481.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29379.850000</valUSD>
        <pctVal>0.0021003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.04258</annualizedRt>
          <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 G06614 FG 12/35 FIXED 5</title>
        <cusip>3128M8VF8</cusip>
        <identifiers>
          <isin value="US3128M8VF89"/>
        </identifiers>
        <balance>48647.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49522.540000</valUSD>
        <pctVal>0.0035402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A47293 FG 10/35 FIXED 5.5</title>
        <cusip>3128K8C61</cusip>
        <identifiers>
          <isin value="US3128K8C619"/>
        </identifiers>
        <balance>26882.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27628.160000</valUSD>
        <pctVal>0.001975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</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 QD9433 FR 03/52 FIXED 3</title>
        <cusip>3133B7PS1</cusip>
        <identifiers>
          <isin value="US3133B7PS11"/>
        </identifiers>
        <balance>494579.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>437719.500000</valUSD>
        <pctVal>0.031291</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>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 BH9574 FN 09/47 FIXED 3.5</title>
        <cusip>3140GYT82</cusip>
        <identifiers>
          <isin value="US3140GYT821"/>
        </identifiers>
        <balance>739992.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>685700.360000</valUSD>
        <pctVal>0.0490183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 678132 FN 01/33 FIXED 6</title>
        <cusip>31391VLM3</cusip>
        <identifiers>
          <isin value="US31391VLM36"/>
        </identifiers>
        <balance>498.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>512.250000</valUSD>
        <pctVal>0.0000366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>COUNTRYWIDE HOME LOANS 2005-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1</title>
        <cusip>12669GTV3</cusip>
        <identifiers>
          <isin value="US12669GTV31"/>
        </identifiers>
        <balance>15156.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13475.240000</valUSD>
        <pctVal>0.0009633</pctVal>
        <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>
          <annualizedRt>6.05043</annualizedRt>
          <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 675394 GN 05/38 FIXED 6.5</title>
        <cusip>36295NKF3</cusip>
        <identifiers>
          <isin value="US36295NKF32"/>
        </identifiers>
        <balance>81527.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83785.370000</valUSD>
        <pctVal>0.0059895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</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 697572 GN 11/38 FIXED 5</title>
        <cusip>36296P6H9</cusip>
        <identifiers>
          <isin value="US36296P6H97"/>
        </identifiers>
        <balance>195645.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197417.290000</valUSD>
        <pctVal>0.0141127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD8163 G2 12/47 FIXED 3.5</title>
        <cusip>3617BQB80</cusip>
        <identifiers>
          <isin value="US3617BQB807"/>
        </identifiers>
        <balance>491599.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>464562.110000</valUSD>
        <pctVal>0.0332099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-20</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 746066 GN 04/41 FIXED 4.5</title>
        <cusip>3620C1Z74</cusip>
        <identifiers>
          <isin value="US3620C1Z741"/>
        </identifiers>
        <balance>237953.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>236354.310000</valUSD>
        <pctVal>0.0168961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-15</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 STRUCTURED PASS THRU SEC T-59</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1</title>
        <cusip>31394PPQ0</cusip>
        <identifiers>
          <isin value="US31394PPQ09"/>
        </identifiers>
        <balance>138141.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>141788.750000</valUSD>
        <pctVal>0.010136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 808413 FN 01/35 FIXED 5.5</title>
        <cusip>31406FDS7</cusip>
        <identifiers>
          <isin value="US31406FDS74"/>
        </identifiers>
        <balance>9951.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10121.160000</valUSD>
        <pctVal>0.0007235</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782350 GN 06/38 FIXED 5.5</title>
        <cusip>36241KTF5</cusip>
        <identifiers>
          <isin value="US36241KTF56"/>
        </identifiers>
        <balance>49692.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50251.060000</valUSD>
        <pctVal>0.0035923</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</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>MASTR SEASONED SECURITIES TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>MASTR SEASONED SECURITIZATION MSSTR 2005 1 3A1</title>
        <cusip>55265WCJ0</cusip>
        <identifiers>
          <isin value="US55265WCJ09"/>
        </identifiers>
        <balance>48866.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43459.680000</valUSD>
        <pctVal>0.0031068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.84445</annualizedRt>
          <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 503934 FN 07/29 FIXED 6.5</title>
        <cusip>31383HY73</cusip>
        <identifiers>
          <isin value="US31383HY735"/>
        </identifiers>
        <balance>69.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72.380000</valUSD>
        <pctVal>0.0000052</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BC5222 G2 09/47 FIXED 3.5</title>
        <cusip>3617B8YT9</cusip>
        <identifiers>
          <isin value="US3617B8YT93"/>
        </identifiers>
        <balance>588541.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555719.650000</valUSD>
        <pctVal>0.0397264</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 769802 FN 03/34 FIXED 5.5</title>
        <cusip>31404JGK5</cusip>
        <identifiers>
          <isin value="US31404JGK51"/>
        </identifiers>
        <balance>28500.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29097.930000</valUSD>
        <pctVal>0.0020801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 655348 GN 05/36 FIXED 6.5</title>
        <cusip>36294PBR3</cusip>
        <identifiers>
          <isin value="US36294PBR38"/>
        </identifiers>
        <balance>2765.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2870.270000</valUSD>
        <pctVal>0.0002052</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</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 886403 FN 08/36 FIXED 6.5</title>
        <cusip>31410DX88</cusip>
        <identifiers>
          <isin value="US31410DX885"/>
        </identifiers>
        <balance>95461.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99754.610000</valUSD>
        <pctVal>0.0071311</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>6.5</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 QD2618 FR 12/51 FIXED 3</title>
        <cusip>3133AY4B3</cusip>
        <identifiers>
          <isin value="US3133AY4B39"/>
        </identifiers>
        <balance>2187419.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1936673.990000</valUSD>
        <pctVal>0.138446</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030629</cusip>
        <identifiers>
          <isin value="US01F0306294"/>
        </identifiers>
        <balance>336805000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>298296087.100000</valUSD>
        <pctVal>21.3241</pctVal>
        <payoffProfile>Long</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</annualizedRt>
          <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 4255</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4255 SN</title>
        <cusip>3137B5HZ9</cusip>
        <identifiers>
          <isin value="US3137B5HZ98"/>
        </identifiers>
        <balance>3191028.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3016668.810000</valUSD>
        <pctVal>0.215651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A53035 FG 10/36 FIXED 6.5</title>
        <cusip>3128KFLQ1</cusip>
        <identifiers>
          <isin value="US3128KFLQ15"/>
        </identifiers>
        <balance>10040.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10613.520000</valUSD>
        <pctVal>0.0007587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>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"/>
        </identifiers>
        <balance>8761748.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7908916.600000</valUSD>
        <pctVal>0.56538</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 686314 GN 05/38 FIXED 6</title>
        <cusip>36296BN73</cusip>
        <identifiers>
          <isin value="US36296BN730"/>
        </identifiers>
        <balance>1588.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1629.170000</valUSD>
        <pctVal>0.0001165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</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 667332 GN 03/37 FIXED 6.5</title>
        <cusip>36295DLM9</cusip>
        <identifiers>
          <isin value="US36295DLM91"/>
        </identifiers>
        <balance>1420.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1457.230000</valUSD>
        <pctVal>0.0001042</pctVal>
        <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>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 BB8154 G2 09/47 FIXED 3.5</title>
        <cusip>3617B0BX2</cusip>
        <identifiers>
          <isin value="US3617B0BX27"/>
        </identifiers>
        <balance>1105994.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1043449.450000</valUSD>
        <pctVal>0.0745925</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4643 FN 05/42 FIXED 3</title>
        <cusip>31418EER7</cusip>
        <identifiers>
          <isin value="US31418EER71"/>
        </identifiers>
        <balance>1078166.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>981801.130000</valUSD>
        <pctVal>0.0701855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-01</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 722245 FN 08/33 FIXED 5.5</title>
        <cusip>31401YL29</cusip>
        <identifiers>
          <isin value="US31401YL299"/>
        </identifiers>
        <balance>14841.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15289.070000</valUSD>
        <pctVal>0.001093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 545204 FN 05/36 FLOATING VAR</title>
        <cusip>31385HU59</cusip>
        <identifiers>
          <isin value="US31385HU597"/>
        </identifiers>
        <balance>59888.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58743.690000</valUSD>
        <pctVal>0.0041994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.493</annualizedRt>
          <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 AS1339 FN 12/43 FIXED 5</title>
        <cusip>3138WAPZ4</cusip>
        <identifiers>
          <isin value="US3138WAPZ43"/>
        </identifiers>
        <balance>176988.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179489.500000</valUSD>
        <pctVal>0.0128311</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-12-01</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>DRYDEN SENIOR LOAN FUND 2015-41A</name>
        <lei>N/A</lei>
        <title>DRYDEN SENIOR LOAN FUND DRSLF 2015 41A AR 144A</title>
        <cusip>26244KAN6</cusip>
        <identifiers>
          <isin value="US26244KAN63"/>
        </identifiers>
        <balance>5073411.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5067825.780000</valUSD>
        <pctVal>0.362281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.62548</annualizedRt>
          <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 923928 FN 06/37 FIXED 6</title>
        <cusip>31412FPM9</cusip>
        <identifiers>
          <isin value="US31412FPM94"/>
        </identifiers>
        <balance>7691.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7992.190000</valUSD>
        <pctVal>0.0005713</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</annualizedRt>
          <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 G02689 FG 01/37 FIXED 6.5</title>
        <cusip>3128M4KA0</cusip>
        <identifiers>
          <isin value="US3128M4KA08"/>
        </identifiers>
        <balance>18529.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19325.000000</valUSD>
        <pctVal>0.0013815</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL W30008 FG 05/25 FIXED 7.645</title>
        <cusip>3128HJAH9</cusip>
        <identifiers>
          <isin value="US3128HJAH93"/>
        </identifiers>
        <balance>124289.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124568.800000</valUSD>
        <pctVal>0.008905</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.645</annualizedRt>
          <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 REPERFORMING LOAN TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A3 144A</title>
        <cusip>576436AT6</cusip>
        <identifiers>
          <isin value="US576436AT67"/>
        </identifiers>
        <balance>67543.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49058.260000</valUSD>
        <pctVal>0.003507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03591 FG 11/37 FIXED 5.5</title>
        <cusip>3128M5KC3</cusip>
        <identifiers>
          <isin value="US3128M5KC39"/>
        </identifiers>
        <balance>4904.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5060.170000</valUSD>
        <pctVal>0.0003617</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>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>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>5077580.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4952644.610000</valUSD>
        <pctVal>0.354047</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003001 G2 11/30 FIXED 8.5</title>
        <cusip>36202DKN0</cusip>
        <identifiers>
          <isin value="US36202DKN02"/>
        </identifiers>
        <balance>2228.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2340.820000</valUSD>
        <pctVal>0.0001673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F050619</cusip>
        <identifiers>
          <isin value="US01F0506190"/>
        </identifiers>
        <balance>333303782.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>329788470.340000</valUSD>
        <pctVal>23.5754</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>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>BELLA VISTA MORTGAGE TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1</title>
        <cusip>07820QCD5</cusip>
        <identifiers>
          <isin value="US07820QCD51"/>
        </identifiers>
        <balance>109578.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70844.790000</valUSD>
        <pctVal>0.0050644</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97023</annualizedRt>
          <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 4.5 JUMBOS</title>
        <cusip>21H042620</cusip>
        <identifiers>
          <isin value="US21H0426203"/>
        </identifiers>
        <balance>40900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39957485.270000</valUSD>
        <pctVal>2.85642</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>4.5</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 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022618</cusip>
        <identifiers>
          <isin value="US01F0226187"/>
        </identifiers>
        <balance>30430000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25891650.930000</valUSD>
        <pctVal>1.8509</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>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 BF0334 FN 01/59 FIXED 3.5</title>
        <cusip>3140FXLQ3</cusip>
        <identifiers>
          <isin value="US3140FXLQ30"/>
        </identifiers>
        <balance>10437265.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9481093.290000</valUSD>
        <pctVal>0.67777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-17</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1</title>
        <cusip>863579VM7</cusip>
        <identifiers>
          <isin value="US863579VM76"/>
        </identifiers>
        <balance>4927.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4229.740000</valUSD>
        <pctVal>0.0003024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.67247</annualizedRt>
          <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 G04216 FG 12/37 FIXED 5.5</title>
        <cusip>3128M6AR9</cusip>
        <identifiers>
          <isin value="US3128M6AR90"/>
        </identifiers>
        <balance>28065.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28953.040000</valUSD>
        <pctVal>0.0020698</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>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>GOVERNMENT NATL MTGE ASSOC 2009-19</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO</title>
        <cusip>38373M6P0</cusip>
        <identifiers>
          <isin value="US38373M6P08"/>
        </identifiers>
        <balance>656358.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1140.160000</valUSD>
        <pctVal>0.0000815</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-03-16</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.0902</annualizedRt>
          <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 G03240 FG 05/37 FIXED 5.5</title>
        <cusip>3128M44Z3</cusip>
        <identifiers>
          <isin value="US3128M44Z38"/>
        </identifiers>
        <balance>3378.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3485.220000</valUSD>
        <pctVal>0.0002491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 740173 FN 09/33 FIXED 5.5</title>
        <cusip>31402WJS8</cusip>
        <identifiers>
          <isin value="US31402WJS89"/>
        </identifiers>
        <balance>2594.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2665.790000</valUSD>
        <pctVal>0.0001906</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</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 QG5085 FR 06/53 FIXED 5</title>
        <cusip>3133C5UJ8</cusip>
        <identifiers>
          <isin value="US3133C5UJ80"/>
        </identifiers>
        <balance>125350.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125358.380000</valUSD>
        <pctVal>0.0089614</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARLYLE US CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A</title>
        <cusip>14314BAL1</cusip>
        <identifiers>
          <isin value="US14314BAL18"/>
        </identifiers>
        <balance>3729467.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3730233.830000</valUSD>
        <pctVal>0.266661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67743</annualizedRt>
          <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 008874 G2 05/26 FLOATING VAR</title>
        <cusip>36202K2F1</cusip>
        <identifiers>
          <isin value="US36202K2F19"/>
        </identifiers>
        <balance>538.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>532.510000</valUSD>
        <pctVal>0.0000381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 902610 FN 11/36 FIXED 6</title>
        <cusip>31411AYF6</cusip>
        <identifiers>
          <isin value="US31411AYF64"/>
        </identifiers>
        <balance>1526.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1594.610000</valUSD>
        <pctVal>0.000114</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>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>N/A</name>
        <lei>N/A</lei>
        <title>317U3N9A8 PIMCO SWAPTION 5.5 PUT USD 20240507</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002PBZ3"/>
        </identifiers>
        <balance>42900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2912.910000</valUSD>
        <pctVal>0.0002082</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>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
              <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
                    <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 05/09/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01WRX5"/>
                    </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/5.50000 05/09/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01WRX5"/>
                      </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="5.500000"/>
                  <terminationDt>2025-05-09</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-05-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-31407.090000</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 775012 FN 04/34 FIXED 5.5</title>
        <cusip>31404QAM1</cusip>
        <identifiers>
          <isin value="US31404QAM15"/>
        </identifiers>
        <balance>20920.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21550.850000</valUSD>
        <pctVal>0.0015406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL4010 FN 07/43 FIXED VAR</title>
        <cusip>3138ELN41</cusip>
        <identifiers>
          <isin value="US3138ELN416"/>
        </identifiers>
        <balance>640.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>604.160000</valUSD>
        <pctVal>0.0000432</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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1997-56</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 56 F</title>
        <cusip>31359QVQ4</cusip>
        <identifiers>
          <isin value="US31359QVQ45"/>
        </identifiers>
        <balance>1576.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1575.840000</valUSD>
        <pctVal>0.0001127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95258</annualizedRt>
          <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 795410 FN 09/34 FIXED 6.5</title>
        <cusip>31405PVB3</cusip>
        <identifiers>
          <isin value="US31405PVB39"/>
        </identifiers>
        <balance>18669.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19564.050000</valUSD>
        <pctVal>0.0013986</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>6.5</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 780580 GN 06/27 FIXED 7.5</title>
        <cusip>36225AUD0</cusip>
        <identifiers>
          <isin value="US36225AUD08"/>
        </identifiers>
        <balance>431.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>440.060000</valUSD>
        <pctVal>0.0000315</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 450838 FN 12/28 FIXED 5.5</title>
        <cusip>31380UZB7</cusip>
        <identifiers>
          <isin value="US31380UZB78"/>
        </identifiers>
        <balance>3154.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3221.530000</valUSD>
        <pctVal>0.0002303</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS</title>
        <cusip>38379QFL4</cusip>
        <identifiers>
          <isin value="US38379QFL41"/>
        </identifiers>
        <balance>1736402.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1131815.340000</valUSD>
        <pctVal>0.0809095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-20</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>FREMONT HOME LOAN TRUST 2006-B</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 B 2A4</title>
        <cusip>35729QAE8</cusip>
        <identifiers>
          <isin value="US35729QAE89"/>
        </identifiers>
        <balance>5978967.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1923736.510000</valUSD>
        <pctVal>0.137521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOMEBANC MORTGAGE TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>HOMEBANC MORTGAGE TRUST HMBT 2004 1 2A</title>
        <cusip>43739EAB3</cusip>
        <identifiers>
          <isin value="US43739EAB39"/>
        </identifiers>
        <balance>74039.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71135.150000</valUSD>
        <pctVal>0.0050852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.33043</annualizedRt>
          <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 781636 GN 07/33 FIXED 5.5</title>
        <cusip>36225BY93</cusip>
        <identifiers>
          <isin value="US36225BY934"/>
        </identifiers>
        <balance>1275.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1290.140000</valUSD>
        <pctVal>0.0000922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BC0567 G2 07/47 FIXED 3.5</title>
        <cusip>3617B3TY5</cusip>
        <identifiers>
          <isin value="US3617B3TY56"/>
        </identifiers>
        <balance>376912.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>355601.970000</valUSD>
        <pctVal>0.0254207</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0818 FN 08/31 FIXED 4</title>
        <cusip>31417Y4C8</cusip>
        <identifiers>
          <isin value="US31417Y4C85"/>
        </identifiers>
        <balance>153116.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150092.250000</valUSD>
        <pctVal>0.0107296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1998-73</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1998 73 MZ</title>
        <cusip>31359VBH5</cusip>
        <identifiers>
          <isin value="US31359VBH50"/>
        </identifiers>
        <balance>7143.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6596.310000</valUSD>
        <pctVal>0.0004715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.3</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>COUNTRYWIDE ASSET-BACKED CERT 2007-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A1</title>
        <cusip>126698AC3</cusip>
        <identifiers>
          <isin value="US126698AC30"/>
        </identifiers>
        <balance>759041.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>685128.240000</valUSD>
        <pctVal>0.0489774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.37043</annualizedRt>
          <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 A69945 FG 12/37 FIXED 5.5</title>
        <cusip>3128L2BN7</cusip>
        <identifiers>
          <isin value="US3128L2BN73"/>
        </identifiers>
        <balance>120080.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123883.860000</valUSD>
        <pctVal>0.008856</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA7829 G2 01/52 FIXED 3.5</title>
        <cusip>36179WVW5</cusip>
        <identifiers>
          <isin value="US36179WVW53"/>
        </identifiers>
        <balance>7773049.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7237252.440000</valUSD>
        <pctVal>0.517366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-01-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05479 FG 03/39 FIXED 5.5</title>
        <cusip>3128M7M45</cusip>
        <identifiers>
          <isin value="US3128M7M451"/>
        </identifiers>
        <balance>117399.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>121115.880000</valUSD>
        <pctVal>0.0086581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BT3502 GN 02/50 FIXED 3.5</title>
        <cusip>3617MR3K8</cusip>
        <identifiers>
          <isin value="US3617MR3K89"/>
        </identifiers>
        <balance>156709.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144584.170000</valUSD>
        <pctVal>0.0103358</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254933 FN 09/33 FIXED 6.5</title>
        <cusip>31371LEE5</cusip>
        <identifiers>
          <isin value="US31371LEE56"/>
        </identifiers>
        <balance>4414.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4652.710000</valUSD>
        <pctVal>0.0003326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM5989 FN 11/48 FLOATING VAR</title>
        <cusip>3140JAUP1</cusip>
        <identifiers>
          <isin value="US3140JAUP17"/>
        </identifiers>
        <balance>693290.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>704435.940000</valUSD>
        <pctVal>0.0503576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.527</annualizedRt>
          <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 G01975 FG 06/35 FIXED 6</title>
        <cusip>3128LXFQ8</cusip>
        <identifiers>
          <isin value="US3128LXFQ85"/>
        </identifiers>
        <balance>14696.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15344.590000</valUSD>
        <pctVal>0.0010969</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>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 667694 FN 01/33 FIXED 6</title>
        <cusip>31391HXX7</cusip>
        <identifiers>
          <isin value="US31391HXX78"/>
        </identifiers>
        <balance>556.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>578.040000</valUSD>
        <pctVal>0.0000413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 081401 G2 07/35 FLOATING VAR</title>
        <cusip>36225DRX4</cusip>
        <identifiers>
          <isin value="US36225DRX48"/>
        </identifiers>
        <balance>165572.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164130.280000</valUSD>
        <pctVal>0.0117331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783213 GN 09/40 FIXED 5.5</title>
        <cusip>36241LSA5</cusip>
        <identifiers>
          <isin value="US36241LSA51"/>
        </identifiers>
        <balance>575117.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>581574.580000</valUSD>
        <pctVal>0.0415747</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008876 G2 05/26 FLOATING VAR</title>
        <cusip>36202K2H7</cusip>
        <identifiers>
          <isin value="US36202K2H74"/>
        </identifiers>
        <balance>3324.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3304.070000</valUSD>
        <pctVal>0.0002362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSETBK SECU INC 2002-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A2</title>
        <cusip>07384YEN2</cusip>
        <identifiers>
          <isin value="US07384YEN22"/>
        </identifiers>
        <balance>6506.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6336.440000</valUSD>
        <pctVal>0.000453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TBW MTGE BACKED PASS THRU CERT 2006-6</name>
        <lei>N/A</lei>
        <title>TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A</title>
        <cusip>87222PAV5</cusip>
        <identifiers>
          <isin value="US87222PAV58"/>
        </identifiers>
        <balance>886030.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227314.630000</valUSD>
        <pctVal>0.0162499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 572165 FN 01/31 FIXED 6.5</title>
        <cusip>31386STW7</cusip>
        <identifiers>
          <isin value="US31386STW79"/>
        </identifiers>
        <balance>730.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>761.750000</valUSD>
        <pctVal>0.0000545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 678888 FN 01/33 FIXED 6</title>
        <cusip>31391WF55</cusip>
        <identifiers>
          <isin value="US31391WF553"/>
        </identifiers>
        <balance>8350.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8687.320000</valUSD>
        <pctVal>0.000621</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A26750 FG 09/34 FIXED 5.5</title>
        <cusip>31297EQB5</cusip>
        <identifiers>
          <isin value="US31297EQB55"/>
        </identifiers>
        <balance>53419.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54972.130000</valUSD>
        <pctVal>0.0039298</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>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>TBW MTGE BACKED PASS THRU CERT 2006-4</name>
        <lei>N/A</lei>
        <title>TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6</title>
        <cusip>872224AG5</cusip>
        <identifiers>
          <isin value="US872224AG53"/>
        </identifiers>
        <balance>9084980.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>247123.290000</valUSD>
        <pctVal>0.017666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.47</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 776376 FN 05/34 FIXED 5.5</title>
        <cusip>31404RQ59</cusip>
        <identifiers>
          <isin value="US31404RQ593"/>
        </identifiers>
        <balance>13596.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14006.380000</valUSD>
        <pctVal>0.0010013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 483629 GN 09/28 FIXED 6.5</title>
        <cusip>36209WHE5</cusip>
        <identifiers>
          <isin value="US36209WHE57"/>
        </identifiers>
        <balance>1153.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1176.680000</valUSD>
        <pctVal>0.0000841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-15</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 689754 GN 08/38 FIXED 6</title>
        <cusip>36296FH71</cusip>
        <identifiers>
          <isin value="US36296FH717"/>
        </identifiers>
        <balance>15827.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16275.880000</valUSD>
        <pctVal>0.0011635</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</annualizedRt>
          <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 AA7402 FN 06/39 FIXED 4.5</title>
        <cusip>31416RGL1</cusip>
        <identifiers>
          <isin value="US31416RGL15"/>
        </identifiers>
        <balance>298251.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>297768.790000</valUSD>
        <pctVal>0.0212864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</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 C60346 FG 10/31 FIXED 6.5</title>
        <cusip>31298YL33</cusip>
        <identifiers>
          <isin value="US31298YL331"/>
        </identifiers>
        <balance>4487.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4659.720000</valUSD>
        <pctVal>0.0003331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06353 FG 12/39 FIXED 5.5</title>
        <cusip>3128M8MA9</cusip>
        <identifiers>
          <isin value="US3128M8MA93"/>
        </identifiers>
        <balance>17636.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18194.790000</valUSD>
        <pctVal>0.0013007</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 658104 GN 09/36 FIXED 6.5</title>
        <cusip>36294SDH7</cusip>
        <identifiers>
          <isin value="US36294SDH76"/>
        </identifiers>
        <balance>3510.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3629.570000</valUSD>
        <pctVal>0.0002595</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08221 FG 09/37 FIXED 5.5</title>
        <cusip>3128MJG79</cusip>
        <identifiers>
          <isin value="US3128MJG798"/>
        </identifiers>
        <balance>2597.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2679.360000</valUSD>
        <pctVal>0.0001915</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 724390 GN 10/39 FIXED 4.5</title>
        <cusip>3620AAXT0</cusip>
        <identifiers>
          <isin value="US3620AAXT00"/>
        </identifiers>
        <balance>78579.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78162.930000</valUSD>
        <pctVal>0.0055876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF4029 G2 02/48 FIXED 3.5</title>
        <cusip>3617GAPN2</cusip>
        <identifiers>
          <isin value="US3617GAPN21"/>
        </identifiers>
        <balance>578628.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>546944.820000</valUSD>
        <pctVal>0.0390991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</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>317U4REA2 PIMCO SWAPTION 3.1175 CALL USD 20240</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP00311Y9"/>
        </identifiers>
        <balance>6600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>40722.000000</valUSD>
        <pctVal>0.0029111</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>Call</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/3.11750 03/08/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU020AL8"/>
                    </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/3.11750 03/08/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU020AL8"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.117500"/>
                  <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>2031-03-08</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>3.120000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6402.000000</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 MA2800 FN 11/26 FIXED 2</title>
        <cusip>31418CDE1</cusip>
        <identifiers>
          <isin value="US31418CDE12"/>
        </identifiers>
        <balance>32620.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31443.090000</valUSD>
        <pctVal>0.0022478</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>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>COUNTRYWIDE HOME LOANS 2007-HY7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1</title>
        <cusip>12544HAY6</cusip>
        <identifiers>
          <isin value="US12544HAY62"/>
        </identifiers>
        <balance>315676.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290107.680000</valUSD>
        <pctVal>0.0207388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.41812</annualizedRt>
          <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 756230 FN 01/34 FIXED 5.5</title>
        <cusip>31403SEB8</cusip>
        <identifiers>
          <isin value="US31403SEB88"/>
        </identifiers>
        <balance>9024.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9296.800000</valUSD>
        <pctVal>0.0006646</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 487128 GN 04/29 FIXED 6.5</title>
        <cusip>36210BD93</cusip>
        <identifiers>
          <isin value="US36210BD930"/>
        </identifiers>
        <balance>1530.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1576.400000</valUSD>
        <pctVal>0.0001127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</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>COUNTRYWIDE ALTERNATIVE LN TR 2008-2R</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1</title>
        <cusip>021482AC8</cusip>
        <identifiers>
          <isin value="US021482AC82"/>
        </identifiers>
        <balance>80840.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39106.660000</valUSD>
        <pctVal>0.0027956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.08022</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMAC MORTG CORP LOAN TRUST 2002-HE1</name>
        <lei>N/A</lei>
        <title>GMAC MORTGAGE CORPORATION LOAN GMACM 2002 HE1 A2</title>
        <cusip>361856BU0</cusip>
        <identifiers>
          <isin value="US361856BU04"/>
        </identifiers>
        <balance>14931.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11873.560000</valUSD>
        <pctVal>0.0008488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <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 931520 FN 07/29 FIXED 4.5</title>
        <cusip>31412P4D0</cusip>
        <identifiers>
          <isin value="US31412P4D00"/>
        </identifiers>
        <balance>16019.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15889.410000</valUSD>
        <pctVal>0.0011359</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175439P3 OTC EPUT FN 5.0 JAN24 96.453125 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46709"/>
        </identifiers>
        <balance>-53000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3291.300000</valUSD>
        <pctVal>-0.0002353</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>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>96.450000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>274130.580000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2006-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1</title>
        <cusip>073868AM3</cusip>
        <identifiers>
          <isin value="US073868AM36"/>
        </identifiers>
        <balance>162297.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72657.810000</valUSD>
        <pctVal>0.005194</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.19649</annualizedRt>
          <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 672391 GN 12/37 FIXED 6</title>
        <cusip>36295J7C4</cusip>
        <identifiers>
          <isin value="US36295J7C47"/>
        </identifiers>
        <balance>1855.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1922.170000</valUSD>
        <pctVal>0.0001374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 490758 FN 03/29 FIXED 6.5</title>
        <cusip>31382SE72</cusip>
        <identifiers>
          <isin value="US31382SE728"/>
        </identifiers>
        <balance>2766.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2882.090000</valUSD>
        <pctVal>0.000206</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</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 POOL 783287 GN 08/40 FIXED 6</title>
        <cusip>36241LUL8</cusip>
        <identifiers>
          <isin value="US36241LUL88"/>
        </identifiers>
        <balance>39563.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40840.910000</valUSD>
        <pctVal>0.0029196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-15</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 949054 FN 09/37 FIXED 6.5</title>
        <cusip>31413LZT9</cusip>
        <identifiers>
          <isin value="US31413LZT96"/>
        </identifiers>
        <balance>34178.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35907.440000</valUSD>
        <pctVal>0.0025669</pctVal>
        <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>
          <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 RA5057 FR 04/51 FIXED 3</title>
        <cusip>3133KLTN7</cusip>
        <identifiers>
          <isin value="US3133KLTN72"/>
        </identifiers>
        <balance>7354810.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6509731.380000</valUSD>
        <pctVal>0.465358</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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>VENDEE MORTGAGE TRUST 2000-1</name>
        <lei>N/A</lei>
        <title>VENDEE MORTGAGE TRUST VENDE 2000 1 1A</title>
        <cusip>911760NH5</cusip>
        <identifiers>
          <isin value="US911760NH53"/>
        </identifiers>
        <balance>86869.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88488.090000</valUSD>
        <pctVal>0.0063257</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.95231</annualizedRt>
          <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 782662 GN 05/39 FIXED 5.5</title>
        <cusip>36241K5X2</cusip>
        <identifiers>
          <isin value="US36241K5X20"/>
        </identifiers>
        <balance>6464.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6536.350000</valUSD>
        <pctVal>0.0004673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA3244 G2 11/45 FIXED 3.5</title>
        <cusip>36179RS91</cusip>
        <identifiers>
          <isin value="US36179RS915"/>
        </identifiers>
        <balance>4364203.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4116956.480000</valUSD>
        <pctVal>0.294307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG5280 FR 06/53 FIXED 5</title>
        <cusip>3133C52M2</cusip>
        <identifiers>
          <isin value="US3133C52M29"/>
        </identifiers>
        <balance>207526.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>206843.220000</valUSD>
        <pctVal>0.0147865</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>
        </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 C91232 FG 11/28 FIXED 5</title>
        <cusip>3128P7LM3</cusip>
        <identifiers>
          <isin value="US3128P7LM37"/>
        </identifiers>
        <balance>7815.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7805.520000</valUSD>
        <pctVal>0.000558</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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>WASHINGTON MUTUAL 2005-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1</title>
        <cusip>92922F4M7</cusip>
        <identifiers>
          <isin value="US92922F4M79"/>
        </identifiers>
        <balance>28958.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27554.730000</valUSD>
        <pctVal>0.0019698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05043</annualizedRt>
          <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 SD0963 FR 01/52 FIXED 3.5</title>
        <cusip>3132DNB85</cusip>
        <identifiers>
          <isin value="US3132DNB859"/>
        </identifiers>
        <balance>804630.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>738962.790000</valUSD>
        <pctVal>0.0528258</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>
          <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 AL3666 FN 06/43 FIXED VAR</title>
        <cusip>3138ELCC5</cusip>
        <identifiers>
          <isin value="US3138ELCC51"/>
        </identifiers>
        <balance>131436.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127902.340000</valUSD>
        <pctVal>0.0091433</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>
        </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 003850 G2 05/36 FIXED 5</title>
        <cusip>36202EH36</cusip>
        <identifiers>
          <isin value="US36202EH361"/>
        </identifiers>
        <balance>1022.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1041.620000</valUSD>
        <pctVal>0.0000745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-20</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 A79949 FG 08/38 FIXED 6</title>
        <cusip>3128LEBS0</cusip>
        <identifiers>
          <isin value="US3128LEBS07"/>
        </identifiers>
        <balance>16761.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17278.510000</valUSD>
        <pctVal>0.0012352</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>
        </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 759477 FN 02/34 FIXED 5.5</title>
        <cusip>31403VXE4</cusip>
        <identifiers>
          <isin value="US31403VXE46"/>
        </identifiers>
        <balance>6202.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6389.670000</valUSD>
        <pctVal>0.0004568</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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>COUNTRYWIDE HOME LOANS 2001-HYB1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2</title>
        <cusip>12669B2Z4</cusip>
        <identifiers>
          <isin value="US12669B2Z46"/>
        </identifiers>
        <balance>3110.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2945.530000</valUSD>
        <pctVal>0.0002106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.125</annualizedRt>
          <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 918546 FN 06/37 FIXED 6</title>
        <cusip>31411YP72</cusip>
        <identifiers>
          <isin value="US31411YP729"/>
        </identifiers>
        <balance>11626.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12081.480000</valUSD>
        <pctVal>0.0008637</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</annualizedRt>
          <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 784433 G2 02/48 FIXED 3.5</title>
        <cusip>3622A24S8</cusip>
        <identifiers>
          <isin value="US3622A24S85"/>
        </identifiers>
        <balance>6117226.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5764298.320000</valUSD>
        <pctVal>0.412069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</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 474734 GN 01/31 FIXED 8.5</title>
        <cusip>36209LLP9</cusip>
        <identifiers>
          <isin value="US36209LLP93"/>
        </identifiers>
        <balance>1956.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1953.950000</valUSD>
        <pctVal>0.0001397</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A77057 FG 05/38 FIXED 5.5</title>
        <cusip>3128LAZW3</cusip>
        <identifiers>
          <isin value="US3128LAZW31"/>
        </identifiers>
        <balance>8016.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8270.040000</valUSD>
        <pctVal>0.0005912</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 137825 FN 10/31 FLOATING VAR</title>
        <cusip>31365UA23</cusip>
        <identifiers>
          <isin value="US31365UA230"/>
        </identifiers>
        <balance>13389.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12930.250000</valUSD>
        <pctVal>0.0009243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.335</annualizedRt>
          <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 AA3979 FN 03/37 FIXED 5</title>
        <cusip>31416MM50</cusip>
        <identifiers>
          <isin value="US31416MM506"/>
        </identifiers>
        <balance>83171.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82140.990000</valUSD>
        <pctVal>0.005872</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>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 937612 FN 06/37 FIXED 6</title>
        <cusip>31412XDR2</cusip>
        <identifiers>
          <isin value="US31412XDR26"/>
        </identifiers>
        <balance>268669.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280760.420000</valUSD>
        <pctVal>0.0200706</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 02/24 0.00000</title>
        <cusip>912797GP6</cusip>
        <identifiers>
          <isin value="US912797GP65"/>
        </identifiers>
        <balance>3215000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3187758.540000</valUSD>
        <pctVal>0.227882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-29</maturityDt>
          <couponKind>None</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>INDYMAC RESIDENTIAL ASSET BACKED 2007-A</name>
        <lei>N/A</lei>
        <title>INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A</title>
        <cusip>43710BAA4</cusip>
        <identifiers>
          <isin value="US43710BAA44"/>
        </identifiers>
        <balance>608143.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>460860.680000</valUSD>
        <pctVal>0.0329453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.69043</annualizedRt>
          <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 G06021 FG 01/40 FIXED 5.5</title>
        <cusip>3128M8AW4</cusip>
        <identifiers>
          <isin value="US3128M8AW42"/>
        </identifiers>
        <balance>59119.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60991.170000</valUSD>
        <pctVal>0.00436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 462599 GN 03/28 FIXED 6.5</title>
        <cusip>36208V3G8</cusip>
        <identifiers>
          <isin value="US36208V3G86"/>
        </identifiers>
        <balance>828.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>847.120000</valUSD>
        <pctVal>0.0000606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</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 692396 GN 02/39 FIXED 6.5</title>
        <cusip>36296JGD1</cusip>
        <identifiers>
          <isin value="US36296JGD19"/>
        </identifiers>
        <balance>48959.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50343.820000</valUSD>
        <pctVal>0.0035989</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>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 832562 FN 09/35 FLOATING VAR</title>
        <cusip>31407J5X6</cusip>
        <identifiers>
          <isin value="US31407J5X65"/>
        </identifiers>
        <balance>31651.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31508.890000</valUSD>
        <pctVal>0.0022525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.922</annualizedRt>
          <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 467628 GN 03/29 FIXED 6.5</title>
        <cusip>36209CPM2</cusip>
        <identifiers>
          <isin value="US36209CPM28"/>
        </identifiers>
        <balance>1411.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1453.810000</valUSD>
        <pctVal>0.0001039</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 713697 FN 08/33 FIXED 5.5</title>
        <cusip>31401N3E7</cusip>
        <identifiers>
          <isin value="US31401N3E73"/>
        </identifiers>
        <balance>17677.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18164.920000</valUSD>
        <pctVal>0.0012985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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>MOUNTAIN VIEW CLO LLC 2017-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A</title>
        <cusip>62432HAJ9</cusip>
        <identifiers>
          <isin value="US62432HAJ95"/>
        </identifiers>
        <balance>2395086.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2395778.970000</valUSD>
        <pctVal>0.171266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74548</annualizedRt>
          <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 256045 FN 12/25 FIXED 5</title>
        <cusip>31371ML21</cusip>
        <identifiers>
          <isin value="US31371ML216"/>
        </identifiers>
        <balance>25567.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25404.060000</valUSD>
        <pctVal>0.001816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3670 FN 02/43 FIXED VAR</title>
        <cusip>3138ELCG6</cusip>
        <identifiers>
          <isin value="US3138ELCG65"/>
        </identifiers>
        <balance>1287381.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1252767.570000</valUSD>
        <pctVal>0.0895559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 RA5502 FR 06/51 FIXED 3</title>
        <cusip>3133KMDF9</cusip>
        <identifiers>
          <isin value="US3133KMDF95"/>
        </identifiers>
        <balance>2764812.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2446398.630000</valUSD>
        <pctVal>0.174884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A</title>
        <cusip>92925CDA7</cusip>
        <identifiers>
          <isin value="US92925CDA71"/>
        </identifiers>
        <balance>446980.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>392430.910000</valUSD>
        <pctVal>0.0280535</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0118</annualizedRt>
          <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 847996 FN 11/35 FLOATING VAR</title>
        <cusip>31408DC93</cusip>
        <identifiers>
          <isin value="US31408DC933"/>
        </identifiers>
        <balance>3996.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3978.810000</valUSD>
        <pctVal>0.0002844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <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>
        </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 800747 FN 10/34 FIXED 5.5</title>
        <cusip>31405VTC1</cusip>
        <identifiers>
          <isin value="US31405VTC18"/>
        </identifiers>
        <balance>59982.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61637.590000</valUSD>
        <pctVal>0.0044063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002632 G2 08/28 FIXED 7.5</title>
        <cusip>36202C4R1</cusip>
        <identifiers>
          <isin value="US36202C4R10"/>
        </identifiers>
        <balance>860.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>873.800000</valUSD>
        <pctVal>0.0000625</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-20</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 A83694 FG 12/38 FIXED 5.5</title>
        <cusip>312930C73</cusip>
        <identifiers>
          <isin value="US312930C731"/>
        </identifiers>
        <balance>50785.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52389.190000</valUSD>
        <pctVal>0.0037451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</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 G02427 FG 12/36 FIXED 5.5</title>
        <cusip>3128M4A45</cusip>
        <identifiers>
          <isin value="US3128M4A453"/>
        </identifiers>
        <balance>5746.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5928.390000</valUSD>
        <pctVal>0.0004238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 899735 FN 09/37 FIXED 6.5</title>
        <cusip>31410WSY5</cusip>
        <identifiers>
          <isin value="US31410WSY56"/>
        </identifiers>
        <balance>171.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>178.770000</valUSD>
        <pctVal>0.0000128</pctVal>
        <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>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERTS 2008-20E</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2008 20E 1</title>
        <cusip>83162CRU9</cusip>
        <identifiers>
          <isin value="US83162CRU98"/>
        </identifiers>
        <balance>461239.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>457863.650000</valUSD>
        <pctVal>0.032731</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.49</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2005-AR31</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1</title>
        <cusip>45660LV97</cusip>
        <identifiers>
          <isin value="US45660LV977"/>
        </identifiers>
        <balance>549.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>484.790000</valUSD>
        <pctVal>0.0000347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.64601</annualizedRt>
          <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 931056 FN 05/35 FIXED 5.5</title>
        <cusip>31412PMD0</cusip>
        <identifiers>
          <isin value="US31412PMD05"/>
        </identifiers>
        <balance>45919.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47304.670000</valUSD>
        <pctVal>0.0033816</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>5.5</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 BE1642 G2 01/48 FIXED 4</title>
        <cusip>3617BUZF9</cusip>
        <identifiers>
          <isin value="US3617BUZF95"/>
        </identifiers>
        <balance>1421487.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1402571.000000</valUSD>
        <pctVal>0.100265</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-20</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>AMORTIZING RESIDENTIAL COLLAT 2001-BC6</name>
        <lei>N/A</lei>
        <title>AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A</title>
        <cusip>86358RMY0</cusip>
        <identifiers>
          <isin value="US86358RMY08"/>
        </identifiers>
        <balance>76490.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74105.340000</valUSD>
        <pctVal>0.0052975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17043</annualizedRt>
          <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 C01005 FG 06/30 FIXED 8</title>
        <cusip>31292HDJ0</cusip>
        <identifiers>
          <isin value="US31292HDJ05"/>
        </identifiers>
        <balance>491.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>518.320000</valUSD>
        <pctVal>0.0000371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT8403 FN 06/43 FIXED 4</title>
        <cusip>3138WWKR9</cusip>
        <identifiers>
          <isin value="US3138WWKR91"/>
        </identifiers>
        <balance>981086.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>954704.060000</valUSD>
        <pctVal>0.0682484</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2019-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2019 62 FA</title>
        <cusip>3136B6Z48</cusip>
        <identifiers>
          <isin value="US3136B6Z482"/>
        </identifiers>
        <balance>11131447.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10874461.790000</valUSD>
        <pctVal>0.777377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-11-25</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04590 FG 03/32 FIXED 5.5</title>
        <cusip>3128M6NF1</cusip>
        <identifiers>
          <isin value="US3128M6NF16"/>
        </identifiers>
        <balance>119.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123.240000</valUSD>
        <pctVal>0.0000088</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AZ8426 G2 03/47 FIXED 3.5</title>
        <cusip>36197MLF3</cusip>
        <identifiers>
          <isin value="US36197MLF31"/>
        </identifiers>
        <balance>500417.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>472897.330000</valUSD>
        <pctVal>0.0338058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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 POOL 080076 G2 05/27 FLOATING VAR</title>
        <cusip>36225CCN4</cusip>
        <identifiers>
          <isin value="US36225CCN48"/>
        </identifiers>
        <balance>3297.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3270.950000</valUSD>
        <pctVal>0.0002338</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 617332 GN 12/36 FIXED 6.5</title>
        <cusip>36290TY52</cusip>
        <identifiers>
          <isin value="US36290TY526"/>
        </identifiers>
        <balance>1830.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1912.080000</valUSD>
        <pctVal>0.0001367</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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 540157 GN 01/31 FIXED 7.5</title>
        <cusip>36212QB25</cusip>
        <identifiers>
          <isin value="US36212QB250"/>
        </identifiers>
        <balance>7740.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7795.290000</valUSD>
        <pctVal>0.0005573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5</title>
        <cusip>3128M5ED8</cusip>
        <identifiers>
          <isin value="US3128M5ED85"/>
        </identifiers>
        <balance>103660.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106940.980000</valUSD>
        <pctVal>0.0076448</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>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 G06020 FG 12/39 FIXED 5.5</title>
        <cusip>3128M8AV6</cusip>
        <identifiers>
          <isin value="US3128M8AV68"/>
        </identifiers>
        <balance>17500.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18054.370000</valUSD>
        <pctVal>0.0012906</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>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>FREDDIE MAC 2293</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2293 F</title>
        <cusip>3133TSB85</cusip>
        <identifiers>
          <isin value="US3133TSB852"/>
        </identifiers>
        <balance>3372.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3366.350000</valUSD>
        <pctVal>0.0002406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.65292</annualizedRt>
          <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 080414 G2 06/30 FLOATING VAR</title>
        <cusip>36225CN85</cusip>
        <identifiers>
          <isin value="US36225CN851"/>
        </identifiers>
        <balance>10749.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10758.100000</valUSD>
        <pctVal>0.0007691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 555272 FN 03/33 FIXED VAR</title>
        <cusip>31385W2D0</cusip>
        <identifiers>
          <isin value="US31385W2D06"/>
        </identifiers>
        <balance>11342.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11748.550000</valUSD>
        <pctVal>0.0008399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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 796705 FN 09/34 FLOATING VAR</title>
        <cusip>31405RDJ2</cusip>
        <identifiers>
          <isin value="US31405RDJ23"/>
        </identifiers>
        <balance>43810.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44184.530000</valUSD>
        <pctVal>0.0031586</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>Floating</couponKind>
          <annualizedRt>6.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93156 FG 07/40 FIXED 5</title>
        <cusip>312941QH3</cusip>
        <identifiers>
          <isin value="US312941QH38"/>
        </identifiers>
        <balance>44201.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44760.430000</valUSD>
        <pctVal>0.0031998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02188 FG 06/36 FIXED 5</title>
        <cusip>3128LXND8</cusip>
        <identifiers>
          <isin value="US3128LXND80"/>
        </identifiers>
        <balance>17218.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17528.800000</valUSD>
        <pctVal>0.0012531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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 725495 FN 02/34 FLOATING VAR</title>
        <cusip>31402C7G1</cusip>
        <identifiers>
          <isin value="US31402C7G11"/>
        </identifiers>
        <balance>17554.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17520.890000</valUSD>
        <pctVal>0.0012525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01798 FG 12/32 FIXED 5.5</title>
        <cusip>31283H7K5</cusip>
        <identifiers>
          <isin value="US31283H7K59"/>
        </identifiers>
        <balance>2736.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2822.460000</valUSD>
        <pctVal>0.0002018</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 550688 GN 10/35 FIXED 6.5</title>
        <cusip>36213CXR6</cusip>
        <identifiers>
          <isin value="US36213CXR68"/>
        </identifiers>
        <balance>1291.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1336.120000</valUSD>
        <pctVal>0.0000955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-15</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 765414 FN 08/34 FIXED 6.5</title>
        <cusip>31404DK31</cusip>
        <identifiers>
          <isin value="US31404DK315"/>
        </identifiers>
        <balance>617.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>643.210000</valUSD>
        <pctVal>0.000046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 936190 FN 05/37 FIXED 6.5</title>
        <cusip>31412VRK6</cusip>
        <identifiers>
          <isin value="US31412VRK60"/>
        </identifiers>
        <balance>53226.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55525.220000</valUSD>
        <pctVal>0.0039693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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 POOL 658132 GN 10/36 FIXED 6</title>
        <cusip>36294SED5</cusip>
        <identifiers>
          <isin value="US36294SED53"/>
        </identifiers>
        <balance>6567.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6802.500000</valUSD>
        <pctVal>0.0004863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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 BG5674 GN 07/48 FIXED 4</title>
        <cusip>3617GQJT1</cusip>
        <identifiers>
          <isin value="US3617GQJT17"/>
        </identifiers>
        <balance>1144050.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1130602.160000</valUSD>
        <pctVal>0.0808227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080356 G2 12/29 FLOATING VAR</title>
        <cusip>36225CME3</cusip>
        <identifiers>
          <isin value="US36225CME39"/>
        </identifiers>
        <balance>182.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176.370000</valUSD>
        <pctVal>0.0000126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 783646 FN 06/34 FIXED 5.5</title>
        <cusip>31405ATB9</cusip>
        <identifiers>
          <isin value="US31405ATB97"/>
        </identifiers>
        <balance>5144.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5299.850000</valUSD>
        <pctVal>0.0003789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 530113 GN 09/30 FIXED 8.5</title>
        <cusip>36212C3W9</cusip>
        <identifiers>
          <isin value="US36212C3W96"/>
        </identifiers>
        <balance>1829.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1844.260000</valUSD>
        <pctVal>0.0001318</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AV1374 FN 11/43 FIXED 4</title>
        <cusip>3138XCQ47</cusip>
        <identifiers>
          <isin value="US3138XCQ475"/>
        </identifiers>
        <balance>209945.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203296.560000</valUSD>
        <pctVal>0.014533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 786774 FH 08/29 FLOATING VAR</title>
        <cusip>31295KQ31</cusip>
        <identifiers>
          <isin value="US31295KQ319"/>
        </identifiers>
        <balance>1036.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1029.810000</valUSD>
        <pctVal>0.0000736</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <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 935572 FN 09/24 FIXED 4.5</title>
        <cusip>31412U2D1</cusip>
        <identifiers>
          <isin value="US31412U2D10"/>
        </identifiers>
        <balance>26087.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25944.610000</valUSD>
        <pctVal>0.0018547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U2J1A6 PIMCO SWAPTION 3.71 PUT USD 20240308</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0029V61"/>
        </identifiers>
        <balance>13800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>81541.440000</valUSD>
        <pctVal>0.0058291</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.71000 03/12/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01Q470"/>
                    </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/3.71000 03/12/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01Q470"/>
                      </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="3.710000"/>
                  <terminationDt>2031-03-12</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>3.710000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-208258.560000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 G04794 FG 01/36 FIXED 5.5</title>
        <cusip>3128M6UT3</cusip>
        <identifiers>
          <isin value="US3128M6UT37"/>
        </identifiers>
        <balance>38588.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39808.750000</valUSD>
        <pctVal>0.0028458</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BI6217 G2 10/48 FIXED 5</title>
        <cusip>3617HF4A1</cusip>
        <identifiers>
          <isin value="US3617HF4A10"/>
        </identifiers>
        <balance>120564.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120320.670000</valUSD>
        <pctVal>0.0086013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-20</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 793997 FN 09/34 FIXED 5.5</title>
        <cusip>31405NDA0</cusip>
        <identifiers>
          <isin value="US31405NDA00"/>
        </identifiers>
        <balance>8305.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8555.870000</valUSD>
        <pctVal>0.0006116</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 708302 GN 03/39 FIXED 5.5</title>
        <cusip>36297C3K3</cusip>
        <identifiers>
          <isin value="US36297C3K34"/>
        </identifiers>
        <balance>87379.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88865.090000</valUSD>
        <pctVal>0.0063527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 764209 FN 04/34 FIXED 5.5</title>
        <cusip>31404CAJ9</cusip>
        <identifiers>
          <isin value="US31404CAJ99"/>
        </identifiers>
        <balance>4279.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4369.340000</valUSD>
        <pctVal>0.0003123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>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"/>
        </identifiers>
        <balance>1383093.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1313656.110000</valUSD>
        <pctVal>0.0939086</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 313968 FN 12/27 FLOATING VAR</title>
        <cusip>31374GW52</cusip>
        <identifiers>
          <isin value="US31374GW524"/>
        </identifiers>
        <balance>5161.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5122.130000</valUSD>
        <pctVal>0.0003662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.628</annualizedRt>
          <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>3686173.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2777000.980000</valUSD>
        <pctVal>0.198518</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>CREDIT SUISSE MORTGAGE TRUST 2013-MH1</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A</title>
        <cusip>12647RAA2</cusip>
        <identifiers>
          <isin value="US12647RAA23"/>
        </identifiers>
        <balance>4442628.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3639638.030000</valUSD>
        <pctVal>0.260185</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.69863</annualizedRt>
          <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 783748 GN 04/43 FIXED 3.5</title>
        <cusip>3622A2EV0</cusip>
        <identifiers>
          <isin value="US3622A2EV00"/>
        </identifiers>
        <balance>331269.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>313184.370000</valUSD>
        <pctVal>0.0223884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008815 G2 02/26 FLOATING VAR</title>
        <cusip>36202KYL3</cusip>
        <identifiers>
          <isin value="US36202KYL33"/>
        </identifiers>
        <balance>1711.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1685.580000</valUSD>
        <pctVal>0.0001205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922919 FN 02/37 FIXED 6</title>
        <cusip>31412EK88</cusip>
        <identifiers>
          <isin value="US31412EK886"/>
        </identifiers>
        <balance>217506.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>226000.230000</valUSD>
        <pctVal>0.016156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555640 FN 07/33 FIXED VAR</title>
        <cusip>31385XHR1</cusip>
        <identifiers>
          <isin value="US31385XHR17"/>
        </identifiers>
        <balance>2228.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2306.590000</valUSD>
        <pctVal>0.0001649</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03837 FG 02/38 FIXED 5.5</title>
        <cusip>3128M5S27</cusip>
        <identifiers>
          <isin value="US3128M5S270"/>
        </identifiers>
        <balance>3971.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4097.500000</valUSD>
        <pctVal>0.0002929</pctVal>
        <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>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-20</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 20 3A1</title>
        <cusip>12669F2J1</cusip>
        <identifiers>
          <isin value="US12669F2J13"/>
        </identifiers>
        <balance>118634.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101536.000000</valUSD>
        <pctVal>0.0072584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.36301</annualizedRt>
          <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 674772 FN 01/33 FIXED 6</title>
        <cusip>31391RT51</cusip>
        <identifiers>
          <isin value="US31391RT513"/>
        </identifiers>
        <balance>45095.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46676.340000</valUSD>
        <pctVal>0.0033367</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q21792 FG 09/43 FIXED 4.5</title>
        <cusip>3132JN7D3</cusip>
        <identifiers>
          <isin value="US3132JN7D30"/>
        </identifiers>
        <balance>150064.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149277.660000</valUSD>
        <pctVal>0.0106713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91211 FG 08/28 FIXED 6</title>
        <cusip>3128P7KY8</cusip>
        <identifiers>
          <isin value="US3128P7KY83"/>
        </identifiers>
        <balance>6731.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6845.490000</valUSD>
        <pctVal>0.0004894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-01</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>VENTURE CLO LTD 2013-4A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2013 14A ARR 144A</title>
        <cusip>92328GBA3</cusip>
        <identifiers>
          <isin value="US92328GBA31"/>
        </identifiers>
        <balance>2064692.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2065901.940000</valUSD>
        <pctVal>0.147684</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67819</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2005-HE7</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2005 HE7 M1</title>
        <cusip>004421UC5</cusip>
        <identifiers>
          <isin value="US004421UC54"/>
        </identifiers>
        <balance>249856.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>253771.080000</valUSD>
        <pctVal>0.0181412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13043</annualizedRt>
          <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 671182 GN 12/37 FIXED 6.5</title>
        <cusip>36295HUF5</cusip>
        <identifiers>
          <isin value="US36295HUF53"/>
        </identifiers>
        <balance>451.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>463.420000</valUSD>
        <pctVal>0.0000331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 AB0514 FN 09/38 FIXED 6.5</title>
        <cusip>31416VSC9</cusip>
        <identifiers>
          <isin value="US31416VSC99"/>
        </identifiers>
        <balance>117473.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124067.130000</valUSD>
        <pctVal>0.0088691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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 POOL 673003 GN 08/38 FIXED 5.5</title>
        <cusip>36295KU43</cusip>
        <identifiers>
          <isin value="US36295KU431"/>
        </identifiers>
        <balance>2995.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3028.740000</valUSD>
        <pctVal>0.0002165</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>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE 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"/>
        </identifiers>
        <balance>414484.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>371559.690000</valUSD>
        <pctVal>0.0265615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.89043</annualizedRt>
          <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 452035 FN 11/28 FIXED 5.5</title>
        <cusip>31380WEG5</cusip>
        <identifiers>
          <isin value="US31380WEG50"/>
        </identifiers>
        <balance>2252.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2294.740000</valUSD>
        <pctVal>0.000164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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>FANNIE MAE-1996-48</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1996 48 Z</title>
        <cusip>31359KXE2</cusip>
        <identifiers>
          <isin value="US31359KXE27"/>
        </identifiers>
        <balance>7334.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7325.950000</valUSD>
        <pctVal>0.0005237</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91116 FG 11/27 FIXED 6</title>
        <cusip>3128P7GZ0</cusip>
        <identifiers>
          <isin value="US3128P7GZ05"/>
        </identifiers>
        <balance>8966.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9117.270000</valUSD>
        <pctVal>0.0006518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-01</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>NOVASTAR HOME EQUITY LOAN 2007-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A</title>
        <cusip>669971AA1</cusip>
        <identifiers>
          <isin value="US669971AA13"/>
        </identifiers>
        <balance>1518486.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>946686.380000</valUSD>
        <pctVal>0.0676753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.60043</annualizedRt>
          <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 652260 FN 01/30 FLOATING VAR</title>
        <cusip>31390PTR8</cusip>
        <identifiers>
          <isin value="US31390PTR81"/>
        </identifiers>
        <balance>31579.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31191.080000</valUSD>
        <pctVal>0.0022297</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.475</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A A1R2 144A</title>
        <cusip>14310MAW7</cusip>
        <identifiers>
          <isin value="US14310MAW73"/>
        </identifiers>
        <balance>761410.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>760937.570000</valUSD>
        <pctVal>0.0543967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.63444</annualizedRt>
          <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 781962 FN 06/34 FIXED 5.5</title>
        <cusip>31404XWX8</cusip>
        <identifiers>
          <isin value="US31404XWX82"/>
        </identifiers>
        <balance>21644.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22297.920000</valUSD>
        <pctVal>0.001594</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BD0824 FN 10/46 FIXED 3</title>
        <cusip>3140F74J5</cusip>
        <identifiers>
          <isin value="US3140F74J59"/>
        </identifiers>
        <balance>200730.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183099.020000</valUSD>
        <pctVal>0.0130891</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 372394 FN 03/25 FLOATING VAR</title>
        <cusip>31377BUT0</cusip>
        <identifiers>
          <isin value="US31377BUT06"/>
        </identifiers>
        <balance>6.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6.050000</valUSD>
        <pctVal>0.0000004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889959 FN 05/36 FIXED VAR</title>
        <cusip>31410KWU4</cusip>
        <identifiers>
          <isin value="US31410KWU41"/>
        </identifiers>
        <balance>45483.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47528.990000</valUSD>
        <pctVal>0.0033977</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5</title>
        <cusip>3133AEWP5</cusip>
        <identifiers>
          <isin value="US3133AEWP50"/>
        </identifiers>
        <balance>651303.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>556155.770000</valUSD>
        <pctVal>0.0397576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 964789 FN 08/38 FIXED 6</title>
        <cusip>31414FKA8</cusip>
        <identifiers>
          <isin value="US31414FKA83"/>
        </identifiers>
        <balance>426.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>442.640000</valUSD>
        <pctVal>0.0000316</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>
        </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 BV5386 FN 04/52 FIXED 3</title>
        <cusip>3140MJ6Y6</cusip>
        <identifiers>
          <isin value="US3140MJ6Y64"/>
        </identifiers>
        <balance>3649456.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3230965.360000</valUSD>
        <pctVal>0.23097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 POOL 485398 GN 04/31 FIXED 7.5</title>
        <cusip>36209YGF9</cusip>
        <identifiers>
          <isin value="US36209YGF97"/>
        </identifiers>
        <balance>243.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>244.820000</valUSD>
        <pctVal>0.0000175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 685630 GN 04/38 FIXED 6</title>
        <cusip>36296AVX9</cusip>
        <identifiers>
          <isin value="US36296AVX98"/>
        </identifiers>
        <balance>39243.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40034.500000</valUSD>
        <pctVal>0.0028619</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>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 831952 FN 11/36 FIXED 6.5</title>
        <cusip>31407JH54</cusip>
        <identifiers>
          <isin value="US31407JH543"/>
        </identifiers>
        <balance>11159.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11653.290000</valUSD>
        <pctVal>0.0008331</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>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 481627 GN 08/29 FIXED 7.5</title>
        <cusip>36209UA48</cusip>
        <identifiers>
          <isin value="US36209UA482"/>
        </identifiers>
        <balance>863.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>873.240000</valUSD>
        <pctVal>0.0000624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH9316 FN 09/47 FIXED 3.5</title>
        <cusip>3140GYK65</cusip>
        <identifiers>
          <isin value="US3140GYK655"/>
        </identifiers>
        <balance>5670094.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5339318.720000</valUSD>
        <pctVal>0.381689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>362313.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18254.180000</valUSD>
        <pctVal>0.0013049</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>
        </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 710683 GN 07/39 FIXED 4.5</title>
        <cusip>36297FRC8</cusip>
        <identifiers>
          <isin value="US36297FRC85"/>
        </identifiers>
        <balance>17309.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17262.070000</valUSD>
        <pctVal>0.001234</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 G04448 FG 07/38 FIXED 5.5</title>
        <cusip>3128M6HZ4</cusip>
        <identifiers>
          <isin value="US3128M6HZ44"/>
        </identifiers>
        <balance>8809.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9088.830000</valUSD>
        <pctVal>0.0006497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>317U3Y8A5 PIMCO SWAPTION 5.3 PUT USD 20250313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002RZ42"/>
        </identifiers>
        <balance>34500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>16553.100000</valUSD>
        <pctVal>0.0011833</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>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.30000 03/17/25-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01XKW2"/>
                    </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/5.30000 03/17/25-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01XKW2"/>
                      </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="5.300000"/>
                  <terminationDt>2026-03-17</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>5.300000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-03-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-45546.900000</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 AJ9192 FN 01/27 FIXED 3</title>
        <cusip>3138E2GA7</cusip>
        <identifiers>
          <isin value="US3138E2GA77"/>
        </identifiers>
        <balance>103988.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101144.630000</valUSD>
        <pctVal>0.0072305</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>FANNIE MAE 2002-53</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 53 FK</title>
        <cusip>31392EHN3</cusip>
        <identifiers>
          <isin value="US31392EHN31"/>
        </identifiers>
        <balance>231.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230.380000</valUSD>
        <pctVal>0.0000165</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>5.85191</annualizedRt>
          <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 G08448 FG 05/41 FIXED 5</title>
        <cusip>3128MJQA1</cusip>
        <identifiers>
          <isin value="US3128MJQA12"/>
        </identifiers>
        <balance>51360.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52225.490000</valUSD>
        <pctVal>0.0037334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0937 G2 04/43 FIXED 5</title>
        <cusip>36179NBE7</cusip>
        <identifiers>
          <isin value="US36179NBE76"/>
        </identifiers>
        <balance>324412.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>330550.130000</valUSD>
        <pctVal>0.0236299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-20</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 933017 FN 10/37 FIXED 6.5</title>
        <cusip>31412SAS4</cusip>
        <identifiers>
          <isin value="US31412SAS41"/>
        </identifiers>
        <balance>12407.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12918.510000</valUSD>
        <pctVal>0.0009235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 846902 FH 04/31 FLOATING VAR</title>
        <cusip>3128HDU31</cusip>
        <identifiers>
          <isin value="US3128HDU313"/>
        </identifiers>
        <balance>2.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2.020000</valUSD>
        <pctVal>0.0000001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ATLAS SENIOR LOAN FUND LTD 2018-12A</name>
        <lei>N/A</lei>
        <title>ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A</title>
        <cusip>04942UAC0</cusip>
        <identifiers>
          <isin value="US04942UAC09"/>
        </identifiers>
        <balance>3976507.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3973626.200000</valUSD>
        <pctVal>0.28406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.84008</annualizedRt>
          <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 4.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F042426</cusip>
        <identifiers>
          <isin value="US01F0424261"/>
        </identifiers>
        <balance>24800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24695375.000000</valUSD>
        <pctVal>1.76538</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>
        </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 MA5653 G2 12/48 FIXED 5</title>
        <cusip>36179UH62</cusip>
        <identifiers>
          <isin value="US36179UH623"/>
        </identifiers>
        <balance>230846.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232229.510000</valUSD>
        <pctVal>0.0166013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-20</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 G02236 FG 06/36 FIXED 5.5</title>
        <cusip>3128LXPV6</cusip>
        <identifiers>
          <isin value="US3128LXPV60"/>
        </identifiers>
        <balance>178.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>184.470000</valUSD>
        <pctVal>0.0000132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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 G05191 FG 12/38 FIXED 5.5</title>
        <cusip>3128M7C46</cusip>
        <identifiers>
          <isin value="US3128M7C460"/>
        </identifiers>
        <balance>24691.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25473.690000</valUSD>
        <pctVal>0.001821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 703814 FN 05/33 FIXED 5.5</title>
        <cusip>31401B3X1</cusip>
        <identifiers>
          <isin value="US31401B3X18"/>
        </identifiers>
        <balance>22279.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22950.470000</valUSD>
        <pctVal>0.0016406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA7883 G2 02/52 FIXED 3.5</title>
        <cusip>36179WXL7</cusip>
        <identifiers>
          <isin value="US36179WXL70"/>
        </identifiers>
        <balance>13307122.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12389802.870000</valUSD>
        <pctVal>0.885703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-02-20</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 782848 GN 08/39 FIXED 5.5</title>
        <cusip>36241LEV4</cusip>
        <identifiers>
          <isin value="US36241LEV45"/>
        </identifiers>
        <balance>3124.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3161.890000</valUSD>
        <pctVal>0.000226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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>BEAR STEARNS ALT-A TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1</title>
        <cusip>07386HSY8</cusip>
        <identifiers>
          <isin value="US07386HSY89"/>
        </identifiers>
        <balance>121344.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114848.590000</valUSD>
        <pctVal>0.0082101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.48795</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR19</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A</title>
        <cusip>933638AD0</cusip>
        <identifiers>
          <isin value="US933638AD07"/>
        </identifiers>
        <balance>532899.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>471546.470000</valUSD>
        <pctVal>0.0337092</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.2618</annualizedRt>
          <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 AA8498 FN 07/37 FIXED 5.5</title>
        <cusip>31416SNQ0</cusip>
        <identifiers>
          <isin value="US31416SNQ02"/>
        </identifiers>
        <balance>86555.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89169.890000</valUSD>
        <pctVal>0.0063744</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004553 G2 10/39 FIXED 4.5</title>
        <cusip>36202FBW5</cusip>
        <identifiers>
          <isin value="US36202FBW59"/>
        </identifiers>
        <balance>62339.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61276.690000</valUSD>
        <pctVal>0.0043805</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-20</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 C79405 FG 05/33 FIXED 5</title>
        <cusip>31288JNW2</cusip>
        <identifiers>
          <isin value="US31288JNW26"/>
        </identifiers>
        <balance>180.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183.290000</valUSD>
        <pctVal>0.0000131</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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 902745 FN 11/36 FIXED 6</title>
        <cusip>31411A5E1</cusip>
        <identifiers>
          <isin value="US31411A5E10"/>
        </identifiers>
        <balance>36310.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37644.720000</valUSD>
        <pctVal>0.0026911</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-50</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 50 SB</title>
        <cusip>3136APNG3</cusip>
        <identifiers>
          <isin value="US3136APNG31"/>
        </identifiers>
        <balance>1935276.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116177.520000</valUSD>
        <pctVal>0.0083051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782336 GN 05/38 FIXED 6</title>
        <cusip>36241KSZ2</cusip>
        <identifiers>
          <isin value="US36241KSZ20"/>
        </identifiers>
        <balance>9039.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9249.290000</valUSD>
        <pctVal>0.0006612</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</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>STRUCTURED ASSET MTG INV INC 2007-AR2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1</title>
        <cusip>86363DAH4</cusip>
        <identifiers>
          <isin value="US86363DAH44"/>
        </identifiers>
        <balance>68110.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22865.770000</valUSD>
        <pctVal>0.0016346</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73043</annualizedRt>
          <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 G05335 FG 03/39 FIXED 5</title>
        <cusip>3128M7HL3</cusip>
        <identifiers>
          <isin value="US3128M7HL31"/>
        </identifiers>
        <balance>535484.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545152.940000</valUSD>
        <pctVal>0.0389711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</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>WASHINGTON MUTUAL 2002-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A</title>
        <cusip>929227XB7</cusip>
        <identifiers>
          <isin value="US929227XB72"/>
        </identifiers>
        <balance>14997.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13823.460000</valUSD>
        <pctVal>0.0009882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.2118</annualizedRt>
          <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 671023 GN 08/37 FIXED 6</title>
        <cusip>36295HPG9</cusip>
        <identifiers>
          <isin value="US36295HPG91"/>
        </identifiers>
        <balance>3817.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3900.420000</valUSD>
        <pctVal>0.0002788</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</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 256450 FN 10/36 FIXED 5.5</title>
        <cusip>31371MZP5</cusip>
        <identifiers>
          <isin value="US31371MZP57"/>
        </identifiers>
        <balance>1225.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1219.990000</valUSD>
        <pctVal>0.0000872</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 447739 GN 06/27 FIXED 8.5</title>
        <cusip>36208DLU7</cusip>
        <identifiers>
          <isin value="US36208DLU71"/>
        </identifiers>
        <balance>1533.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1531.930000</valUSD>
        <pctVal>0.0001095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888813 FN 03/37 FIXED VAR</title>
        <cusip>31410GN66</cusip>
        <identifiers>
          <isin value="US31410GN665"/>
        </identifiers>
        <balance>47252.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49759.130000</valUSD>
        <pctVal>0.0035571</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>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 FS2678 FN 01/52 FIXED VAR</title>
        <cusip>3140XH6Q5</cusip>
        <identifiers>
          <isin value="US3140XH6Q57"/>
        </identifiers>
        <balance>8036144.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6867195.610000</valUSD>
        <pctVal>0.490912</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>
          <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 2411</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2411 FJ</title>
        <cusip>31339D4L9</cusip>
        <identifiers>
          <isin value="US31339D4L92"/>
        </identifiers>
        <balance>28820.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28764.390000</valUSD>
        <pctVal>0.0020563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.80292</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GE-WMC MORTGAGE SECURITIES LLC 2006-1</name>
        <lei>N/A</lei>
        <title>GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A</title>
        <cusip>36829JAA9</cusip>
        <identifiers>
          <isin value="US36829JAA97"/>
        </identifiers>
        <balance>34173.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13855.310000</valUSD>
        <pctVal>0.0009905</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.55043</annualizedRt>
          <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 080220 G2 08/28 FLOATING VAR</title>
        <cusip>36225CG67</cusip>
        <identifiers>
          <isin value="US36225CG673"/>
        </identifiers>
        <balance>4265.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4178.440000</valUSD>
        <pctVal>0.0002987</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809360 FN 02/35 FIXED 5.5</title>
        <cusip>31406GE96</cusip>
        <identifiers>
          <isin value="US31406GE969"/>
        </identifiers>
        <balance>17031.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17546.220000</valUSD>
        <pctVal>0.0012543</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BD1201 FN 06/46 FIXED 4</title>
        <cusip>3140F8KP1</cusip>
        <identifiers>
          <isin value="US3140F8KP14"/>
        </identifiers>
        <balance>229845.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221675.810000</valUSD>
        <pctVal>0.0158468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A81280 FG 08/38 FIXED 5</title>
        <cusip>312927M52</cusip>
        <identifiers>
          <isin value="US312927M520"/>
        </identifiers>
        <balance>7827.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7968.030000</valUSD>
        <pctVal>0.0005696</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>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 AH0562 FN 01/26 FIXED 3.5</title>
        <cusip>3138A1TU5</cusip>
        <identifiers>
          <isin value="US3138A1TU51"/>
        </identifiers>
        <balance>3757.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3664.210000</valUSD>
        <pctVal>0.0002619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIT GROUP HOME EQUITY LOAN TRUS 2002-2</name>
        <lei>N/A</lei>
        <title>CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 MV1</title>
        <cusip>12558MBC5</cusip>
        <identifiers>
          <isin value="US12558MBC55"/>
        </identifiers>
        <balance>35048.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34085.070000</valUSD>
        <pctVal>0.0024366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17052</annualizedRt>
          <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 910930 FN 02/37 FIXED 6.5</title>
        <cusip>31411LA76</cusip>
        <identifiers>
          <isin value="US31411LA769"/>
        </identifiers>
        <balance>12182.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12656.150000</valUSD>
        <pctVal>0.0009047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 605375 GN 09/34 FIXED 6.5</title>
        <cusip>36200NQ46</cusip>
        <identifiers>
          <isin value="US36200NQ466"/>
        </identifiers>
        <balance>2248.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2325.050000</valUSD>
        <pctVal>0.0001662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-15</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>COUNTRYWIDE HOME LOANS 2004-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1</title>
        <cusip>12669GKF7</cusip>
        <identifiers>
          <isin value="US12669GKF71"/>
        </identifiers>
        <balance>6291.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5288.810000</valUSD>
        <pctVal>0.0003781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15043</annualizedRt>
          <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 A76298 FG 04/38 FIXED 5</title>
        <cusip>3128L97K3</cusip>
        <identifiers>
          <isin value="US3128L97K32"/>
        </identifiers>
        <balance>8148.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8295.280000</valUSD>
        <pctVal>0.000593</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>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>BEAR STEARNS ALT-A TRUST 2006-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1</title>
        <cusip>073868AV3</cusip>
        <identifiers>
          <isin value="US073868AV35"/>
        </identifiers>
        <balance>305690.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>169126.560000</valUSD>
        <pctVal>0.0120903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.22846</annualizedRt>
          <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 080263 G2 03/29 FLOATING VAR</title>
        <cusip>36225CJH0</cusip>
        <identifiers>
          <isin value="US36225CJH07"/>
        </identifiers>
        <balance>2709.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2642.770000</valUSD>
        <pctVal>0.0001889</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-20</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>WELLFLEET CLO LTD 2015-1</name>
        <lei>N/A</lei>
        <title>WELLFLEET CLO LTD WELF 2015 1A AR4 144A</title>
        <cusip>949496BJ1</cusip>
        <identifiers>
          <isin value="US949496BJ15"/>
        </identifiers>
        <balance>505311.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>505157.040000</valUSD>
        <pctVal>0.0361119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.56743</annualizedRt>
          <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 782964 GN 01/40 FIXED 6</title>
        <cusip>36241LJH0</cusip>
        <identifiers>
          <isin value="US36241LJH06"/>
        </identifiers>
        <balance>8837.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9152.190000</valUSD>
        <pctVal>0.0006543</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</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 986648 FN 09/37 FIXED 6</title>
        <cusip>31415RBR4</cusip>
        <identifiers>
          <isin value="US31415RBR49"/>
        </identifiers>
        <balance>3891.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4054.840000</valUSD>
        <pctVal>0.0002899</pctVal>
        <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</annualizedRt>
          <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 485329 GN 03/31 FIXED 7.5</title>
        <cusip>36209YEA2</cusip>
        <identifiers>
          <isin value="US36209YEA29"/>
        </identifiers>
        <balance>284.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286.120000</valUSD>
        <pctVal>0.0000205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-15</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>MELLON RESIDENTIAL FUND CORP 2000-TBC2</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1</title>
        <cusip>585525ED6</cusip>
        <identifiers>
          <isin value="US585525ED64"/>
        </identifiers>
        <balance>77105.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73809.720000</valUSD>
        <pctVal>0.0052764</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95629</annualizedRt>
          <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 FS1907 FN 07/47 FIXED VAR</title>
        <cusip>3140XHDM6</cusip>
        <identifiers>
          <isin value="US3140XHDM65"/>
        </identifiers>
        <balance>873902.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>824681.090000</valUSD>
        <pctVal>0.0589535</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A82329 FG 10/38 FIXED 5.5</title>
        <cusip>312928SS4</cusip>
        <identifiers>
          <isin value="US312928SS48"/>
        </identifiers>
        <balance>353.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364.810000</valUSD>
        <pctVal>0.0000261</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 477534 GN 11/28 FIXED 6.5</title>
        <cusip>36209PPT8</cusip>
        <identifiers>
          <isin value="US36209PPT83"/>
        </identifiers>
        <balance>387.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>399.340000</valUSD>
        <pctVal>0.0000285</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91213 FG 10/28 FIXED 6</title>
        <cusip>3128P7K28</cusip>
        <identifiers>
          <isin value="US3128P7K288"/>
        </identifiers>
        <balance>13221.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13460.450000</valUSD>
        <pctVal>0.0009622</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A89387 FG 10/39 FIXED 5.5</title>
        <cusip>312936NC7</cusip>
        <identifiers>
          <isin value="US312936NC74"/>
        </identifiers>
        <balance>42730.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44086.280000</valUSD>
        <pctVal>0.0031516</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>5.5</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 783363 GN 02/41 FIXED 5.5</title>
        <cusip>36241LWY8</cusip>
        <identifiers>
          <isin value="US36241LWY81"/>
        </identifiers>
        <balance>10663.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10782.640000</valUSD>
        <pctVal>0.0007708</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB7517 FN 01/33 FIXED 2.5</title>
        <cusip>31417EK75</cusip>
        <identifiers>
          <isin value="US31417EK752"/>
        </identifiers>
        <balance>593073.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>551762.850000</valUSD>
        <pctVal>0.0394436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>STRUCTURED ARM LOAN TRUST 2004-8</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A</title>
        <cusip>86359BWG2</cusip>
        <identifiers>
          <isin value="US86359BWG21"/>
        </identifiers>
        <balance>12284.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11767.240000</valUSD>
        <pctVal>0.0008412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.281</annualizedRt>
          <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 725943 FN 10/34 FIXED VAR</title>
        <cusip>31402DP46</cusip>
        <identifiers>
          <isin value="US31402DP466"/>
        </identifiers>
        <balance>5617.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5787.210000</valUSD>
        <pctVal>0.0004137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 941137 FN 10/37 FIXED 6.5</title>
        <cusip>31413CBE8</cusip>
        <identifiers>
          <isin value="US31413CBE84"/>
        </identifiers>
        <balance>3859.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4027.950000</valUSD>
        <pctVal>0.0002879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 929207 FN 03/38 FIXED 6.5</title>
        <cusip>31412MKU1</cusip>
        <identifiers>
          <isin value="US31412MKU17"/>
        </identifiers>
        <balance>14413.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15194.570000</valUSD>
        <pctVal>0.0010862</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>
          <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 002947 G2 07/30 FIXED 8.5</title>
        <cusip>36202DHY0</cusip>
        <identifiers>
          <isin value="US36202DHY04"/>
        </identifiers>
        <balance>1288.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1342.110000</valUSD>
        <pctVal>0.0000959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3</title>
        <cusip>12669GZQ7</cusip>
        <identifiers>
          <isin value="US12669GZQ71"/>
        </identifiers>
        <balance>431522.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345533.090000</valUSD>
        <pctVal>0.0247009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.93043</annualizedRt>
          <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 711345 GN 09/38 FIXED 6</title>
        <cusip>36297GHW3</cusip>
        <identifiers>
          <isin value="US36297GHW33"/>
        </identifiers>
        <balance>18675.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19158.620000</valUSD>
        <pctVal>0.0013696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 771910 FN 04/34 FIXED 5.5</title>
        <cusip>31404LR77</cusip>
        <identifiers>
          <isin value="US31404LR776"/>
        </identifiers>
        <balance>13601.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14012.380000</valUSD>
        <pctVal>0.0010017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080542 G2 09/31 FLOATING VAR</title>
        <cusip>36225CS80</cusip>
        <identifiers>
          <isin value="US36225CS801"/>
        </identifiers>
        <balance>73316.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72062.510000</valUSD>
        <pctVal>0.0051515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008949 G2 08/26 FLOATING VAR</title>
        <cusip>36202K5J0</cusip>
        <identifiers>
          <isin value="US36202K5J04"/>
        </identifiers>
        <balance>7617.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7536.250000</valUSD>
        <pctVal>0.0005387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 880893 FN 04/36 FIXED 6</title>
        <cusip>31409WUS8</cusip>
        <identifiers>
          <isin value="US31409WUS87"/>
        </identifiers>
        <balance>1929.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1986.620000</valUSD>
        <pctVal>0.000142</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>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>LONG BEACH MTGE LOAN TRUST 2001-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1</title>
        <cusip>542514BK9</cusip>
        <identifiers>
          <isin value="US542514BK96"/>
        </identifiers>
        <balance>177631.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175614.540000</valUSD>
        <pctVal>0.0125541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.89543</annualizedRt>
          <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 742408 GN 06/40 FIXED 5</title>
        <cusip>3620AWYD6</cusip>
        <identifiers>
          <isin value="US3620AWYD68"/>
        </identifiers>
        <balance>6215.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6239.020000</valUSD>
        <pctVal>0.000446</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>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 A78147 FG 06/38 FIXED 5.5</title>
        <cusip>3128LCBQ8</cusip>
        <identifiers>
          <isin value="US3128LCBQ84"/>
        </identifiers>
        <balance>3462.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3554.470000</valUSD>
        <pctVal>0.0002541</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>
        </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 G02252 FG 07/36 FIXED 5.5</title>
        <cusip>3128LXQD5</cusip>
        <identifiers>
          <isin value="US3128LXQD53"/>
        </identifiers>
        <balance>18163.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18738.470000</valUSD>
        <pctVal>0.0013395</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555281 FN 03/33 FIXED VAR</title>
        <cusip>31385W2N8</cusip>
        <identifiers>
          <isin value="US31385W2N87"/>
        </identifiers>
        <balance>8880.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9198.600000</valUSD>
        <pctVal>0.0006576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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 479903 GN 01/31 FIXED 7.5</title>
        <cusip>36209SDG3</cusip>
        <identifiers>
          <isin value="US36209SDG30"/>
        </identifiers>
        <balance>495.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>498.980000</valUSD>
        <pctVal>0.0000357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A73872 FG 03/38 FIXED 5</title>
        <cusip>3128L7JR9</cusip>
        <identifiers>
          <isin value="US3128L7JR92"/>
        </identifiers>
        <balance>5965.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6073.070000</valUSD>
        <pctVal>0.0004341</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>
          <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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002910 G2 04/30 FIXED 8.5</title>
        <cusip>36202DGT2</cusip>
        <identifiers>
          <isin value="US36202DGT28"/>
        </identifiers>
        <balance>1466.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1511.400000</valUSD>
        <pctVal>0.000108</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972104 FH 05/32 FLOATING VAR</title>
        <cusip>31336CKR3</cusip>
        <identifiers>
          <isin value="US31336CKR33"/>
        </identifiers>
        <balance>54493.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54132.240000</valUSD>
        <pctVal>0.0038697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.548</annualizedRt>
          <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 080425 G2 07/30 FLOATING VAR</title>
        <cusip>36225CPK6</cusip>
        <identifiers>
          <isin value="US36225CPK61"/>
        </identifiers>
        <balance>17023.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16722.780000</valUSD>
        <pctVal>0.0011955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781611 GN 05/33 FIXED 5</title>
        <cusip>36225BYG7</cusip>
        <identifiers>
          <isin value="US36225BYG75"/>
        </identifiers>
        <balance>411.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414.420000</valUSD>
        <pctVal>0.0000296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-15</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 A11990 FG 08/33 FIXED 5</title>
        <cusip>31296LF71</cusip>
        <identifiers>
          <isin value="US31296LF714"/>
        </identifiers>
        <balance>194.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>198.290000</valUSD>
        <pctVal>0.0000142</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BC1102 GN 07/47 FIXED 4</title>
        <cusip>3617B4GK7</cusip>
        <identifiers>
          <isin value="US3617B4GK72"/>
        </identifiers>
        <balance>221452.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213924.070000</valUSD>
        <pctVal>0.0152927</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317553PA7 OTC ECAL FN 5.0 JAN24 98.40625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46881"/>
        </identifiers>
        <balance>-37000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-263070.000000</valUSD>
        <pctVal>-0.0188059</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.410000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-95413.750000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 U91696 FG 07/43 FIXED 4</title>
        <cusip>3132HBXZ3</cusip>
        <identifiers>
          <isin value="US3132HBXZ39"/>
        </identifiers>
        <balance>487925.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>474985.630000</valUSD>
        <pctVal>0.033955</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05181 FG 01/39 FIXED 5.5</title>
        <cusip>3128M7CS3</cusip>
        <identifiers>
          <isin value="US3128M7CS39"/>
        </identifiers>
        <balance>68999.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71183.460000</valUSD>
        <pctVal>0.0050887</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>
        </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 658374 GN 11/36 FIXED 6.5</title>
        <cusip>36294SMX2</cusip>
        <identifiers>
          <isin value="US36294SMX26"/>
        </identifiers>
        <balance>747.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>775.880000</valUSD>
        <pctVal>0.0000555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 792592 FN 08/34 FIXED 6.5</title>
        <cusip>31405LRM3</cusip>
        <identifiers>
          <isin value="US31405LRM36"/>
        </identifiers>
        <balance>6168.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6443.090000</valUSD>
        <pctVal>0.0004606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745637 FN 12/34 FIXED VAR</title>
        <cusip>31403DLS6</cusip>
        <identifiers>
          <isin value="US31403DLS61"/>
        </identifiers>
        <balance>2393.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2502.450000</valUSD>
        <pctVal>0.0001789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS4556 FN 03/40 FIXED 3.5</title>
        <cusip>3138WEB24</cusip>
        <identifiers>
          <isin value="US3138WEB244"/>
        </identifiers>
        <balance>567657.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>539163.480000</valUSD>
        <pctVal>0.0385429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256023 FN 12/35 FIXED 6</title>
        <cusip>31371MLC9</cusip>
        <identifiers>
          <isin value="US31371MLC90"/>
        </identifiers>
        <balance>139527.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145800.290000</valUSD>
        <pctVal>0.0104227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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 CA2833 FN 12/38 FIXED 4.5</title>
        <cusip>3140QAEF3</cusip>
        <identifiers>
          <isin value="US3140QAEF36"/>
        </identifiers>
        <balance>864296.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>863547.920000</valUSD>
        <pctVal>0.061732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008651 G2 07/25 FLOATING VAR</title>
        <cusip>36202KTG0</cusip>
        <identifiers>
          <isin value="US36202KTG03"/>
        </identifiers>
        <balance>4413.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4381.300000</valUSD>
        <pctVal>0.0003132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93343 FG 08/40 FIXED 5</title>
        <cusip>312941WC7</cusip>
        <identifiers>
          <isin value="US312941WC76"/>
        </identifiers>
        <balance>6555.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6673.850000</valUSD>
        <pctVal>0.0004771</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05120 FG 12/38 FIXED 5.5</title>
        <cusip>3128M7AV8</cusip>
        <identifiers>
          <isin value="US3128M7AV85"/>
        </identifiers>
        <balance>152808.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>157650.590000</valUSD>
        <pctVal>0.0112699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 778871 FN 06/34 FIXED 5.5</title>
        <cusip>31404UJQ4</cusip>
        <identifiers>
          <isin value="US31404UJQ40"/>
        </identifiers>
        <balance>97365.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100302.590000</valUSD>
        <pctVal>0.0071703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>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"/>
        </identifiers>
        <balance>1008496.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>926600.390000</valUSD>
        <pctVal>0.0662394</pctVal>
        <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>
        </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 G04630 FG 11/29 FIXED 6</title>
        <cusip>3128M6PP7</cusip>
        <identifiers>
          <isin value="US3128M6PP79"/>
        </identifiers>
        <balance>78.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80.150000</valUSD>
        <pctVal>0.0000057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-01</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 782280 GN 02/38 FIXED 5.5</title>
        <cusip>36241KQ92</cusip>
        <identifiers>
          <isin value="US36241KQ920"/>
        </identifiers>
        <balance>6067.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6135.320000</valUSD>
        <pctVal>0.0004386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 G06031 FG 03/40 FIXED 5.5</title>
        <cusip>3128M8A87</cusip>
        <identifiers>
          <isin value="US3128M8A876"/>
        </identifiers>
        <balance>133625.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137856.300000</valUSD>
        <pctVal>0.0098549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080150 G2 01/28 FLOATING VAR</title>
        <cusip>36225CEY8</cusip>
        <identifiers>
          <isin value="US36225CEY84"/>
        </identifiers>
        <balance>16097.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15969.930000</valUSD>
        <pctVal>0.0011416</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB3242 FN 04/52 FIXED 3</title>
        <cusip>3140QNS86</cusip>
        <identifiers>
          <isin value="US3140QNS866"/>
        </identifiers>
        <balance>5485116.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4854409.210000</valUSD>
        <pctVal>0.347025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 POOL AE7016 GN 06/43 FIXED 3.5</title>
        <cusip>36181AYM8</cusip>
        <identifiers>
          <isin value="US36181AYM88"/>
        </identifiers>
        <balance>260404.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246057.370000</valUSD>
        <pctVal>0.0175898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-15</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>STRUCTURED ASSET MTGE INVEST 2006-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1</title>
        <cusip>86360JAA9</cusip>
        <identifiers>
          <isin value="US86360JAA97"/>
        </identifiers>
        <balance>383287.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>258103.600000</valUSD>
        <pctVal>0.0184509</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.89043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AGL CLO 6 LTD 2020-6A</name>
        <lei>N/A</lei>
        <title>AGL CLO 6 LTD AGL 2020 6A AR 144A</title>
        <cusip>00119VAN9</cusip>
        <identifiers>
          <isin value="US00119VAN91"/>
        </identifiers>
        <balance>3900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3899201.240000</valUSD>
        <pctVal>0.27874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.87743</annualizedRt>
          <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 008865 G2 05/26 FLOATING VAR</title>
        <cusip>36202KZ65</cusip>
        <identifiers>
          <isin value="US36202KZ659"/>
        </identifiers>
        <balance>34155.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33951.320000</valUSD>
        <pctVal>0.0024271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR7</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32</title>
        <cusip>39538CAF9</cusip>
        <identifiers>
          <isin value="US39538CAF95"/>
        </identifiers>
        <balance>1264976.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1174538.950000</valUSD>
        <pctVal>0.0839636</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>5.67043</annualizedRt>
          <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 2.5 JUMBOS</title>
        <cusip>21H022614</cusip>
        <identifiers>
          <isin value="US21H0226140"/>
        </identifiers>
        <balance>-39000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-34122050.820000</valUSD>
        <pctVal>-2.43926</pctVal>
        <payoffProfile>Short</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A84058 FG 01/39 FIXED 5.5</title>
        <cusip>312930QK9</cusip>
        <identifiers>
          <isin value="US312930QK93"/>
        </identifiers>
        <balance>1806.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1858.880000</valUSD>
        <pctVal>0.0001329</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>
        </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 ZK8554 FR 02/32 FIXED 2.5</title>
        <cusip>3131XCQF7</cusip>
        <identifiers>
          <isin value="US3131XCQF73"/>
        </identifiers>
        <balance>67699.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63813.600000</valUSD>
        <pctVal>0.0045618</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008698 G2 09/25 FLOATING VAR</title>
        <cusip>36202KUX1</cusip>
        <identifiers>
          <isin value="US36202KUX17"/>
        </identifiers>
        <balance>1171.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1156.610000</valUSD>
        <pctVal>0.0000827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 701529 GN 02/38 FIXED 6.5</title>
        <cusip>36296ULJ7</cusip>
        <identifiers>
          <isin value="US36296ULJ78"/>
        </identifiers>
        <balance>1608.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1663.130000</valUSD>
        <pctVal>0.0001189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 AV1004 FN 10/43 FIXED 5</title>
        <cusip>3138XCDJ8</cusip>
        <identifiers>
          <isin value="US3138XCDJ85"/>
        </identifiers>
        <balance>31442.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31681.830000</valUSD>
        <pctVal>0.0022648</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA2756 G2 04/45 FIXED 4.5</title>
        <cusip>36179RBZ1</cusip>
        <identifiers>
          <isin value="US36179RBZ10"/>
        </identifiers>
        <balance>2512226.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2516813.650000</valUSD>
        <pctVal>0.179918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-04-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 360765 GN 12/28 FIXED 6.5</title>
        <cusip>36203VW22</cusip>
        <identifiers>
          <isin value="US36203VW222"/>
        </identifiers>
        <balance>1518.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1563.560000</valUSD>
        <pctVal>0.0001118</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</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>ASSET BACKED FUNDING CERTS 2004-OPT5</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1</title>
        <cusip>04542BJY9</cusip>
        <identifiers>
          <isin value="US04542BJY92"/>
        </identifiers>
        <balance>112250.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109985.340000</valUSD>
        <pctVal>0.0078625</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17043</annualizedRt>
          <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 004058 G2 12/37 FIXED 5</title>
        <cusip>36202EQK8</cusip>
        <identifiers>
          <isin value="US36202EQK81"/>
        </identifiers>
        <balance>13213.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13430.320000</valUSD>
        <pctVal>0.0009601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-20</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 781629 FN 12/34 FIXED 5.5</title>
        <cusip>31404XLJ1</cusip>
        <identifiers>
          <isin value="US31404XLJ18"/>
        </identifiers>
        <balance>29485.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30375.840000</valUSD>
        <pctVal>0.0021715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>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"/>
        </identifiers>
        <balance>2665834.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2280394.990000</valUSD>
        <pctVal>0.163017</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>
          <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 545980 FN 06/32 FLOATING VAR</title>
        <cusip>31385JQ92</cusip>
        <identifiers>
          <isin value="US31385JQ922"/>
        </identifiers>
        <balance>14742.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14738.070000</valUSD>
        <pctVal>0.0010536</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.805</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 II POOL 004447 G2 05/39 FIXED 5</title>
        <cusip>36202E5G0</cusip>
        <identifiers>
          <isin value="US36202E5G00"/>
        </identifiers>
        <balance>184783.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187714.840000</valUSD>
        <pctVal>0.0134191</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-20</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>NEWARK BSL CLO 2 LTD 2016 1A</name>
        <lei>N/A</lei>
        <title>NEWARK BSL CLO 1 LTD. NBCLO 2016 1A A1R 144A</title>
        <cusip>65023TAJ1</cusip>
        <identifiers>
          <isin value="US65023TAJ16"/>
        </identifiers>
        <balance>1386535.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1384929.900000</valUSD>
        <pctVal>0.0990037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.7491</annualizedRt>
          <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 MA1447 G2 11/43 FIXED 3</title>
        <cusip>36179NTC2</cusip>
        <identifiers>
          <isin value="US36179NTC29"/>
        </identifiers>
        <balance>803092.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>740436.070000</valUSD>
        <pctVal>0.0529311</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5</title>
        <cusip>3128L6BS7</cusip>
        <identifiers>
          <isin value="US3128L6BS74"/>
        </identifiers>
        <balance>386918.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>399189.590000</valUSD>
        <pctVal>0.0285366</pctVal>
        <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>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 G30393 FG 05/28 FIXED 6</title>
        <cusip>3128CUNJ1</cusip>
        <identifiers>
          <isin value="US3128CUNJ13"/>
        </identifiers>
        <balance>6315.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6421.720000</valUSD>
        <pctVal>0.0004591</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03111 FG 05/37 FIXED 5.5</title>
        <cusip>3128M4YG2</cusip>
        <identifiers>
          <isin value="US3128M4YG22"/>
        </identifiers>
        <balance>5312.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5480.950000</valUSD>
        <pctVal>0.0003918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF2570 G2 05/48 FIXED 4</title>
        <cusip>3617G82B8</cusip>
        <identifiers>
          <isin value="US3617G82B84"/>
        </identifiers>
        <balance>218630.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209779.150000</valUSD>
        <pctVal>0.0149964</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-20</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 G05329 FG 03/39 FIXED 4.5</title>
        <cusip>3128M7HE9</cusip>
        <identifiers>
          <isin value="US3128M7HE97"/>
        </identifiers>
        <balance>101856.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101784.030000</valUSD>
        <pctVal>0.0072762</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5399 G2 08/48 FIXED 4.5</title>
        <cusip>36179T7L3</cusip>
        <identifiers>
          <isin value="US36179T7L33"/>
        </identifiers>
        <balance>5352119.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5290935.870000</valUSD>
        <pctVal>0.37823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-20</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>STRUCTURED ADJ RATE MTG LN 2004-7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3</title>
        <cusip>86359BRV5</cusip>
        <identifiers>
          <isin value="US86359BRV52"/>
        </identifiers>
        <balance>193493.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177022.240000</valUSD>
        <pctVal>0.0126547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.20543</annualizedRt>
          <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>RFR USD SOFR/4.18000 11/08/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YVW8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1748278.170000</valUSD>
        <pctVal>0.124978</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01YVW8-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.180000"/>
            <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>2030-11-08</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-288100.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>43000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2036378.170000</unrealizedAppr>
          </swapDeriv>
        </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 C00781 FG 04/29 FIXED 6.5</title>
        <cusip>31292G2N5</cusip>
        <identifiers>
          <isin value="US31292G2N54"/>
        </identifiers>
        <balance>425.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>446.560000</valUSD>
        <pctVal>0.0000319</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 060679 FN 01/28 FLOATING VAR</title>
        <cusip>31362GM40</cusip>
        <identifiers>
          <isin value="US31362GM405"/>
        </identifiers>
        <balance>406.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>398.820000</valUSD>
        <pctVal>0.0000285</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.483</annualizedRt>
          <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"/>
        </identifiers>
        <balance>12519.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12089.370000</valUSD>
        <pctVal>0.0008642</pctVal>
        <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>
        </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 683112 FN 02/33 FIXED 5.5</title>
        <cusip>31400B3V6</cusip>
        <identifiers>
          <isin value="US31400B3V61"/>
        </identifiers>
        <balance>5306.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5466.560000</valUSD>
        <pctVal>0.0003908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</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>JP MORGAN MTGE TRUST 2005-A7</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3</title>
        <cusip>466247WQ2</cusip>
        <identifiers>
          <isin value="US466247WQ26"/>
        </identifiers>
        <balance>467554.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>428103.450000</valUSD>
        <pctVal>0.0306036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.10876</annualizedRt>
          <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 BJ6388 FN 02/48 FIXED 4</title>
        <cusip>3140H8C29</cusip>
        <identifiers>
          <isin value="US3140H8C295"/>
        </identifiers>
        <balance>825158.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>793922.130000</valUSD>
        <pctVal>0.0567547</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 781077 FN 05/34 FIXED 5.5</title>
        <cusip>31404WXE1</cusip>
        <identifiers>
          <isin value="US31404WXE10"/>
        </identifiers>
        <balance>12270.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12641.000000</valUSD>
        <pctVal>0.0009037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>ICG US CLO 2018-3 LTD</name>
        <lei>N/A</lei>
        <title>ICG US CLO LTD ICG 2018 3A AR 144A</title>
        <cusip>44932BAQ9</cusip>
        <identifiers>
          <isin value="US44932BAQ95"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>998947.430000</valUSD>
        <pctVal>0.0714112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.80008</annualizedRt>
          <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 G04359 FG 06/38 FIXED 5.5</title>
        <cusip>3128M6E87</cusip>
        <identifiers>
          <isin value="US3128M6E872"/>
        </identifiers>
        <balance>262702.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>271034.540000</valUSD>
        <pctVal>0.0193753</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>
        </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 781048 GN 06/29 FIXED 6.5</title>
        <cusip>36225BEV6</cusip>
        <identifiers>
          <isin value="US36225BEV62"/>
        </identifiers>
        <balance>12487.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12821.520000</valUSD>
        <pctVal>0.0009166</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-15</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>VENDEE MORTGAGE TRUST 1998-3</name>
        <lei>N/A</lei>
        <title>VENDEE MORTGAGE TRUST VENDE 1998 3 E</title>
        <cusip>911760LY0</cusip>
        <identifiers>
          <isin value="US911760LY05"/>
        </identifiers>
        <balance>128185.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125885.120000</valUSD>
        <pctVal>0.0089991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS</title>
        <cusip>38379MX90</cusip>
        <identifiers>
          <isin value="US38379MX902"/>
        </identifiers>
        <balance>544416.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16373.170000</valUSD>
        <pctVal>0.0011705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF2407 G2 04/48 FIXED 4</title>
        <cusip>3617G8U84</cusip>
        <identifiers>
          <isin value="US3617G8U847"/>
        </identifiers>
        <balance>185097.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177603.660000</valUSD>
        <pctVal>0.0126963</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</annualizedRt>
          <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 BJ4362 FN 11/32 FIXED 2</title>
        <cusip>3140H5Z46</cusip>
        <identifiers>
          <isin value="US3140H5Z466"/>
        </identifiers>
        <balance>130378.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118199.010000</valUSD>
        <pctVal>0.0084496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080446 G2 08/30 FLOATING VAR</title>
        <cusip>36225CP83</cusip>
        <identifiers>
          <isin value="US36225CP831"/>
        </identifiers>
        <balance>11755.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11577.910000</valUSD>
        <pctVal>0.0008277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02249 FG 07/36 FIXED 5.5</title>
        <cusip>3128LXQA1</cusip>
        <identifiers>
          <isin value="US3128LXQA15"/>
        </identifiers>
        <balance>12904.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13312.480000</valUSD>
        <pctVal>0.0009517</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003747 G2 08/35 FIXED 5</title>
        <cusip>36202EEU9</cusip>
        <identifiers>
          <isin value="US36202EEU91"/>
        </identifiers>
        <balance>9677.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9836.540000</valUSD>
        <pctVal>0.0007032</pctVal>
        <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>
          <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 AE0235 FN 09/24 FIXED VAR</title>
        <cusip>31419AHM2</cusip>
        <identifiers>
          <isin value="US31419AHM27"/>
        </identifiers>
        <balance>1.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1.070000</valUSD>
        <pctVal>0.0000001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008703 G2 09/25 FLOATING VAR</title>
        <cusip>36202KU45</cusip>
        <identifiers>
          <isin value="US36202KU452"/>
        </identifiers>
        <balance>1938.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1913.000000</valUSD>
        <pctVal>0.0001368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 612919 GN 07/33 FIXED 5</title>
        <cusip>36202X4C8</cusip>
        <identifiers>
          <isin value="US36202X4C88"/>
        </identifiers>
        <balance>991.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>997.980000</valUSD>
        <pctVal>0.0000713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 699092 GN 09/38 FIXED 6</title>
        <cusip>36296RUR6</cusip>
        <identifiers>
          <isin value="US36296RUR64"/>
        </identifiers>
        <balance>6715.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6835.480000</valUSD>
        <pctVal>0.0004886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 775217 FN 05/34 FIXED 5.5</title>
        <cusip>31404QG29</cusip>
        <identifiers>
          <isin value="US31404QG299"/>
        </identifiers>
        <balance>29119.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29997.840000</valUSD>
        <pctVal>0.0021444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FANNIE MAE 1999-37</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1999 37 F</title>
        <cusip>31359V6Z1</cusip>
        <identifiers>
          <isin value="US31359V6Z11"/>
        </identifiers>
        <balance>24717.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24654.650000</valUSD>
        <pctVal>0.0017625</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.85191</annualizedRt>
          <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>317U3I8A0 PIMCO SWAPTION 5.5 PUT USD 20250128</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002NMG8"/>
        </identifiers>
        <balance>66600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>183403.080000</valUSD>
        <pctVal>0.0131108</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/5.50000 01/30/25-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01WHO6"/>
                    </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/5.50000 01/30/25-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01WHO6"/>
                      </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="5.500000"/>
                  <terminationDt>2035-01-30</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-01-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-202876.920000</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 775778 FN 05/34 FIXED 5.5</title>
        <cusip>31404Q2K4</cusip>
        <identifiers>
          <isin value="US31404Q2K40"/>
        </identifiers>
        <balance>12901.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13291.170000</valUSD>
        <pctVal>0.0009501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI</title>
        <cusip>38380CSQ7</cusip>
        <identifiers>
          <isin value="US38380CSQ77"/>
        </identifiers>
        <balance>630539.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16370.890000</valUSD>
        <pctVal>0.0011703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-20</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 774936 FN 04/34 FIXED 5.5</title>
        <cusip>31404P4V0</cusip>
        <identifiers>
          <isin value="US31404P4V05"/>
        </identifiers>
        <balance>19782.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20379.570000</valUSD>
        <pctVal>0.0014569</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>MOUNTAIN VIEW CLO LTD 2015-9A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO LTD MVW 2015 9A A1R 144A</title>
        <cusip>62432BAN3</cusip>
        <identifiers>
          <isin value="US62432BAN38"/>
        </identifiers>
        <balance>3334798.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3337454.760000</valUSD>
        <pctVal>0.238583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.77548</annualizedRt>
          <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 776975 FN 04/34 FIXED 5.5</title>
        <cusip>31404SFQ3</cusip>
        <identifiers>
          <isin value="US31404SFQ30"/>
        </identifiers>
        <balance>20452.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21068.880000</valUSD>
        <pctVal>0.0015061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 G04332 FG 03/38 FIXED 5</title>
        <cusip>3128M6ED6</cusip>
        <identifiers>
          <isin value="US3128M6ED68"/>
        </identifiers>
        <balance>69543.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70796.890000</valUSD>
        <pctVal>0.005061</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>
          <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 AT6745 FN 05/43 FIXED 4</title>
        <cusip>3138WUP72</cusip>
        <identifiers>
          <isin value="US3138WUP729"/>
        </identifiers>
        <balance>935211.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910064.330000</valUSD>
        <pctVal>0.0650573</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>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 G01864 FG 01/34 FIXED 5</title>
        <cusip>3128LXB90</cusip>
        <identifiers>
          <isin value="US3128LXB909"/>
        </identifiers>
        <balance>25244.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25697.670000</valUSD>
        <pctVal>0.001837</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>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 G03400 FG 03/37 FIXED 5.5</title>
        <cusip>3128M5DD9</cusip>
        <identifiers>
          <isin value="US3128M5DD94"/>
        </identifiers>
        <balance>331433.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>333370.440000</valUSD>
        <pctVal>0.0238315</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>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>FREDDIE MAC 2189</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2189 F</title>
        <cusip>3133TLXV5</cusip>
        <identifiers>
          <isin value="US3133TLXV51"/>
        </identifiers>
        <balance>65586.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66231.230000</valUSD>
        <pctVal>0.0047346</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.65292</annualizedRt>
          <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 C91244 FG 04/29 FIXED 4.5</title>
        <cusip>3128P7LZ4</cusip>
        <identifiers>
          <isin value="US3128P7LZ40"/>
        </identifiers>
        <balance>12377.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12281.240000</valUSD>
        <pctVal>0.0008779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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 2002-W12</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2002 W12 AV1</title>
        <cusip>31392GSR7</cusip>
        <identifiers>
          <isin value="US31392GSR73"/>
        </identifiers>
        <balance>7486.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7429.000000</valUSD>
        <pctVal>0.0005311</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.80257</annualizedRt>
          <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>31750N7F7 OTC ECAL FN 5.0 JAN24 97.890625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH47483"/>
        </identifiers>
        <balance>-82000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-928133.400000</valUSD>
        <pctVal>-0.066349</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>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>97.890000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-607820.900000</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 783024 GN 07/40 FIXED 5</title>
        <cusip>36241LLD6</cusip>
        <identifiers>
          <isin value="US36241LLD63"/>
        </identifiers>
        <balance>23676.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23821.740000</valUSD>
        <pctVal>0.0017029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004164 G2 06/38 FIXED 6</title>
        <cusip>36202ETV1</cusip>
        <identifiers>
          <isin value="US36202ETV10"/>
        </identifiers>
        <balance>6068.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6178.180000</valUSD>
        <pctVal>0.0004417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-20</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 946744 FN 08/37 FIXED 6</title>
        <cusip>31413JHV9</cusip>
        <identifiers>
          <isin value="US31413JHV98"/>
        </identifiers>
        <balance>59438.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61156.190000</valUSD>
        <pctVal>0.0043718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 668895 FN 10/32 FIXED 6</title>
        <cusip>31391KC88</cusip>
        <identifiers>
          <isin value="US31391KC886"/>
        </identifiers>
        <balance>8639.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8880.830000</valUSD>
        <pctVal>0.0006349</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>BANK OF AMERICA MTGE SECS-2006-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1</title>
        <cusip>05949CRS7</cusip>
        <identifiers>
          <isin value="US05949CRS79"/>
        </identifiers>
        <balance>80890.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72584.290000</valUSD>
        <pctVal>0.0051888</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.88706</annualizedRt>
          <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 005176 G2 09/41 FIXED 5</title>
        <cusip>36202FXD3</cusip>
        <identifiers>
          <isin value="US36202FXD31"/>
        </identifiers>
        <balance>5123.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5220.640000</valUSD>
        <pctVal>0.0003732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-20</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 G05072 FG 01/39 FIXED 5.5</title>
        <cusip>3128M66H6</cusip>
        <identifiers>
          <isin value="US3128M66H66"/>
        </identifiers>
        <balance>19728.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20353.520000</valUSD>
        <pctVal>0.001455</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>
        </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 AL9380 FN 04/31 FIXED VAR</title>
        <cusip>3138ERM64</cusip>
        <identifiers>
          <isin value="US3138ERM647"/>
        </identifiers>
        <balance>2970326.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2857517.960000</valUSD>
        <pctVal>0.204274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-01</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 POOL 782495 GN 12/38 FIXED 5.5</title>
        <cusip>36241KXY9</cusip>
        <identifiers>
          <isin value="US36241KXY99"/>
        </identifiers>
        <balance>13530.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13681.830000</valUSD>
        <pctVal>0.0009781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0782 G2 02/43 FIXED 3</title>
        <cusip>36179M2P4</cusip>
        <identifiers>
          <isin value="US36179M2P47"/>
        </identifiers>
        <balance>3501174.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3228094.620000</valUSD>
        <pctVal>0.230765</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-20</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 BG2414 G2 04/48 FIXED 4</title>
        <cusip>3617GLVF8</cusip>
        <identifiers>
          <isin value="US3617GLVF87"/>
        </identifiers>
        <balance>177588.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>170399.180000</valUSD>
        <pctVal>0.0121812</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</annualizedRt>
          <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 CL6189 GN 03/52 FIXED 4</title>
        <cusip>3617YD2W1</cusip>
        <identifiers>
          <isin value="US3617YD2W16"/>
        </identifiers>
        <balance>2934249.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2813617.750000</valUSD>
        <pctVal>0.201136</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>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 513655 GN 08/29 FIXED 6.5</title>
        <cusip>36211HTL5</cusip>
        <identifiers>
          <isin value="US36211HTL59"/>
        </identifiers>
        <balance>4799.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5051.810000</valUSD>
        <pctVal>0.0003611</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</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 BH3643 FN 06/47 FIXED 5</title>
        <cusip>3140GSBM3</cusip>
        <identifiers>
          <isin value="US3140GSBM32"/>
        </identifiers>
        <balance>129572.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129933.930000</valUSD>
        <pctVal>0.0092885</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>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 AB9465 FN 05/43 FIXED 3.5</title>
        <cusip>31417GQT6</cusip>
        <identifiers>
          <isin value="US31417GQT66"/>
        </identifiers>
        <balance>8362.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7883.220000</valUSD>
        <pctVal>0.0005635</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>3.5</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 BC0302 G2 08/47 FIXED 3.5</title>
        <cusip>3617B3KP3</cusip>
        <identifiers>
          <isin value="US3617B3KP31"/>
        </identifiers>
        <balance>836650.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>790190.310000</valUSD>
        <pctVal>0.0564879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL D97473 FG 12/27 FIXED 6</title>
        <cusip>3128E4JS2</cusip>
        <identifiers>
          <isin value="US3128E4JS24"/>
        </identifiers>
        <balance>6373.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6480.290000</valUSD>
        <pctVal>0.0004633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF</title>
        <cusip>38380QMV1</cusip>
        <identifiers>
          <isin value="US38380QMV13"/>
        </identifiers>
        <balance>7767800.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7874874.570000</valUSD>
        <pctVal>0.562947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 255116 FN 02/34 FIXED 6.5</title>
        <cusip>31371LK57</cusip>
        <identifiers>
          <isin value="US31371LK574"/>
        </identifiers>
        <balance>385.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>406.570000</valUSD>
        <pctVal>0.0000291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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>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"/>
        </identifiers>
        <balance>583.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>570.810000</valUSD>
        <pctVal>0.0000408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CEDAR FUNDING VII CLO LTD 2018-7A</name>
        <lei>N/A</lei>
        <title>CEDAR FUNDING LTD CEDF 2018 7A A1 144A</title>
        <cusip>15032FAA4</cusip>
        <identifiers>
          <isin value="US15032FAA49"/>
        </identifiers>
        <balance>1885930.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1884207.540000</valUSD>
        <pctVal>0.134695</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67743</annualizedRt>
          <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 008496 G2 09/24 FLOATING VAR</title>
        <cusip>36202KNM3</cusip>
        <identifiers>
          <isin value="US36202KNM35"/>
        </identifiers>
        <balance>1429.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1424.160000</valUSD>
        <pctVal>0.0001018</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91164 FG 03/28 FIXED 5</title>
        <cusip>3128P7JH7</cusip>
        <identifiers>
          <isin value="US3128P7JH79"/>
        </identifiers>
        <balance>56506.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56539.980000</valUSD>
        <pctVal>0.0040418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</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>COUNTRYWIDE HOME LOANS 2007-HY4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1</title>
        <cusip>17025RAA3</cusip>
        <identifiers>
          <isin value="US17025RAA32"/>
        </identifiers>
        <balance>235787.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207298.630000</valUSD>
        <pctVal>0.014819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.43042</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A</title>
        <cusip>939336X40</cusip>
        <identifiers>
          <isin value="US939336X409"/>
        </identifiers>
        <balance>89894.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84584.840000</valUSD>
        <pctVal>0.0060467</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 BU9251 FN 04/52 FIXED 3</title>
        <cusip>3140MBH54</cusip>
        <identifiers>
          <isin value="US3140MBH541"/>
        </identifiers>
        <balance>69852.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61834.880000</valUSD>
        <pctVal>0.0044204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 889890 FN 01/38 FIXED VAR</title>
        <cusip>31410KUP7</cusip>
        <identifiers>
          <isin value="US31410KUP73"/>
        </identifiers>
        <balance>325469.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345797.730000</valUSD>
        <pctVal>0.0247199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 934787 FN 02/39 FIXED 6</title>
        <cusip>31412T6Y4</cusip>
        <identifiers>
          <isin value="US31412T6Y47"/>
        </identifiers>
        <balance>17094.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17657.030000</valUSD>
        <pctVal>0.0012622</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4367</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4367 GS</title>
        <cusip>3137BCL55</cusip>
        <identifiers>
          <isin value="US3137BCL557"/>
        </identifiers>
        <balance>148810.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9789.550000</valUSD>
        <pctVal>0.0006998</pctVal>
        <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>
        </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 004113 G2 04/38 FIXED 5</title>
        <cusip>36202ESA8</cusip>
        <identifiers>
          <isin value="US36202ESA81"/>
        </identifiers>
        <balance>194199.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197385.570000</valUSD>
        <pctVal>0.0141104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-20</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>STRUCTURED ASSET MTG INV INC 2005-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3</title>
        <cusip>86359LPF0</cusip>
        <identifiers>
          <isin value="US86359LPF03"/>
        </identifiers>
        <balance>300327.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>272060.310000</valUSD>
        <pctVal>0.0194486</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97023</annualizedRt>
          <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 995736 FN 05/37 FIXED VAR</title>
        <cusip>31416CEH5</cusip>
        <identifiers>
          <isin value="US31416CEH51"/>
        </identifiers>
        <balance>217930.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>224509.370000</valUSD>
        <pctVal>0.0160494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 917880 FN 05/37 FIXED 6</title>
        <cusip>31411XXH3</cusip>
        <identifiers>
          <isin value="US31411XXH33"/>
        </identifiers>
        <balance>12015.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12588.920000</valUSD>
        <pctVal>0.0008999</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.00000 06/21/23-7Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ28BLQ4MZ70"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1577552.800000</valUSD>
        <pctVal>0.112774</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01NXQ3-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.000000"/>
            <terminationDt>2030-06-21</terminationDt>
            <upfrontPmnt>547460.130000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>39200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1030092.670000</unrealizedAppr>
          </swapDeriv>
        </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 691570 GN 08/38 FIXED 6.5</title>
        <cusip>36296HJP5</cusip>
        <identifiers>
          <isin value="US36296HJP55"/>
        </identifiers>
        <balance>7918.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8125.500000</valUSD>
        <pctVal>0.0005809</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91216 FG 09/28 FIXED 6</title>
        <cusip>3128P7K51</cusip>
        <identifiers>
          <isin value="US3128P7K510"/>
        </identifiers>
        <balance>5879.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5986.130000</valUSD>
        <pctVal>0.0004279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QC8831 FR 10/51 FIXED 3</title>
        <cusip>3133ATY47</cusip>
        <identifiers>
          <isin value="US3133ATY472"/>
        </identifiers>
        <balance>1231423.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1099738.300000</valUSD>
        <pctVal>0.0786164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-32</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 32 AC</title>
        <cusip>3136ADKA6</cusip>
        <identifiers>
          <isin value="US3136ADKA67"/>
        </identifiers>
        <balance>204126.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190811.840000</valUSD>
        <pctVal>0.0136405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-25</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 786625 FH 09/28 FLOATING VAR</title>
        <cusip>31295KLE2</cusip>
        <identifiers>
          <isin value="US31295KLE28"/>
        </identifiers>
        <balance>1390.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1375.740000</valUSD>
        <pctVal>0.0000983</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.369</annualizedRt>
          <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 4544</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4544 IP</title>
        <cusip>3137BMQG4</cusip>
        <identifiers>
          <isin value="US3137BMQG47"/>
        </identifiers>
        <balance>3624473.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>564786.500000</valUSD>
        <pctVal>0.0403746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782996 GN 06/40 FIXED 5</title>
        <cusip>36241LKH8</cusip>
        <identifiers>
          <isin value="US36241LKH86"/>
        </identifiers>
        <balance>2831.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2854.370000</valUSD>
        <pctVal>0.000204</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>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>RFR USD SOFR/3.00000 06/21/23-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZCTWTN8B7B6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-247.820000</valUSD>
        <pctVal>-0.0000177</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01NXR1-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.000000"/>
            <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>2033-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-83.100000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-164.720000</unrealizedAppr>
          </swapDeriv>
        </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 786321 FH 11/27 FLOATING VAR</title>
        <cusip>31295KAW4</cusip>
        <identifiers>
          <isin value="US31295KAW45"/>
        </identifiers>
        <balance>21119.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21010.270000</valUSD>
        <pctVal>0.0015019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.592</annualizedRt>
          <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 2014-43</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 43 BS</title>
        <cusip>3136AKKU6</cusip>
        <identifiers>
          <isin value="US3136AKKU64"/>
        </identifiers>
        <balance>631540.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36259.470000</valUSD>
        <pctVal>0.0025921</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</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 REMICS 4463</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4463 IO</title>
        <cusip>3137BHGF8</cusip>
        <identifiers>
          <isin value="US3137BHGF88"/>
        </identifiers>
        <balance>255325.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14096.030000</valUSD>
        <pctVal>0.0010077</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 893888 FN 10/36 FIXED 6</title>
        <cusip>31410QCZ2</cusip>
        <identifiers>
          <isin value="US31410QCZ28"/>
        </identifiers>
        <balance>488.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>510.740000</valUSD>
        <pctVal>0.0000365</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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 942463 FN 08/37 FIXED 6.5</title>
        <cusip>31413DQQ3</cusip>
        <identifiers>
          <isin value="US31413DQQ33"/>
        </identifiers>
        <balance>27537.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28607.440000</valUSD>
        <pctVal>0.002045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>GREENPOINT MTGE FUNDING TR 2006-AR3</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2</title>
        <cusip>39538WHG6</cusip>
        <identifiers>
          <isin value="US39538WHG69"/>
        </identifiers>
        <balance>430933.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>411337.980000</valUSD>
        <pctVal>0.0294051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.01043</annualizedRt>
          <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 796242 FN 11/34 FIXED 6.5</title>
        <cusip>31405QS74</cusip>
        <identifiers>
          <isin value="US31405QS747"/>
        </identifiers>
        <balance>19984.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20793.420000</valUSD>
        <pctVal>0.0014864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AW4752 FN 06/44 FIXED 5</title>
        <cusip>3138XUH62</cusip>
        <identifiers>
          <isin value="US3138XUH625"/>
        </identifiers>
        <balance>63517.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64287.630000</valUSD>
        <pctVal>0.0045957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-01</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 BF0167 FN 02/57 FIXED 3</title>
        <cusip>3140FXFH0</cusip>
        <identifiers>
          <isin value="US3140FXFH05"/>
        </identifiers>
        <balance>4538783.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4000503.390000</valUSD>
        <pctVal>0.285982</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TR 2005-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1</title>
        <cusip>68389FGK4</cusip>
        <identifiers>
          <isin value="US68389FGK49"/>
        </identifiers>
        <balance>1582878.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1488451.450000</valUSD>
        <pctVal>0.106404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.25043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL I TRUST 2018-SUN</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN A 144A</title>
        <cusip>61691MAA5</cusip>
        <identifiers>
          <isin value="US61691MAA53"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2479560.250000</valUSD>
        <pctVal>0.177255</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.55883</annualizedRt>
          <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>31750NBC9 OTC EPUT FN 4.5 FEB24 95.8125 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50974"/>
        </identifiers>
        <balance>-71500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-318539.650000</valUSD>
        <pctVal>-0.0227713</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>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"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>95.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>75268.940000</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 700804 GN 10/38 FIXED 5.5</title>
        <cusip>36296TRZ8</cusip>
        <identifiers>
          <isin value="US36296TRZ83"/>
        </identifiers>
        <balance>103417.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103866.260000</valUSD>
        <pctVal>0.007425</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782295 GN 03/38 FIXED 5.5</title>
        <cusip>36241KRQ3</cusip>
        <identifiers>
          <isin value="US36241KRQ30"/>
        </identifiers>
        <balance>13297.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13447.350000</valUSD>
        <pctVal>0.0009613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-15</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 QD2732 FR 12/51 FIXED 3</title>
        <cusip>3133B0A94</cusip>
        <identifiers>
          <isin value="US3133B0A945"/>
        </identifiers>
        <balance>6600066.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5843841.270000</valUSD>
        <pctVal>0.417756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 893898 FN 10/36 FIXED 6</title>
        <cusip>31410QDB4</cusip>
        <identifiers>
          <isin value="US31410QDB41"/>
        </identifiers>
        <balance>6825.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7132.910000</valUSD>
        <pctVal>0.0005099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04458 FG 06/38 FIXED 5.5</title>
        <cusip>3128M6JB5</cusip>
        <identifiers>
          <isin value="US3128M6JB57"/>
        </identifiers>
        <balance>3550.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3662.850000</valUSD>
        <pctVal>0.0002618</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CVS PASS-THROUGH TRUST</name>
        <lei>N/A</lei>
        <title>CVS PASS THROUGH TRUST PASS THRU CE 12/28 6.036</title>
        <cusip>126650BP4</cusip>
        <identifiers>
          <isin value="US126650BP48"/>
        </identifiers>
        <balance>695308.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702534.680000</valUSD>
        <pctVal>0.0502217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.036</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIFC FUNDING LTD 2018-2A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2018 2A A1 144A</title>
        <cusip>17180WAA3</cusip>
        <identifiers>
          <isin value="US17180WAA36"/>
        </identifiers>
        <balance>986009.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>985763.340000</valUSD>
        <pctVal>0.0704687</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.71743</annualizedRt>
          <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 MA5265 G2 06/48 FIXED 4.5</title>
        <cusip>36179TZ65</cusip>
        <identifiers>
          <isin value="US36179TZ650"/>
        </identifiers>
        <balance>293928.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290614.380000</valUSD>
        <pctVal>0.020775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 741862 FN 09/33 FIXED 5.5</title>
        <cusip>31402YFB5</cusip>
        <identifiers>
          <isin value="US31402YFB56"/>
        </identifiers>
        <balance>3324.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3425.200000</valUSD>
        <pctVal>0.0002449</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 844425 FN 12/35 FIXED 6</title>
        <cusip>31407YD63</cusip>
        <identifiers>
          <isin value="US31407YD632"/>
        </identifiers>
        <balance>5615.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5868.260000</valUSD>
        <pctVal>0.0004195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 530071 GN 08/30 FIXED 8.5</title>
        <cusip>36212C2C4</cusip>
        <identifiers>
          <isin value="US36212C2C42"/>
        </identifiers>
        <balance>350.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>350.380000</valUSD>
        <pctVal>0.000025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4</title>
        <cusip>02147CAG8</cusip>
        <identifiers>
          <isin value="US02147CAG87"/>
        </identifiers>
        <balance>1569542.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1021466.450000</valUSD>
        <pctVal>0.073021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM9966 FN 08/43 FIXED VAR</title>
        <cusip>3140XECC6</cusip>
        <identifiers>
          <isin value="US3140XECC61"/>
        </identifiers>
        <balance>29836258.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28151533.130000</valUSD>
        <pctVal>2.01245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5</title>
        <cusip>3133AMAN6</cusip>
        <identifiers>
          <isin value="US3133AMAN66"/>
        </identifiers>
        <balance>48099.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37641.910000</valUSD>
        <pctVal>0.0026909</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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>MF1 2022-FL9 LLC</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A</title>
        <cusip>55285AAA5</cusip>
        <identifiers>
          <isin value="US55285AAA51"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2996518.410000</valUSD>
        <pctVal>0.214211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.50575</annualizedRt>
          <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 846421 FH 02/27 FLOATING VAR</title>
        <cusip>3128HDD22</cusip>
        <identifiers>
          <isin value="US3128HDD228"/>
        </identifiers>
        <balance>4209.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4178.580000</valUSD>
        <pctVal>0.0002987</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.615</annualizedRt>
          <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 080651 G2 11/32 FLOATING VAR</title>
        <cusip>36225CWM4</cusip>
        <identifiers>
          <isin value="US36225CWM45"/>
        </identifiers>
        <balance>5710.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5628.250000</valUSD>
        <pctVal>0.0004023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 948989 FN 08/37 FIXED 6</title>
        <cusip>31413LXS3</cusip>
        <identifiers>
          <isin value="US31413LXS32"/>
        </identifiers>
        <balance>2926.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3034.490000</valUSD>
        <pctVal>0.0002169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 AZ9265 G2 05/47 FIXED 3.5</title>
        <cusip>36197NJJ6</cusip>
        <identifiers>
          <isin value="US36197NJJ63"/>
        </identifiers>
        <balance>490669.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>462922.080000</valUSD>
        <pctVal>0.0330927</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A38107 FG 10/35 FIXED 4.5</title>
        <cusip>31297UAG5</cusip>
        <identifiers>
          <isin value="US31297UAG58"/>
        </identifiers>
        <balance>30855.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30871.730000</valUSD>
        <pctVal>0.0022069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05109 FG 11/36 FIXED 5.5</title>
        <cusip>3128M7AJ5</cusip>
        <identifiers>
          <isin value="US3128M7AJ57"/>
        </identifiers>
        <balance>2199.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2268.500000</valUSD>
        <pctVal>0.0001622</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>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 D59354 FG 04/25 FIXED 8.5</title>
        <cusip>31356NMB7</cusip>
        <identifiers>
          <isin value="US31356NMB72"/>
        </identifiers>
        <balance>70.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70.850000</valUSD>
        <pctVal>0.0000051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>4630.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4380.760000</valUSD>
        <pctVal>0.0003132</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS9683 FN 10/28 FIXED 5.57</title>
        <cusip>3140LLXM8</cusip>
        <identifiers>
          <isin value="US3140LLXM85"/>
        </identifiers>
        <balance>869000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>898114.220000</valUSD>
        <pctVal>0.064203</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>Fixed</couponKind>
          <annualizedRt>5.57</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA2682 FN 03/33 FIXED 2</title>
        <cusip>3140Q96U2</cusip>
        <identifiers>
          <isin value="US3140Q96U22"/>
        </identifiers>
        <balance>925282.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>851448.820000</valUSD>
        <pctVal>0.0608671</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 722105 GN 12/39 FIXED 5.5</title>
        <cusip>3620A8GN7</cusip>
        <identifiers>
          <isin value="US3620A8GN71"/>
        </identifiers>
        <balance>9704.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9804.100000</valUSD>
        <pctVal>0.0007009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 878534 FN 02/36 FIXED 6</title>
        <cusip>31409UBB0</cusip>
        <identifiers>
          <isin value="US31409UBB08"/>
        </identifiers>
        <balance>17964.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18517.650000</valUSD>
        <pctVal>0.0013238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>44581807.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7001735.100000</valUSD>
        <pctVal>0.500529</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>BANK OF AMERICA MTG SEC 2002-G</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A5</title>
        <cusip>06050HKT4</cusip>
        <identifiers>
          <isin value="US06050HKT40"/>
        </identifiers>
        <balance>529.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>485.930000</valUSD>
        <pctVal>0.0000347</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARES XXXVII CLO LTD 2015-4A</name>
        <lei>N/A</lei>
        <title>ARES CLO LTD ARES 2015 4A A1R 144A</title>
        <cusip>04015NAG9</cusip>
        <identifiers>
          <isin value="US04015NAG97"/>
        </identifiers>
        <balance>3019519.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3022493.320000</valUSD>
        <pctVal>0.216067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.82548</annualizedRt>
          <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 BA5831 G2 07/47 FIXED 3.5</title>
        <cusip>3617AJPQ2</cusip>
        <identifiers>
          <isin value="US3617AJPQ25"/>
        </identifiers>
        <balance>720905.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>680696.620000</valUSD>
        <pctVal>0.0486606</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 750711 FN 10/33 FIXED 6.5</title>
        <cusip>31403KAL7</cusip>
        <identifiers>
          <isin value="US31403KAL70"/>
        </identifiers>
        <balance>6814.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7073.580000</valUSD>
        <pctVal>0.0005057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>JP MORGAN MORTGAGE TRUST 2021-LTV4</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A</title>
        <cusip>46654DAD5</cusip>
        <identifiers>
          <isin value="US46654DAD57"/>
        </identifiers>
        <balance>4269528.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3661365.890000</valUSD>
        <pctVal>0.261738</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-01-25</maturityDt>
          <couponKind>Variable</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 G08314 FG 01/39 FIXED 5.5</title>
        <cusip>3128MJK41</cusip>
        <identifiers>
          <isin value="US3128MJK410"/>
        </identifiers>
        <balance>109909.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113396.520000</valUSD>
        <pctVal>0.0081063</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>
        </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 786402 FH 09/27 FLOATING VAR</title>
        <cusip>31295KDF8</cusip>
        <identifiers>
          <isin value="US31295KDF84"/>
        </identifiers>
        <balance>357.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>354.800000</valUSD>
        <pctVal>0.0000254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.575</annualizedRt>
          <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 783473 GN 11/41 FIXED 3.5</title>
        <cusip>36241L2E5</cusip>
        <identifiers>
          <isin value="US36241L2E57"/>
        </identifiers>
        <balance>841995.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>795945.680000</valUSD>
        <pctVal>0.0568993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</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 AR2132 FN 01/43 FIXED 4</title>
        <cusip>3138NYLN3</cusip>
        <identifiers>
          <isin value="US3138NYLN36"/>
        </identifiers>
        <balance>147438.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143842.780000</valUSD>
        <pctVal>0.0102828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 A71408 FG 01/38 FIXED 5.5</title>
        <cusip>3128L4R55</cusip>
        <identifiers>
          <isin value="US3128L4R557"/>
        </identifiers>
        <balance>88817.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91634.000000</valUSD>
        <pctVal>0.0065506</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>COUNTRYWIDE ALTERNATIVE LN TR 2005-61</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1</title>
        <cusip>12668AVP7</cusip>
        <identifiers>
          <isin value="US12668AVP73"/>
        </identifiers>
        <balance>147083.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129800.440000</valUSD>
        <pctVal>0.009279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75043</annualizedRt>
          <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 782938 GN 03/40 FIXED 5.5</title>
        <cusip>36241LHP4</cusip>
        <identifiers>
          <isin value="US36241LHP40"/>
        </identifiers>
        <balance>276718.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>279816.630000</valUSD>
        <pctVal>0.0200031</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-15</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 A76047 FG 04/38 FIXED 5.5</title>
        <cusip>3128L9WG4</cusip>
        <identifiers>
          <isin value="US3128L9WG47"/>
        </identifiers>
        <balance>7657.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7900.070000</valUSD>
        <pctVal>0.0005647</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 659684 GN 10/36 FIXED 6.5</title>
        <cusip>36294T2R5</cusip>
        <identifiers>
          <isin value="US36294T2R54"/>
        </identifiers>
        <balance>18531.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19386.020000</valUSD>
        <pctVal>0.0013858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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>IMPAC SECURED ASSETS CORP 2006-3</name>
        <lei>N/A</lei>
        <title>IMPAC SECURED ASSETS CORP. IMSA 2006 3 A3</title>
        <cusip>45255RAC1</cusip>
        <identifiers>
          <isin value="US45255RAC16"/>
        </identifiers>
        <balance>18330.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17896.550000</valUSD>
        <pctVal>0.0012794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.77043</annualizedRt>
          <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>317U27BA1 PIMCO SWAPTION 4.6 PUT USD 20240131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027788"/>
        </identifiers>
        <balance>157000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>215215.600000</valUSD>
        <pctVal>0.015385</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/4.60000 02/02/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OIP0"/>
                    </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/4.60000 02/02/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OIP0"/>
                      </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="4.600000"/>
                  <terminationDt>2025-02-02</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>4.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-31</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5228.100000</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 II POOL 080430 G2 07/30 FLOATING VAR</title>
        <cusip>36225CPQ3</cusip>
        <identifiers>
          <isin value="US36225CPQ32"/>
        </identifiers>
        <balance>8455.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8313.880000</valUSD>
        <pctVal>0.0005943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008793 G2 01/26 FLOATING VAR</title>
        <cusip>36202KXW0</cusip>
        <identifiers>
          <isin value="US36202KXW07"/>
        </identifiers>
        <balance>3792.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3723.950000</valUSD>
        <pctVal>0.0002662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A57475 FG 02/37 FIXED 5.5</title>
        <cusip>3128KLJU2</cusip>
        <identifiers>
          <isin value="US3128KLJU23"/>
        </identifiers>
        <balance>1622.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1674.070000</valUSD>
        <pctVal>0.0001197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 G02976 FG 06/37 FIXED 5.5</title>
        <cusip>3128M4T94</cusip>
        <identifiers>
          <isin value="US3128M4T941"/>
        </identifiers>
        <balance>14210.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14659.920000</valUSD>
        <pctVal>0.001048</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>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 390256 FH 07/30 FLOATING VAR</title>
        <cusip>31346VH93</cusip>
        <identifiers>
          <isin value="US31346VH936"/>
        </identifiers>
        <balance>52117.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50296.590000</valUSD>
        <pctVal>0.0035955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.12</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 707895 GN 04/39 FIXED 5</title>
        <cusip>36297CNL9</cusip>
        <identifiers>
          <isin value="US36297CNL99"/>
        </identifiers>
        <balance>111596.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>112291.940000</valUSD>
        <pctVal>0.0080274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 550876 GN 09/31 FIXED 5.5</title>
        <cusip>36213C6M7</cusip>
        <identifiers>
          <isin value="US36213C6M77"/>
        </identifiers>
        <balance>747.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>755.980000</valUSD>
        <pctVal>0.000054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-15</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>FREDDIE MAC 2114</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2114 PM</title>
        <cusip>3133THPL5</cusip>
        <identifiers>
          <isin value="US3133THPL59"/>
        </identifiers>
        <balance>47214.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47279.130000</valUSD>
        <pctVal>0.0033798</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</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 BS9367 FN 08/33 FIXED 4.58</title>
        <cusip>3140LLMR9</cusip>
        <identifiers>
          <isin value="US3140LLMR91"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1009284.470000</valUSD>
        <pctVal>0.0721502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.58</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 925139 FN 07/37 FIXED 6</title>
        <cusip>31412GZC8</cusip>
        <identifiers>
          <isin value="US31412GZC85"/>
        </identifiers>
        <balance>176793.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183696.030000</valUSD>
        <pctVal>0.0131318</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2003-SEA</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2003 SEA A1</title>
        <cusip>36228FVH6</cusip>
        <identifiers>
          <isin value="US36228FVH62"/>
        </identifiers>
        <balance>56758.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53730.700000</valUSD>
        <pctVal>0.003841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.27043</annualizedRt>
          <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 640214 GN 03/35 FIXED 5</title>
        <cusip>36291WGX3</cusip>
        <identifiers>
          <isin value="US36291WGX39"/>
        </identifiers>
        <balance>1442.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1443.480000</valUSD>
        <pctVal>0.0001032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 993549 FN 04/39 FIXED 4</title>
        <cusip>31415YWJ4</cusip>
        <identifiers>
          <isin value="US31415YWJ45"/>
        </identifiers>
        <balance>94645.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91636.170000</valUSD>
        <pctVal>0.0065507</pctVal>
        <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</annualizedRt>
          <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 983290 FN 05/38 FIXED 6.5</title>
        <cusip>31415LKB2</cusip>
        <identifiers>
          <isin value="US31415LKB26"/>
        </identifiers>
        <balance>16679.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17399.150000</valUSD>
        <pctVal>0.0012438</pctVal>
        <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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03614 FG 05/37 FIXED 5.5</title>
        <cusip>3128M5K33</cusip>
        <identifiers>
          <isin value="US3128M5K335"/>
        </identifiers>
        <balance>60791.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62715.320000</valUSD>
        <pctVal>0.0044833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 757194 FN 12/33 FIXED 5.5</title>
        <cusip>31403TGB4</cusip>
        <identifiers>
          <isin value="US31403TGB44"/>
        </identifiers>
        <balance>43312.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44618.440000</valUSD>
        <pctVal>0.0031896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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 C90918 FG 09/25 FIXED 5</title>
        <cusip>3128P7AT0</cusip>
        <identifiers>
          <isin value="US3128P7AT09"/>
        </identifiers>
        <balance>3753.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3719.760000</valUSD>
        <pctVal>0.0002659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</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>N/A</name>
        <lei>N/A</lei>
        <title>31750NA71 OTC ECAL FN 6.0 MAR24 102.265625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50024"/>
        </identifiers>
        <balance>-28500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-111868.200000</valUSD>
        <pctVal>-0.0079971</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 6.0% MAR 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606347"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.270000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-58430.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A92922 FG 07/40 FIXED 5</title>
        <cusip>312941G76</cusip>
        <identifiers>
          <isin value="US312941G762"/>
        </identifiers>
        <balance>60166.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61241.580000</valUSD>
        <pctVal>0.0043779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4058 FN 06/53 FIXED 5</title>
        <cusip>3140NLQL6</cusip>
        <identifiers>
          <isin value="US3140NLQL67"/>
        </identifiers>
        <balance>408901.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410592.870000</valUSD>
        <pctVal>0.0293518</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>
        </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 737442 GN 09/40 FIXED 4</title>
        <cusip>3620ARHT1</cusip>
        <identifiers>
          <isin value="US3620ARHT19"/>
        </identifiers>
        <balance>47491.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46113.650000</valUSD>
        <pctVal>0.0032965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-15</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 POOL 605631 GN 08/34 FIXED 6.5</title>
        <cusip>36200NY47</cusip>
        <identifiers>
          <isin value="US36200NY478"/>
        </identifiers>
        <balance>943.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>978.790000</valUSD>
        <pctVal>0.00007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A92487 FG 06/40 FIXED 5</title>
        <cusip>312940XQ7</cusip>
        <identifiers>
          <isin value="US312940XQ70"/>
        </identifiers>
        <balance>46196.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47031.090000</valUSD>
        <pctVal>0.0033621</pctVal>
        <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>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 879838 FN 12/35 FIXED 5.5</title>
        <cusip>31409VPX5</cusip>
        <identifiers>
          <isin value="US31409VPX54"/>
        </identifiers>
        <balance>125751.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125027.180000</valUSD>
        <pctVal>0.0089377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 662759 GN 12/36 FIXED 6.5</title>
        <cusip>36294XJC1</cusip>
        <identifiers>
          <isin value="US36294XJC11"/>
        </identifiers>
        <balance>13396.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13914.350000</valUSD>
        <pctVal>0.0009947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03202 FG 09/37 FIXED 5.5</title>
        <cusip>3128M43K7</cusip>
        <identifiers>
          <isin value="US3128M43K77"/>
        </identifiers>
        <balance>12112.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12496.210000</valUSD>
        <pctVal>0.0008933</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 175344 GN 07/29 FIXED 6.5</title>
        <cusip>36216UWD5</cusip>
        <identifiers>
          <isin value="US36216UWD52"/>
        </identifiers>
        <balance>1123.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1150.050000</valUSD>
        <pctVal>0.0000822</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-15</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 796797 FN 02/35 FIXED 5.5</title>
        <cusip>31405RGE0</cusip>
        <identifiers>
          <isin value="US31405RGE09"/>
        </identifiers>
        <balance>60061.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61386.740000</valUSD>
        <pctVal>0.0043883</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>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>MIDOCEAN CREDIT CLO VIII 2018-8A</name>
        <lei>N/A</lei>
        <title>MIDOCEAN CREDIT CLO MIDO 2018 8A A1R 144A</title>
        <cusip>59801MAL2</cusip>
        <identifiers>
          <isin value="US59801MAL28"/>
        </identifiers>
        <balance>5014596.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5007517.280000</valUSD>
        <pctVal>0.35797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67871</annualizedRt>
          <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 005282 G2 01/42 FIXED 5</title>
        <cusip>36202F2P0</cusip>
        <identifiers>
          <isin value="US36202F2P09"/>
        </identifiers>
        <balance>1431424.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1458427.050000</valUSD>
        <pctVal>0.104258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782976 GN 03/39 FIXED 5.5</title>
        <cusip>36241LJV9</cusip>
        <identifiers>
          <isin value="US36241LJV99"/>
        </identifiers>
        <balance>13302.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13451.380000</valUSD>
        <pctVal>0.0009616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8229 FN 06/30 FIXED 4.5</title>
        <cusip>3140LKEB5</cusip>
        <identifiers>
          <isin value="US3140LKEB58"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200669.670000</valUSD>
        <pctVal>0.0143452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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>GSAMP TRUST 2006-S6</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 S6 A1B</title>
        <cusip>36245CAB8</cusip>
        <identifiers>
          <isin value="US36245CAB81"/>
        </identifiers>
        <balance>7479987.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55843.340000</valUSD>
        <pctVal>0.003992</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.77043</annualizedRt>
          <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 742947 FN 10/33 FIXED 5.5</title>
        <cusip>31403AL45</cusip>
        <identifiers>
          <isin value="US31403AL451"/>
        </identifiers>
        <balance>41.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42.710000</valUSD>
        <pctVal>0.0000031</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB3278 FN 04/52 FIXED 3</title>
        <cusip>3140QNUC4</cusip>
        <identifiers>
          <isin value="US3140QNUC42"/>
        </identifiers>
        <balance>3646902.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3227014.510000</valUSD>
        <pctVal>0.230688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 FM2419 FN 02/50 FIXED VAR</title>
        <cusip>3140X5VM2</cusip>
        <identifiers>
          <isin value="US3140X5VM28"/>
        </identifiers>
        <balance>21576731.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19259087.860000</valUSD>
        <pctVal>1.37676</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>
        </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 782932 GN 04/40 FIXED 5</title>
        <cusip>36241LHH2</cusip>
        <identifiers>
          <isin value="US36241LHH24"/>
        </identifiers>
        <balance>186838.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188213.930000</valUSD>
        <pctVal>0.0134547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</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>CS FIRST BOSTON MTGE SEC CORP 2003-AR15</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1</title>
        <cusip>22541QCT7</cusip>
        <identifiers>
          <isin value="US22541QCT76"/>
        </identifiers>
        <balance>3700.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3359.510000</valUSD>
        <pctVal>0.0002402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.63084</annualizedRt>
          <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 782604 GN 03/39 FIXED 5.5</title>
        <cusip>36241K3M8</cusip>
        <identifiers>
          <isin value="US36241K3M82"/>
        </identifiers>
        <balance>114148.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115431.710000</valUSD>
        <pctVal>0.0082518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 819570 FN 04/35 FIXED 6</title>
        <cusip>31406TQX2</cusip>
        <identifiers>
          <isin value="US31406TQX27"/>
        </identifiers>
        <balance>96984.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100277.330000</valUSD>
        <pctVal>0.0071685</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>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 555732 GN 03/32 FIXED 6.5</title>
        <cusip>36213JLM5</cusip>
        <identifiers>
          <isin value="US36213JLM52"/>
        </identifiers>
        <balance>473.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>489.510000</valUSD>
        <pctVal>0.000035</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-15</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>FREDDIE MAC REMICS 4945</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4945 F</title>
        <cusip>3137FQLE1</cusip>
        <identifiers>
          <isin value="US3137FQLE12"/>
        </identifiers>
        <balance>472181.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>462707.700000</valUSD>
        <pctVal>0.0330773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.45969</annualizedRt>
          <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 664543 GN 01/38 FIXED 6.5</title>
        <cusip>36295AHU2</cusip>
        <identifiers>
          <isin value="US36295AHU25"/>
        </identifiers>
        <balance>1669.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1713.960000</valUSD>
        <pctVal>0.0001225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5</title>
        <cusip>3131Y8WT8</cusip>
        <identifiers>
          <isin value="US3131Y8WT81"/>
        </identifiers>
        <balance>18451.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18121.530000</valUSD>
        <pctVal>0.0012954</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QD9434 FR 03/52 FIXED 3</title>
        <cusip>3133B7PT9</cusip>
        <identifiers>
          <isin value="US3133B7PT93"/>
        </identifiers>
        <balance>216542.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191683.350000</valUSD>
        <pctVal>0.0137028</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>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>BEAR STEARNS ABS INC 2003-SD2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 2A</title>
        <cusip>07384YLJ3</cusip>
        <identifiers>
          <isin value="US07384YLJ37"/>
        </identifiers>
        <balance>7685.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6826.830000</valUSD>
        <pctVal>0.000488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.23612</annualizedRt>
          <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 752927 FN 03/34 FIXED 5.5</title>
        <cusip>31403MPL7</cusip>
        <identifiers>
          <isin value="US31403MPL71"/>
        </identifiers>
        <balance>4550.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4665.330000</valUSD>
        <pctVal>0.0003335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080418 G2 06/30 FLOATING VAR</title>
        <cusip>36225CPC4</cusip>
        <identifiers>
          <isin value="US36225CPC46"/>
        </identifiers>
        <balance>124996.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123687.090000</valUSD>
        <pctVal>0.008842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 685615 FN 02/33 FIXED 6</title>
        <cusip>31400EVG2</cusip>
        <identifiers>
          <isin value="US31400EVG24"/>
        </identifiers>
        <balance>18294.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18707.460000</valUSD>
        <pctVal>0.0013373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 610920 FH 06/28 FLOATING VAR</title>
        <cusip>31337NAV0</cusip>
        <identifiers>
          <isin value="US31337NAV01"/>
        </identifiers>
        <balance>1430.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1415.730000</valUSD>
        <pctVal>0.0001012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.282</annualizedRt>
          <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 4836</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4836 PO</title>
        <cusip>3137FJE21</cusip>
        <identifiers>
          <isin value="US3137FJE210"/>
        </identifiers>
        <balance>9550372.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7050078.980000</valUSD>
        <pctVal>0.503985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-10-15</maturityDt>
          <couponKind>Fixed</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 735903 FN 06/35 FIXED VAR</title>
        <cusip>31402RRY7</cusip>
        <identifiers>
          <isin value="US31402RRY70"/>
        </identifiers>
        <balance>10657.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11016.880000</valUSD>
        <pctVal>0.0007876</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2016-64</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 64 IA</title>
        <cusip>3136ATUB8</cusip>
        <identifiers>
          <isin value="US3136ATUB82"/>
        </identifiers>
        <balance>2440156.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302502.040000</valUSD>
        <pctVal>0.0216248</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A58677 FG 03/37 FIXED 5.5</title>
        <cusip>3128KMUA1</cusip>
        <identifiers>
          <isin value="US3128KMUA13"/>
        </identifiers>
        <balance>4178.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4268.070000</valUSD>
        <pctVal>0.0003051</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555436 FN 05/33 FIXED VAR</title>
        <cusip>31385XBD8</cusip>
        <identifiers>
          <isin value="US31385XBD84"/>
        </identifiers>
        <balance>43498.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45075.030000</valUSD>
        <pctVal>0.0032223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>STRUCTURED ASSET INVST LN TR 2005-5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4</title>
        <cusip>86358ETJ5</cusip>
        <identifiers>
          <isin value="US86358ETJ54"/>
        </identifiers>
        <balance>9978250.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9451707.050000</valUSD>
        <pctVal>0.675669</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.40043</annualizedRt>
          <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 805413 FN 01/35 FIXED 5.5</title>
        <cusip>31406BYJ3</cusip>
        <identifiers>
          <isin value="US31406BYJ33"/>
        </identifiers>
        <balance>71183.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73333.710000</valUSD>
        <pctVal>0.0052424</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BH6393 G2 07/48 FIXED 4.5</title>
        <cusip>3617H4C66</cusip>
        <identifiers>
          <isin value="US3617H4C660"/>
        </identifiers>
        <balance>453941.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>446030.710000</valUSD>
        <pctVal>0.0318852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 903011 FN 12/36 FIXED 6</title>
        <cusip>31411BGU1</cusip>
        <identifiers>
          <isin value="US31411BGU17"/>
        </identifiers>
        <balance>18974.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19827.320000</valUSD>
        <pctVal>0.0014174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 735501 FN 05/35 FIXED VAR</title>
        <cusip>31402RDE6</cusip>
        <identifiers>
          <isin value="US31402RDE62"/>
        </identifiers>
        <balance>168813.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177210.840000</valUSD>
        <pctVal>0.0126682</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>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 535533 FN 10/30 FIXED VAR</title>
        <cusip>31384V4S8</cusip>
        <identifiers>
          <isin value="US31384V4S85"/>
        </identifiers>
        <balance>3359.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3509.070000</valUSD>
        <pctVal>0.0002509</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA2234 FN 08/38 FIXED 4</title>
        <cusip>3140Q9PU1</cusip>
        <identifiers>
          <isin value="US3140Q9PU18"/>
        </identifiers>
        <balance>701425.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>684258.930000</valUSD>
        <pctVal>0.0489152</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>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 461975 GN 12/30 FIXED 8.5</title>
        <cusip>36208VFQ3</cusip>
        <identifiers>
          <isin value="US36208VFQ32"/>
        </identifiers>
        <balance>4468.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4501.200000</valUSD>
        <pctVal>0.0003218</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 408204 FN 01/28 FIXED 6.5</title>
        <cusip>31378TNV3</cusip>
        <identifiers>
          <isin value="US31378TNV34"/>
        </identifiers>
        <balance>246.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>254.620000</valUSD>
        <pctVal>0.0000182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91175 FG 05/28 FIXED 5</title>
        <cusip>3128P7JU8</cusip>
        <identifiers>
          <isin value="US3128P7JU80"/>
        </identifiers>
        <balance>2568.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2569.700000</valUSD>
        <pctVal>0.0001837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A94073 FG 09/40 FIXED 5.5</title>
        <cusip>312942Q24</cusip>
        <identifiers>
          <isin value="US312942Q249"/>
        </identifiers>
        <balance>10594.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10878.810000</valUSD>
        <pctVal>0.0007777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 656202 GN 08/36 FIXED 6.5</title>
        <cusip>36294QAB7</cusip>
        <identifiers>
          <isin value="US36294QAB77"/>
        </identifiers>
        <balance>11096.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11379.460000</valUSD>
        <pctVal>0.0008135</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>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 080264 G2 03/29 FLOATING VAR</title>
        <cusip>36225CJJ6</cusip>
        <identifiers>
          <isin value="US36225CJJ62"/>
        </identifiers>
        <balance>607.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>593.170000</valUSD>
        <pctVal>0.0000424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 642135 GN 09/36 FIXED 6</title>
        <cusip>36291YLQ8</cusip>
        <identifiers>
          <isin value="US36291YLQ88"/>
        </identifiers>
        <balance>3875.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3927.080000</valUSD>
        <pctVal>0.0002807</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A78806 FG 07/38 FIXED 5.5</title>
        <cusip>3128LCYB6</cusip>
        <identifiers>
          <isin value="US3128LCYB68"/>
        </identifiers>
        <balance>10735.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11019.560000</valUSD>
        <pctVal>0.0007877</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB3277 FN 04/52 FIXED 3</title>
        <cusip>3140QNUB6</cusip>
        <identifiers>
          <isin value="US3140QNUB68"/>
        </identifiers>
        <balance>3542907.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3134988.630000</valUSD>
        <pctVal>0.224109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 724877 FN 06/33 FIXED 6</title>
        <cusip>31402CJW3</cusip>
        <identifiers>
          <isin value="US31402CJW38"/>
        </identifiers>
        <balance>6276.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6466.760000</valUSD>
        <pctVal>0.0004623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</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 755327 FN 12/33 FIXED 6</title>
        <cusip>31403RD88</cusip>
        <identifiers>
          <isin value="US31403RD882"/>
        </identifiers>
        <balance>6173.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6417.060000</valUSD>
        <pctVal>0.0004587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 562346 GN 01/34 FIXED 5</title>
        <cusip>36213RWF0</cusip>
        <identifiers>
          <isin value="US36213RWF09"/>
        </identifiers>
        <balance>318.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319.460000</valUSD>
        <pctVal>0.0000228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008649 G2 07/25 FLOATING VAR</title>
        <cusip>36202KTE5</cusip>
        <identifiers>
          <isin value="US36202KTE54"/>
        </identifiers>
        <balance>280.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277.510000</valUSD>
        <pctVal>0.0000198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008430 G2 05/24 FLOATING VAR</title>
        <cusip>36202KLK9</cusip>
        <identifiers>
          <isin value="US36202KLK96"/>
        </identifiers>
        <balance>92.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91.850000</valUSD>
        <pctVal>0.0000066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 889072 FN 12/37 FIXED VAR</title>
        <cusip>31410GW90</cusip>
        <identifiers>
          <isin value="US31410GW906"/>
        </identifiers>
        <balance>8257.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8646.710000</valUSD>
        <pctVal>0.0006181</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>6.5</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>WELLFLEET CLO LTD 2016-1A</name>
        <lei>N/A</lei>
        <title>WELLFLEET CLO LTD WELF 2016 1A AR 144A</title>
        <cusip>94949RAS6</cusip>
        <identifiers>
          <isin value="US94949RAS67"/>
        </identifiers>
        <balance>4543.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4548.340000</valUSD>
        <pctVal>0.0003251</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.58743</annualizedRt>
          <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 614894 FN 12/31 FIXED 6</title>
        <cusip>31388UC73</cusip>
        <identifiers>
          <isin value="US31388UC733"/>
        </identifiers>
        <balance>474.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>491.350000</valUSD>
        <pctVal>0.0000351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-01</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>SLM STUDENT LOAN TRUST 2003-7A</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A</title>
        <cusip>B018RFII0</cusip>
        <identifiers>
          <isin value="US78442GHH20"/>
        </identifiers>
        <balance>1425908.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1406413.520000</valUSD>
        <pctVal>0.10054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.8131</annualizedRt>
          <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 008684 G2 08/25 FLOATING VAR</title>
        <cusip>36202KUH6</cusip>
        <identifiers>
          <isin value="US36202KUH66"/>
        </identifiers>
        <balance>92.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91.350000</valUSD>
        <pctVal>0.0000065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR</title>
        <cusip>3128JREM4</cusip>
        <identifiers>
          <isin value="US3128JREM41"/>
        </identifiers>
        <balance>24843.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24904.950000</valUSD>
        <pctVal>0.0017804</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.011</annualizedRt>
          <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 2015-19</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 19 AI</title>
        <cusip>3136ANJM0</cusip>
        <identifiers>
          <isin value="US3136ANJM07"/>
        </identifiers>
        <balance>725201.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37547.000000</valUSD>
        <pctVal>0.0026841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <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>
        </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 004924 G2 01/41 FIXED 5</title>
        <cusip>36202FPH3</cusip>
        <identifiers>
          <isin value="US36202FPH37"/>
        </identifiers>
        <balance>47126.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48018.370000</valUSD>
        <pctVal>0.0034327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2016-52</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 52 PI</title>
        <cusip>3136AS6D3</cusip>
        <identifiers>
          <isin value="US3136AS6D30"/>
        </identifiers>
        <balance>928354.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108307.890000</valUSD>
        <pctVal>0.0077425</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008790 G2 01/26 FLOATING VAR</title>
        <cusip>36202KXT7</cusip>
        <identifiers>
          <isin value="US36202KXT77"/>
        </identifiers>
        <balance>514.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>507.370000</valUSD>
        <pctVal>0.0000363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 771034 FN 04/34 FIXED 5.5</title>
        <cusip>31404KSX1</cusip>
        <identifiers>
          <isin value="US31404KSX18"/>
        </identifiers>
        <balance>283474.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>292033.450000</valUSD>
        <pctVal>0.0208764</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 252453 FN 03/29 FIXED 6.5</title>
        <cusip>31371HMA3</cusip>
        <identifiers>
          <isin value="US31371HMA31"/>
        </identifiers>
        <balance>564.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>589.040000</valUSD>
        <pctVal>0.0000421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</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>2200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.660000</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>-6489.340000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 G03964 FG 02/38 FIXED 5.5</title>
        <cusip>3128M5WZ9</cusip>
        <identifiers>
          <isin value="US3128M5WZ95"/>
        </identifiers>
        <balance>12053.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12434.980000</valUSD>
        <pctVal>0.0008889</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 771022 FN 04/34 FIXED 5.5</title>
        <cusip>31404KSK9</cusip>
        <identifiers>
          <isin value="US31404KSK96"/>
        </identifiers>
        <balance>24120.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24847.710000</valUSD>
        <pctVal>0.0017763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0657 FN 08/41 FIXED VAR</title>
        <cusip>3138EGWT7</cusip>
        <identifiers>
          <isin value="US3138EGWT71"/>
        </identifiers>
        <balance>54081.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54951.400000</valUSD>
        <pctVal>0.0039283</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>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 730470 FN 08/33 FIXED 5.5</title>
        <cusip>31402JQX8</cusip>
        <identifiers>
          <isin value="US31402JQX80"/>
        </identifiers>
        <balance>77.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79.620000</valUSD>
        <pctVal>0.0000057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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 G02360 FG 10/36 FIXED 5.5</title>
        <cusip>3128LXTR1</cusip>
        <identifiers>
          <isin value="US3128LXTR13"/>
        </identifiers>
        <balance>2951.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3053.790000</valUSD>
        <pctVal>0.0002183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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 G80135 FG 10/24 FIXED 7</title>
        <cusip>31335PEG6</cusip>
        <identifiers>
          <isin value="US31335PEG63"/>
        </identifiers>
        <balance>581.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>580.630000</valUSD>
        <pctVal>0.0000415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0698 G2 01/43 FIXED 3</title>
        <cusip>36179MX39</cusip>
        <identifiers>
          <isin value="US36179MX395"/>
        </identifiers>
        <balance>2591648.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2389494.580000</valUSD>
        <pctVal>0.170817</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 782244 FN 07/34 FIXED 5.5</title>
        <cusip>31404YBM3</cusip>
        <identifiers>
          <isin value="US31404YBM30"/>
        </identifiers>
        <balance>31241.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32183.990000</valUSD>
        <pctVal>0.0023007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AV0016 FN 10/28 FIXED 3</title>
        <cusip>3138XBAS3</cusip>
        <identifiers>
          <isin value="US3138XBAS39"/>
        </identifiers>
        <balance>86270.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83270.380000</valUSD>
        <pctVal>0.0059527</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>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>STRUCTURED ADJUSTABLE RT MTGE LN 2007-9</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1</title>
        <cusip>86364JAA5</cusip>
        <identifiers>
          <isin value="US86364JAA51"/>
        </identifiers>
        <balance>782774.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>681678.410000</valUSD>
        <pctVal>0.0487308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.29937</annualizedRt>
          <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 080171 G2 02/28 FLOATING VAR</title>
        <cusip>36225CFM3</cusip>
        <identifiers>
          <isin value="US36225CFM38"/>
        </identifiers>
        <balance>1057.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1033.190000</valUSD>
        <pctVal>0.0000739</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-20</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>FANNIE MAE 2007-96</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 96 BF</title>
        <cusip>31396XXB5</cusip>
        <identifiers>
          <isin value="US31396XXB53"/>
        </identifiers>
        <balance>1557031.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1551540.090000</valUSD>
        <pctVal>0.110914</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15191</annualizedRt>
          <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 002885 G2 02/30 FIXED 8.5</title>
        <cusip>36202DF22</cusip>
        <identifiers>
          <isin value="US36202DF227"/>
        </identifiers>
        <balance>1123.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1133.970000</valUSD>
        <pctVal>0.0000811</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773925 FN 04/34 FIXED 5.5</title>
        <cusip>31404NYW0</cusip>
        <identifiers>
          <isin value="US31404NYW00"/>
        </identifiers>
        <balance>18667.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19230.650000</valUSD>
        <pctVal>0.0013747</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH1338 FN 12/40 FIXED 4</title>
        <cusip>3138A2PY9</cusip>
        <identifiers>
          <isin value="US3138A2PY92"/>
        </identifiers>
        <balance>89947.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87529.560000</valUSD>
        <pctVal>0.0062572</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>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 G30607 FG 09/32 FIXED 3.5</title>
        <cusip>3128CUU87</cusip>
        <identifiers>
          <isin value="US3128CUU870"/>
        </identifiers>
        <balance>1325633.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1280776.310000</valUSD>
        <pctVal>0.0915582</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 770075 FN 03/34 FIXED 5.5</title>
        <cusip>31404JQ40</cusip>
        <identifiers>
          <isin value="US31404JQ400"/>
        </identifiers>
        <balance>21431.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22078.160000</valUSD>
        <pctVal>0.0015783</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 544860 FN 09/34 FLOATING VAR</title>
        <cusip>31385HJD5</cusip>
        <identifiers>
          <isin value="US31385HJD52"/>
        </identifiers>
        <balance>1530.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1527.340000</valUSD>
        <pctVal>0.0001092</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>Floating</couponKind>
          <annualizedRt>5.662</annualizedRt>
          <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 BT6314 G2 05/50 FIXED 3</title>
        <cusip>3617MVAP0</cusip>
        <identifiers>
          <isin value="US3617MVAP07"/>
        </identifiers>
        <balance>904906.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>797871.590000</valUSD>
        <pctVal>0.057037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-20</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>WASHINGTON MUTUAL 2006-AR16</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1</title>
        <cusip>92925GAA1</cusip>
        <identifiers>
          <isin value="US92925GAA13"/>
        </identifiers>
        <balance>475684.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414902.880000</valUSD>
        <pctVal>0.0296599</pctVal>
        <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>4.27184</annualizedRt>
          <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 545051 FN 09/29 FIXED VAR</title>
        <cusip>31385HQC9</cusip>
        <identifiers>
          <isin value="US31385HQC96"/>
        </identifiers>
        <balance>238.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>247.600000</valUSD>
        <pctVal>0.0000177</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 779589 FN 06/34 FIXED 5.5</title>
        <cusip>31404VC22</cusip>
        <identifiers>
          <isin value="US31404VC223"/>
        </identifiers>
        <balance>38675.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39842.120000</valUSD>
        <pctVal>0.0028482</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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 G03812 FG 02/38 FIXED 5.5</title>
        <cusip>3128M5R93</cusip>
        <identifiers>
          <isin value="US3128M5R934"/>
        </identifiers>
        <balance>194832.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201011.580000</valUSD>
        <pctVal>0.0143696</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 722770 GN 09/39 FIXED 6</title>
        <cusip>3620A86F5</cusip>
        <identifiers>
          <isin value="US3620A86F53"/>
        </identifiers>
        <balance>4722.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4796.570000</valUSD>
        <pctVal>0.0003429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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 886293 FN 07/36 FIXED 6.5</title>
        <cusip>31410DUS7</cusip>
        <identifiers>
          <isin value="US31410DUS79"/>
        </identifiers>
        <balance>181961.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190404.710000</valUSD>
        <pctVal>0.0136114</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>
        </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 080029 G2 01/27 FLOATING VAR</title>
        <cusip>36225CA71</cusip>
        <identifiers>
          <isin value="US36225CA718"/>
        </identifiers>
        <balance>1603.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1575.270000</valUSD>
        <pctVal>0.0001126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 948690 FN 08/37 FIXED 6</title>
        <cusip>31413LNF2</cusip>
        <identifiers>
          <isin value="US31413LNF21"/>
        </identifiers>
        <balance>38393.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40007.200000</valUSD>
        <pctVal>0.00286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A64516 FG 08/37 FIXED 6.5</title>
        <cusip>3128KVAR6</cusip>
        <identifiers>
          <isin value="US3128KVAR66"/>
        </identifiers>
        <balance>12610.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13594.750000</valUSD>
        <pctVal>0.0009718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 POOL 724033 GN 11/39 FIXED 6</title>
        <cusip>3620AALN6</cusip>
        <identifiers>
          <isin value="US3620AALN67"/>
        </identifiers>
        <balance>40117.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40774.490000</valUSD>
        <pctVal>0.0029148</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG5356 FR 06/53 FIXED 5</title>
        <cusip>3133C55R8</cusip>
        <identifiers>
          <isin value="US3133C55R88"/>
        </identifiers>
        <balance>90768.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90469.310000</valUSD>
        <pctVal>0.0064673</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>
        </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 BD8968 FN 11/46 FIXED 3.5</title>
        <cusip>3140FG6E4</cusip>
        <identifiers>
          <isin value="US3140FG6E43"/>
        </identifiers>
        <balance>2811164.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2654216.530000</valUSD>
        <pctVal>0.189741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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 G04057 FG 12/37 FIXED 5.5</title>
        <cusip>3128M5ZW3</cusip>
        <identifiers>
          <isin value="US3128M5ZW38"/>
        </identifiers>
        <balance>10876.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11221.510000</valUSD>
        <pctVal>0.0008022</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080060 G2 04/27 FLOATING VAR</title>
        <cusip>36225CB62</cusip>
        <identifiers>
          <isin value="US36225CB625"/>
        </identifiers>
        <balance>1297.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1276.500000</valUSD>
        <pctVal>0.0000913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 080578 G2 02/32 FLOATING VAR</title>
        <cusip>36225CUC8</cusip>
        <identifiers>
          <isin value="US36225CUC80"/>
        </identifiers>
        <balance>46690.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46952.070000</valUSD>
        <pctVal>0.0033564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002412 G2 04/27 FIXED 7</title>
        <cusip>36202CVD2</cusip>
        <identifiers>
          <isin value="US36202CVD28"/>
        </identifiers>
        <balance>450.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>463.600000</valUSD>
        <pctVal>0.0000331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 756181 FN 12/33 FIXED 5.5</title>
        <cusip>31403SCS3</cusip>
        <identifiers>
          <isin value="US31403SCS32"/>
        </identifiers>
        <balance>6995.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7206.520000</valUSD>
        <pctVal>0.0005152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3432 FN 02/48 FIXED 3.5</title>
        <cusip>3140H4Y65</cusip>
        <identifiers>
          <isin value="US3140H4Y652"/>
        </identifiers>
        <balance>88512.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82000.780000</valUSD>
        <pctVal>0.0058619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A46280 FG 07/35 FIXED 5</title>
        <cusip>3128K66R6</cusip>
        <identifiers>
          <isin value="US3128K66R66"/>
        </identifiers>
        <balance>175989.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179159.980000</valUSD>
        <pctVal>0.0128075</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>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>HARBORVIEW MORTGAGE LOAN TR 2005-4</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A</title>
        <cusip>41161PMZ3</cusip>
        <identifiers>
          <isin value="US41161PMZ35"/>
        </identifiers>
        <balance>238.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>206.230000</valUSD>
        <pctVal>0.0000147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.95195</annualizedRt>
          <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 008699 G2 09/25 FLOATING VAR</title>
        <cusip>36202KUY9</cusip>
        <identifiers>
          <isin value="US36202KUY99"/>
        </identifiers>
        <balance>2128.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2112.820000</valUSD>
        <pctVal>0.000151</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</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>GOVERNMENT NATL MTGE ASSOC 2021-H16</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 F</title>
        <cusip>38382YGW7</cusip>
        <identifiers>
          <isin value="US38382YGW75"/>
        </identifiers>
        <balance>24034746.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24552349.190000</valUSD>
        <pctVal>1.75516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2071-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.83774</annualizedRt>
          <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 A74678 FG 03/38 FIXED 5.5</title>
        <cusip>3128L8FT7</cusip>
        <identifiers>
          <isin value="US3128L8FT77"/>
        </identifiers>
        <balance>23966.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24725.180000</valUSD>
        <pctVal>0.0017675</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>
          <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>FANNIEMAE WHOLE LOAN-1996-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 1996 W2 A7</title>
        <cusip>31359KGH4</cusip>
        <identifiers>
          <isin value="US31359KGH41"/>
        </identifiers>
        <balance>311.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>312.120000</valUSD>
        <pctVal>0.0000223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.36034</annualizedRt>
          <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 665647 FN 10/32 FIXED 6.5</title>
        <cusip>31391FP85</cusip>
        <identifiers>
          <isin value="US31391FP854"/>
        </identifiers>
        <balance>1607.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1680.530000</valUSD>
        <pctVal>0.0001201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>STRUCTURED ADJUSTABLE RT MTG LN 2004-20</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1</title>
        <cusip>863579HD3</cusip>
        <identifiers>
          <isin value="US863579HD34"/>
        </identifiers>
        <balance>118396.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116725.030000</valUSD>
        <pctVal>0.0083443</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.35122</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LOCKWOOD GROVE CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>LOCKWOOD GROVE CLO LTD LWCLO 2014 1A A1RR 144A</title>
        <cusip>54008PAW3</cusip>
        <identifiers>
          <isin value="US54008PAW32"/>
        </identifiers>
        <balance>5732994.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5738966.100000</valUSD>
        <pctVal>0.410258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.80983</annualizedRt>
          <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 889992 FN 06/38 FIXED VAR</title>
        <cusip>31410KXV1</cusip>
        <identifiers>
          <isin value="US31410KXV15"/>
        </identifiers>
        <balance>25481.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26252.410000</valUSD>
        <pctVal>0.0018767</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>
        </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 080104 G2 08/27 FLOATING VAR</title>
        <cusip>36225CDJ2</cusip>
        <identifiers>
          <isin value="US36225CDJ27"/>
        </identifiers>
        <balance>1121.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1105.250000</valUSD>
        <pctVal>0.000079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008927 G2 07/26 FLOATING VAR</title>
        <cusip>36202K4L6</cusip>
        <identifiers>
          <isin value="US36202K4L68"/>
        </identifiers>
        <balance>1869.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1858.700000</valUSD>
        <pctVal>0.0001329</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 907337 FN 03/37 FIXED 6</title>
        <cusip>31411GBE1</cusip>
        <identifiers>
          <isin value="US31411GBE17"/>
        </identifiers>
        <balance>5450.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5623.910000</valUSD>
        <pctVal>0.000402</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>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 MA5018 G2 02/48 FIXED 3</title>
        <cusip>36179TSF3</cusip>
        <identifiers>
          <isin value="US36179TSF39"/>
        </identifiers>
        <balance>2529470.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2316553.120000</valUSD>
        <pctVal>0.165602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254006 FN 10/31 FIXED 6</title>
        <cusip>31371KDK4</cusip>
        <identifiers>
          <isin value="US31371KDK43"/>
        </identifiers>
        <balance>184.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190.520000</valUSD>
        <pctVal>0.0000136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</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>STRUCTURED ASSET MTG INV INC 2005-AR2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1</title>
        <cusip>86359LJA8</cusip>
        <identifiers>
          <isin value="US86359LJA89"/>
        </identifiers>
        <balance>489621.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>438847.680000</valUSD>
        <pctVal>0.0313717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.93043</annualizedRt>
          <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 844214 FN 11/35 FLOATING VAR</title>
        <cusip>31407X3X7</cusip>
        <identifiers>
          <isin value="US31407X3X76"/>
        </identifiers>
        <balance>57267.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55604.830000</valUSD>
        <pctVal>0.003975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.639</annualizedRt>
          <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 AL5443 FN 04/40 FIXED VAR</title>
        <cusip>3138ENBM0</cusip>
        <identifiers>
          <isin value="US3138ENBM09"/>
        </identifiers>
        <balance>36470.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38111.740000</valUSD>
        <pctVal>0.0027245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYMPHONY CLO XXIV LTD 2020-24A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2020 24A A 144A</title>
        <cusip>87167QAC2</cusip>
        <identifiers>
          <isin value="US87167QAC24"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>998090.410000</valUSD>
        <pctVal>0.0713499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.87354</annualizedRt>
          <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 621097 GN 03/37 FIXED 6</title>
        <cusip>36290X7J3</cusip>
        <identifiers>
          <isin value="US36290X7J34"/>
        </identifiers>
        <balance>6380.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6608.180000</valUSD>
        <pctVal>0.0004724</pctVal>
        <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>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 080152 G2 01/28 FLOATING VAR</title>
        <cusip>36225CE28</cusip>
        <identifiers>
          <isin value="US36225CE280"/>
        </identifiers>
        <balance>1234.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1231.760000</valUSD>
        <pctVal>0.0000881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A60094 FG 05/37 FIXED 5.5</title>
        <cusip>3128KQC79</cusip>
        <identifiers>
          <isin value="US3128KQC796"/>
        </identifiers>
        <balance>5612.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5789.960000</valUSD>
        <pctVal>0.0004139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008675 G2 08/25 FLOATING VAR</title>
        <cusip>36202KT88</cusip>
        <identifiers>
          <isin value="US36202KT884"/>
        </identifiers>
        <balance>840.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>829.190000</valUSD>
        <pctVal>0.0000593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 654758 GN 09/36 FIXED 6.5</title>
        <cusip>36294NMF2</cusip>
        <identifiers>
          <isin value="US36294NMF23"/>
        </identifiers>
        <balance>12946.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13296.170000</valUSD>
        <pctVal>0.0009505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</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>WASHINGTON MUTUAL 2003-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6</title>
        <cusip>92922FBV9</cusip>
        <identifiers>
          <isin value="US92922FBV94"/>
        </identifiers>
        <balance>48817.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45206.570000</valUSD>
        <pctVal>0.0032317</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.66167</annualizedRt>
          <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 787216 FN 07/34 FIXED 5.5</title>
        <cusip>31405ESD8</cusip>
        <identifiers>
          <isin value="US31405ESD84"/>
        </identifiers>
        <balance>22859.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23549.230000</valUSD>
        <pctVal>0.0016835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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 G04684 FG 09/38 FIXED 5.5</title>
        <cusip>3128M6RD2</cusip>
        <identifiers>
          <isin value="US3128M6RD22"/>
        </identifiers>
        <balance>1263.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1295.020000</valUSD>
        <pctVal>0.0000926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 749219 FN 10/33 FIXED 5.5</title>
        <cusip>31403HK82</cusip>
        <identifiers>
          <isin value="US31403HK821"/>
        </identifiers>
        <balance>1664.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1714.870000</valUSD>
        <pctVal>0.0001226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256449 FN 10/26 FIXED 6.5</title>
        <cusip>31371MZN0</cusip>
        <identifiers>
          <isin value="US31371MZN00"/>
        </identifiers>
        <balance>23059.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23635.640000</valUSD>
        <pctVal>0.0016896</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 789133 FH 03/32 FLOATING VAR</title>
        <cusip>31295NEE4</cusip>
        <identifiers>
          <isin value="US31295NEE40"/>
        </identifiers>
        <balance>3285.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3258.390000</valUSD>
        <pctVal>0.0002329</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>Floating</couponKind>
          <annualizedRt>4.624</annualizedRt>
          <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 704664 FN 04/33 FIXED 5.5</title>
        <cusip>31401CZ55</cusip>
        <identifiers>
          <isin value="US31401CZ550"/>
        </identifiers>
        <balance>7085.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7299.360000</valUSD>
        <pctVal>0.0005218</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>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 G03122 FG 07/37 FIXED 5.5</title>
        <cusip>3128M4YT4</cusip>
        <identifiers>
          <isin value="US3128M4YT43"/>
        </identifiers>
        <balance>9543.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9845.800000</valUSD>
        <pctVal>0.0007038</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775298 FN 05/34 FIXED 5.5</title>
        <cusip>31404QKK4</cusip>
        <identifiers>
          <isin value="US31404QKK49"/>
        </identifiers>
        <balance>55390.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57062.550000</valUSD>
        <pctVal>0.0040792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 RA2134 FR 02/50 FIXED 3.5</title>
        <cusip>3133KHLP9</cusip>
        <identifiers>
          <isin value="US3133KHLP90"/>
        </identifiers>
        <balance>779420.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>731954.830000</valUSD>
        <pctVal>0.0523249</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 337708 FN 11/25 FLOATING VAR</title>
        <cusip>31375LDM4</cusip>
        <identifiers>
          <isin value="US31375LDM46"/>
        </identifiers>
        <balance>5917.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5895.360000</valUSD>
        <pctVal>0.0004214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.841</annualizedRt>
          <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 768155 FN 03/34 FIXED 5.5</title>
        <cusip>31404GMC2</cusip>
        <identifiers>
          <isin value="US31404GMC23"/>
        </identifiers>
        <balance>24592.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25333.730000</valUSD>
        <pctVal>0.001811</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080604 G2 05/32 FLOATING VAR</title>
        <cusip>36225CU61</cusip>
        <identifiers>
          <isin value="US36225CU617"/>
        </identifiers>
        <balance>107792.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107177.450000</valUSD>
        <pctVal>0.0076617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 598709 GN 07/33 FIXED 5</title>
        <cusip>36200EDN8</cusip>
        <identifiers>
          <isin value="US36200EDN85"/>
        </identifiers>
        <balance>8292.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8348.570000</valUSD>
        <pctVal>0.0005968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</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 A93996 FG 09/40 FIXED 4.5</title>
        <cusip>312942NM3</cusip>
        <identifiers>
          <isin value="US312942NM33"/>
        </identifiers>
        <balance>40264.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40285.920000</valUSD>
        <pctVal>0.0028799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4632 FN 06/42 FIXED 3</title>
        <cusip>31418EEE6</cusip>
        <identifiers>
          <isin value="US31418EEE68"/>
        </identifiers>
        <balance>674229.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>615670.340000</valUSD>
        <pctVal>0.0440121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 931952 FN 01/37 FIXED 6.5</title>
        <cusip>31412QL98</cusip>
        <identifiers>
          <isin value="US31412QL987"/>
        </identifiers>
        <balance>3211.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3376.310000</valUSD>
        <pctVal>0.0002414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0264 FN 12/29 FIXED 4.5</title>
        <cusip>31417YJJ7</cusip>
        <identifiers>
          <isin value="US31417YJJ73"/>
        </identifiers>
        <balance>22553.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22372.120000</valUSD>
        <pctVal>0.0015993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>-58000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-103025.400000</valUSD>
        <pctVal>-0.0073649</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"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5603.520000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2003-KS4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB</title>
        <cusip>76110WRT5</cusip>
        <identifiers>
          <isin value="US76110WRT52"/>
        </identifiers>
        <balance>40113.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36444.590000</valUSD>
        <pctVal>0.0026053</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05043</annualizedRt>
          <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 CA2020 FN 05/48 FIXED 3</title>
        <cusip>3140Q9G64</cusip>
        <identifiers>
          <isin value="US3140Q9G640"/>
        </identifiers>
        <balance>529860.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>476526.320000</valUSD>
        <pctVal>0.0340652</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BE6179 GN 12/47 FIXED 4</title>
        <cusip>3617G02L3</cusip>
        <identifiers>
          <isin value="US3617G02L30"/>
        </identifiers>
        <balance>76055.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73332.430000</valUSD>
        <pctVal>0.0052423</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTGE INV 1998-2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5</title>
        <cusip>073914F65</cusip>
        <identifiers>
          <isin value="US073914F653"/>
        </identifiers>
        <balance>49045.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>653.530000</valUSD>
        <pctVal>0.0000467</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 649488 GN 09/35 FIXED 5</title>
        <cusip>36292HRH8</cusip>
        <identifiers>
          <isin value="US36292HRH83"/>
        </identifiers>
        <balance>1267.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1268.430000</valUSD>
        <pctVal>0.0000907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 852304 FN 02/36 FIXED 6</title>
        <cusip>31408H3M5</cusip>
        <identifiers>
          <isin value="US31408H3M54"/>
        </identifiers>
        <balance>5307.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5458.670000</valUSD>
        <pctVal>0.0003902</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A</title>
        <cusip>83611DAA6</cusip>
        <identifiers>
          <isin value="US83611DAA63"/>
        </identifiers>
        <balance>59562.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18001.610000</valUSD>
        <pctVal>0.0012869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.59043</annualizedRt>
          <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 G04626 FG 05/31 FIXED 6</title>
        <cusip>3128M6PK8</cusip>
        <identifiers>
          <isin value="US3128M6PK82"/>
        </identifiers>
        <balance>172.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177.720000</valUSD>
        <pctVal>0.0000127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 808373 FN 12/34 FIXED 5.5</title>
        <cusip>31406FCJ8</cusip>
        <identifiers>
          <isin value="US31406FCJ84"/>
        </identifiers>
        <balance>261131.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>269020.420000</valUSD>
        <pctVal>0.0192313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>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"/>
        </identifiers>
        <balance>35650000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34073690.690000</valUSD>
        <pctVal>2.43581</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>
        </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 008848 G2 04/26 FLOATING VAR</title>
        <cusip>36202KZM0</cusip>
        <identifiers>
          <isin value="US36202KZM07"/>
        </identifiers>
        <balance>2295.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2271.800000</valUSD>
        <pctVal>0.0001624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 769615 FN 03/34 FIXED 6</title>
        <cusip>31404JAQ8</cusip>
        <identifiers>
          <isin value="US31404JAQ85"/>
        </identifiers>
        <balance>38945.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40260.960000</valUSD>
        <pctVal>0.0028781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>OCP CLO LTD 2017-13A</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2017 13A A1AR 144A</title>
        <cusip>67097LAH9</cusip>
        <identifiers>
          <isin value="US67097LAH96"/>
        </identifiers>
        <balance>2912112.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2910738.580000</valUSD>
        <pctVal>0.208078</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.61548</annualizedRt>
          <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>3 MONTH SOFR FUT  DEC23 XCME 20240319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SFRZ3"/>
        </identifiers>
        <balance>-173.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>250229.320000</valUSD>
        <pctVal>0.017888</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>90SOFR</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI20TM27-90SOFR"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-03-19</expDate>
            <notionalAmt>-40932340.630000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>250229.320000</unrealizedAppr>
          </futrDeriv>
        </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 708631 FN 06/33 FIXED 6</title>
        <cusip>31401HHG0</cusip>
        <identifiers>
          <isin value="US31401HHG02"/>
        </identifiers>
        <balance>1354.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1407.580000</valUSD>
        <pctVal>0.0001006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</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 844719 FN 12/35 FIXED 6</title>
        <cusip>31407YPC7</cusip>
        <identifiers>
          <isin value="US31407YPC74"/>
        </identifiers>
        <balance>5101.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5330.130000</valUSD>
        <pctVal>0.000381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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 849700 FN 06/24 FIXED 4.5</title>
        <cusip>31408E7M8</cusip>
        <identifiers>
          <isin value="US31408E7M81"/>
        </identifiers>
        <balance>2162.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2139.370000</valUSD>
        <pctVal>0.0001529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 948697 FN 08/37 FIXED 6</title>
        <cusip>31413LNN5</cusip>
        <identifiers>
          <isin value="US31413LNN54"/>
        </identifiers>
        <balance>7583.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7847.270000</valUSD>
        <pctVal>0.000561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4989</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4989 FA</title>
        <cusip>3137FUKP8</cusip>
        <identifiers>
          <isin value="US3137FUKP89"/>
        </identifiers>
        <balance>3002499.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2962483.200000</valUSD>
        <pctVal>0.211777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.09792</annualizedRt>
          <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 682899 GN 09/40 FIXED 6</title>
        <cusip>36295WUY1</cusip>
        <identifiers>
          <isin value="US36295WUY10"/>
        </identifiers>
        <balance>56459.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58023.400000</valUSD>
        <pctVal>0.0041479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-15</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>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"/>
        </identifiers>
        <balance>8586.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8772.300000</valUSD>
        <pctVal>0.0006271</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080185 G2 04/28 FLOATING VAR</title>
        <cusip>36225CF35</cusip>
        <identifiers>
          <isin value="US36225CF352"/>
        </identifiers>
        <balance>3861.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3804.440000</valUSD>
        <pctVal>0.000272</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 008371 G2 02/24 FLOATING VAR</title>
        <cusip>36202KJQ9</cusip>
        <identifiers>
          <isin value="US36202KJQ94"/>
        </identifiers>
        <balance>74.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74.030000</valUSD>
        <pctVal>0.0000053</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 535415 FN 05/30 FLOATING VAR</title>
        <cusip>31384VYL0</cusip>
        <identifiers>
          <isin value="US31384VYL07"/>
        </identifiers>
        <balance>7581.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7400.280000</valUSD>
        <pctVal>0.000529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.842</annualizedRt>
          <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 479099 GN 01/30 FIXED 8.5</title>
        <cusip>36209RGG2</cusip>
        <identifiers>
          <isin value="US36209RGG20"/>
        </identifiers>
        <balance>1013.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1012.100000</valUSD>
        <pctVal>0.0000724</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB3485 G2 08/47 FIXED 3.5</title>
        <cusip>3617AT2S1</cusip>
        <identifiers>
          <isin value="US3617AT2S18"/>
        </identifiers>
        <balance>603064.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>569427.400000</valUSD>
        <pctVal>0.0407063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91194 FG 07/28 FIXED 5</title>
        <cusip>3128P7KF9</cusip>
        <identifiers>
          <isin value="US3128P7KF94"/>
        </identifiers>
        <balance>682.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>678.870000</valUSD>
        <pctVal>0.0000485</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>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 795111 FN 10/34 FIXED 5.5</title>
        <cusip>31405PKY5</cusip>
        <identifiers>
          <isin value="US31405PKY50"/>
        </identifiers>
        <balance>616.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>635.300000</valUSD>
        <pctVal>0.0000454</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 865171 FN 02/36 FIXED 5.5</title>
        <cusip>31409AFL8</cusip>
        <identifiers>
          <isin value="US31409AFL89"/>
        </identifiers>
        <balance>114.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117.950000</valUSD>
        <pctVal>0.0000084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</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>ENNIS ECONOMIC DEVELOPMENT CORPORATION INC</name>
        <lei>N/A</lei>
        <title>ENNIS TX ECON DEV CORP ENNDEV 08/34 ZEROCPNOID 0</title>
        <cusip>293430AN4</cusip>
        <identifiers>
          <isin value="US293430AN46"/>
        </identifiers>
        <balance>7990000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4062016.130000</valUSD>
        <pctVal>0.290379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-01</maturityDt>
          <couponKind>None</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>FHR 2046</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2046 G</title>
        <cusip>3133TDCL8</cusip>
        <identifiers>
          <isin value="US3133TDCL82"/>
        </identifiers>
        <balance>3147.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3194.260000</valUSD>
        <pctVal>0.0002283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317574HX2 OTC EPUT FN 5.0 JAN24 96.40625 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46873"/>
        </identifiers>
        <balance>-37000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2112.700000</valUSD>
        <pctVal>-0.000151</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>96.410000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>194449.800000</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 II POOL 080042 G2 02/27 FLOATING VAR</title>
        <cusip>36225CBL9</cusip>
        <identifiers>
          <isin value="US36225CBL90"/>
        </identifiers>
        <balance>1114.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1094.130000</valUSD>
        <pctVal>0.0000782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781920 GN 05/35 FIXED 5.5</title>
        <cusip>36241KDZ8</cusip>
        <identifiers>
          <isin value="US36241KDZ84"/>
        </identifiers>
        <balance>3092.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3126.550000</valUSD>
        <pctVal>0.0002235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 780123 FN 05/34 FIXED 5.5</title>
        <cusip>31404VVQ8</cusip>
        <identifiers>
          <isin value="US31404VVQ84"/>
        </identifiers>
        <balance>31907.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32788.920000</valUSD>
        <pctVal>0.002344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 832238 FN 08/35 FIXED 6</title>
        <cusip>31407JS37</cusip>
        <identifiers>
          <isin value="US31407JS375"/>
        </identifiers>
        <balance>48072.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50092.140000</valUSD>
        <pctVal>0.0035809</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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 826082 FN 07/35 FLOATING VAR</title>
        <cusip>31407BXK0</cusip>
        <identifiers>
          <isin value="US31407BXK06"/>
        </identifiers>
        <balance>6038.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5980.780000</valUSD>
        <pctVal>0.0004275</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>5.805</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 865591 FH 03/29 FLOATING VAR</title>
        <cusip>31348UF87</cusip>
        <identifiers>
          <isin value="US31348UF870"/>
        </identifiers>
        <balance>2943.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2900.350000</valUSD>
        <pctVal>0.0002073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.735</annualizedRt>
          <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 MA0549 FN 09/25 FIXED 4.5</title>
        <cusip>31417YTF4</cusip>
        <identifiers>
          <isin value="US31417YTF42"/>
        </identifiers>
        <balance>6932.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6898.700000</valUSD>
        <pctVal>0.0004932</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93853 FG 09/40 FIXED 5</title>
        <cusip>312942H65</cusip>
        <identifiers>
          <isin value="US312942H651"/>
        </identifiers>
        <balance>5440.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5536.650000</valUSD>
        <pctVal>0.0003958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A92269 FG 05/40 FIXED 4.5</title>
        <cusip>312940QW2</cusip>
        <identifiers>
          <isin value="US312940QW22"/>
        </identifiers>
        <balance>1949119.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1950135.950000</valUSD>
        <pctVal>0.139408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>2215000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2234804.000000</valUSD>
        <pctVal>0.159758</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>ASSET BACKED SEC CORP HEQ LN 2001-HE2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1</title>
        <cusip>04541GBN1</cusip>
        <identifiers>
          <isin value="US04541GBN16"/>
        </identifiers>
        <balance>183479.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167735.760000</valUSD>
        <pctVal>0.0119908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.99629</annualizedRt>
          <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 AH1684 FN 09/41 FIXED 4</title>
        <cusip>3138A22S7</cusip>
        <identifiers>
          <isin value="US3138A22S76"/>
        </identifiers>
        <balance>36940.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35947.690000</valUSD>
        <pctVal>0.0025698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AR1005 FN 01/43 FIXED 4</title>
        <cusip>3138NXDK0</cusip>
        <identifiers>
          <isin value="US3138NXDK06"/>
        </identifiers>
        <balance>127899.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124500.850000</valUSD>
        <pctVal>0.0089001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 A37622 FG 09/35 FIXED 5.5</title>
        <cusip>31297TPF4</cusip>
        <identifiers>
          <isin value="US31297TPF48"/>
        </identifiers>
        <balance>42149.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43484.740000</valUSD>
        <pctVal>0.0031086</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698649 GN 11/38 FIXED 6</title>
        <cusip>36296REW3</cusip>
        <identifiers>
          <isin value="US36296REW34"/>
        </identifiers>
        <balance>8320.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8474.340000</valUSD>
        <pctVal>0.0006058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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 782423 GN 10/38 FIXED 5.5</title>
        <cusip>36241KVQ8</cusip>
        <identifiers>
          <isin value="US36241KVQ83"/>
        </identifiers>
        <balance>15147.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15317.650000</valUSD>
        <pctVal>0.001095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 G04587 FG 08/38 FIXED 5.5</title>
        <cusip>3128M6NC8</cusip>
        <identifiers>
          <isin value="US3128M6NC84"/>
        </identifiers>
        <balance>22319.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23026.720000</valUSD>
        <pctVal>0.0016461</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 841085 FN 09/35 FIXED 6</title>
        <cusip>31407UNA1</cusip>
        <identifiers>
          <isin value="US31407UNA15"/>
        </identifiers>
        <balance>5929.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6124.800000</valUSD>
        <pctVal>0.0004378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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 POOL 688098 GN 11/38 FIXED 6</title>
        <cusip>36296DNP9</cusip>
        <identifiers>
          <isin value="US36296DNP95"/>
        </identifiers>
        <balance>4734.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4838.220000</valUSD>
        <pctVal>0.0003459</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1</title>
        <cusip>939335N68</cusip>
        <identifiers>
          <isin value="US939335N683"/>
        </identifiers>
        <balance>28687.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27843.030000</valUSD>
        <pctVal>0.0019904</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.96088</annualizedRt>
          <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 920169 FN 09/36 FIXED 6.5</title>
        <cusip>31412BJN3</cusip>
        <identifiers>
          <isin value="US31412BJN38"/>
        </identifiers>
        <balance>22580.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23766.240000</valUSD>
        <pctVal>0.001699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</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 POOL 499440 GN 04/29 FIXED 6.5</title>
        <cusip>36210QZD7</cusip>
        <identifiers>
          <isin value="US36210QZD77"/>
        </identifiers>
        <balance>1571.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1612.610000</valUSD>
        <pctVal>0.0001153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</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 FM3229 FN 02/47 FIXED VAR</title>
        <cusip>3140X6ST9</cusip>
        <identifiers>
          <isin value="US3140X6ST90"/>
        </identifiers>
        <balance>7000241.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6599354.030000</valUSD>
        <pctVal>0.471764</pctVal>
        <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>3.5</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 846512 FH 08/27 FLOATING VAR</title>
        <cusip>3128HDGV5</cusip>
        <identifiers>
          <isin value="US3128HDGV53"/>
        </identifiers>
        <balance>1640.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1626.820000</valUSD>
        <pctVal>0.0001163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.541</annualizedRt>
          <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 A69653 FG 12/37 FIXED 5.5</title>
        <cusip>3128L1WN6</cusip>
        <identifiers>
          <isin value="US3128L1WN61"/>
        </identifiers>
        <balance>55637.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57401.830000</valUSD>
        <pctVal>0.0041035</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809177 FN 01/35 FLOATING VAR</title>
        <cusip>31406F6N6</cusip>
        <identifiers>
          <isin value="US31406F6N66"/>
        </identifiers>
        <balance>14717.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14619.400000</valUSD>
        <pctVal>0.0010451</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>4.882</annualizedRt>
          <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 871488 FN 04/36 FIXED 6.5</title>
        <cusip>31409HF58</cusip>
        <identifiers>
          <isin value="US31409HF588"/>
        </identifiers>
        <balance>160.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167.420000</valUSD>
        <pctVal>0.000012</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>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 810728 FN 12/34 FIXED 6</title>
        <cusip>31406HVV6</cusip>
        <identifiers>
          <isin value="US31406HVV67"/>
        </identifiers>
        <balance>58477.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60296.990000</valUSD>
        <pctVal>0.0043104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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 796013 FN 09/34 FIXED 5.5</title>
        <cusip>31405QK23</cusip>
        <identifiers>
          <isin value="US31405QK231"/>
        </identifiers>
        <balance>846.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>872.480000</valUSD>
        <pctVal>0.0000624</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>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>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>146775.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7653.810000</valUSD>
        <pctVal>0.0005471</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>ASSET BACKED FUNDING CERT 2002-NC1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1</title>
        <cusip>04542BAZ5</cusip>
        <identifiers>
          <isin value="US04542BAZ58"/>
        </identifiers>
        <balance>145234.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137690.320000</valUSD>
        <pctVal>0.009843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.49043</annualizedRt>
          <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 4.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F042624</cusip>
        <identifiers>
          <isin value="US01F0426241"/>
        </identifiers>
        <balance>468818000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>454771776.720000</valUSD>
        <pctVal>32.51</pctVal>
        <payoffProfile>Long</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>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-1994-30</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1994 30 K</title>
        <cusip>31359GB88</cusip>
        <identifiers>
          <isin value="US31359GB883"/>
        </identifiers>
        <balance>862.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>858.880000</valUSD>
        <pctVal>0.0000614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ9942 FN 04/48 FIXED 4</title>
        <cusip>3140HCBL9</cusip>
        <identifiers>
          <isin value="US3140HCBL97"/>
        </identifiers>
        <balance>126491.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122284.140000</valUSD>
        <pctVal>0.0087417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD7898 FN 07/40 FIXED 4.5</title>
        <cusip>31418VX49</cusip>
        <identifiers>
          <isin value="US31418VX492"/>
        </identifiers>
        <balance>79362.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79274.810000</valUSD>
        <pctVal>0.0056671</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21</title>
        <cusip>92922FD47</cusip>
        <identifiers>
          <isin value="US92922FD478"/>
        </identifiers>
        <balance>280182.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>271414.740000</valUSD>
        <pctVal>0.0194025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13043</annualizedRt>
          <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 782278 GN 02/38 FIXED 5.5</title>
        <cusip>36241KQ76</cusip>
        <identifiers>
          <isin value="US36241KQ763"/>
        </identifiers>
        <balance>752.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>761.040000</valUSD>
        <pctVal>0.0000544</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 A72770 FG 02/38 FIXED 5.5</title>
        <cusip>3128L6CF4</cusip>
        <identifiers>
          <isin value="US3128L6CF45"/>
        </identifiers>
        <balance>72336.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74256.260000</valUSD>
        <pctVal>0.0053083</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 754785 FN 04/34 FIXED 5.5</title>
        <cusip>31403QRE2</cusip>
        <identifiers>
          <isin value="US31403QRE25"/>
        </identifiers>
        <balance>20197.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20806.340000</valUSD>
        <pctVal>0.0014874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FREDDIE MAC REMICS 4182</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4182 QI</title>
        <cusip>3137B0ZL1</cusip>
        <identifiers>
          <isin value="US3137B0ZL14"/>
        </identifiers>
        <balance>215730.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11641.340000</valUSD>
        <pctVal>0.0008322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02620 FG 02/37 FIXED 5.5</title>
        <cusip>3128M4G56</cusip>
        <identifiers>
          <isin value="US3128M4G567"/>
        </identifiers>
        <balance>715.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>738.430000</valUSD>
        <pctVal>0.0000528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809617 FN 02/35 FIXED 5.5</title>
        <cusip>31406GPA1</cusip>
        <identifiers>
          <isin value="US31406GPA12"/>
        </identifiers>
        <balance>244.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249.510000</valUSD>
        <pctVal>0.0000178</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>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 G04144 FG 03/38 FIXED 5.5</title>
        <cusip>3128M55D8</cusip>
        <identifiers>
          <isin value="US3128M55D89"/>
        </identifiers>
        <balance>60548.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62465.100000</valUSD>
        <pctVal>0.0044654</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>
          <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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080802 G2 01/34 FLOATING VAR</title>
        <cusip>36225C3L8</cusip>
        <identifiers>
          <isin value="US36225C3L83"/>
        </identifiers>
        <balance>1037653.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1058402.440000</valUSD>
        <pctVal>0.0756614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.125</annualizedRt>
          <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 774031 FN 04/34 FIXED 5.5</title>
        <cusip>31404N4Q6</cusip>
        <identifiers>
          <isin value="US31404N4Q64"/>
        </identifiers>
        <balance>30141.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31051.500000</valUSD>
        <pctVal>0.0022198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>BEAR STEARNS ALT-A TRUST 2006-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1</title>
        <cusip>073868BE0</cusip>
        <identifiers>
          <isin value="US073868BE01"/>
        </identifiers>
        <balance>414536.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>216272.120000</valUSD>
        <pctVal>0.0154605</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.49227</annualizedRt>
          <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 AU7367 FN 09/43 FIXED 5</title>
        <cusip>3138X7FH1</cusip>
        <identifiers>
          <isin value="US3138X7FH19"/>
        </identifiers>
        <balance>13927.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14100.180000</valUSD>
        <pctVal>0.001008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A46278 FG 07/35 FIXED 5</title>
        <cusip>3128K66P0</cusip>
        <identifiers>
          <isin value="US3128K66P01"/>
        </identifiers>
        <balance>16563.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16861.720000</valUSD>
        <pctVal>0.0012054</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>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 828580 FN 07/35 FIXED 6</title>
        <cusip>31407EQ97</cusip>
        <identifiers>
          <isin value="US31407EQ974"/>
        </identifiers>
        <balance>3344.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3477.020000</valUSD>
        <pctVal>0.0002486</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>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>N/A</name>
        <lei>N/A</lei>
        <title>317595KA3 OTC ECAL FN 6.0 FEB24 101.09375 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH44811"/>
        </identifiers>
        <balance>-55000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-444785.000000</valUSD>
        <pctVal>-0.0317961</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>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606263"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.090000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-225644.370000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A77314 FG 05/38 FIXED 5.5</title>
        <cusip>3128LBDT2</cusip>
        <identifiers>
          <isin value="US3128LBDT23"/>
        </identifiers>
        <balance>163.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>168.630000</valUSD>
        <pctVal>0.0000121</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782962 GN 05/40 FIXED 5</title>
        <cusip>36241LJF4</cusip>
        <identifiers>
          <isin value="US36241LJF40"/>
        </identifiers>
        <balance>119950.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120898.530000</valUSD>
        <pctVal>0.0086426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM7534 FN 04/50 FIXED VAR</title>
        <cusip>3140XBLQ1</cusip>
        <identifiers>
          <isin value="US3140XBLQ18"/>
        </identifiers>
        <balance>335528.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>312445.760000</valUSD>
        <pctVal>0.0223356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 810769 FN 01/35 FIXED 6</title>
        <cusip>31406HW60</cusip>
        <identifiers>
          <isin value="US31406HW605"/>
        </identifiers>
        <balance>12449.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12894.110000</valUSD>
        <pctVal>0.0009218</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03447 FG 10/37 FIXED 5.5</title>
        <cusip>3128M5EU0</cusip>
        <identifiers>
          <isin value="US3128M5EU01"/>
        </identifiers>
        <balance>5095.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5256.630000</valUSD>
        <pctVal>0.0003758</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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 C90931 FG 11/25 FIXED 5</title>
        <cusip>3128P7A86</cusip>
        <identifiers>
          <isin value="US3128P7A867"/>
        </identifiers>
        <balance>93466.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92588.640000</valUSD>
        <pctVal>0.0066188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF3074 G2 07/48 FIXED 4</title>
        <cusip>3617G9MX6</cusip>
        <identifiers>
          <isin value="US3617G9MX65"/>
        </identifiers>
        <balance>27006.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25913.290000</valUSD>
        <pctVal>0.0018524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-20</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 008386 G2 03/24 FLOATING VAR</title>
        <cusip>36202KJ71</cusip>
        <identifiers>
          <isin value="US36202KJ711"/>
        </identifiers>
        <balance>36.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35.920000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93652 FG 09/40 FIXED 5</title>
        <cusip>312942BV6</cusip>
        <identifiers>
          <isin value="US312942BV69"/>
        </identifiers>
        <balance>770.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>787.770000</valUSD>
        <pctVal>0.0000563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A54203 FG 11/36 FIXED 6.5</title>
        <cusip>3128KGU48</cusip>
        <identifiers>
          <isin value="US3128KGU484"/>
        </identifiers>
        <balance>3970.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4161.610000</valUSD>
        <pctVal>0.0002975</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>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 764521 FN 05/34 FIXED 5.5</title>
        <cusip>31404CLA6</cusip>
        <identifiers>
          <isin value="US31404CLA61"/>
        </identifiers>
        <balance>5967.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6142.840000</valUSD>
        <pctVal>0.0004391</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>SIGNAL PEAK CLO 6 LTD 2018-5A</name>
        <lei>N/A</lei>
        <title>SIGNAL PEAK CLO, LLC SPEAK 2018 5A A 144A</title>
        <cusip>56844YAA5</cusip>
        <identifiers>
          <isin value="US56844YAA55"/>
        </identifiers>
        <balance>850973.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>852172.240000</valUSD>
        <pctVal>0.0609188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74983</annualizedRt>
          <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 BA4544 FN 11/35 FIXED 4</title>
        <cusip>3140E9BN5</cusip>
        <identifiers>
          <isin value="US3140E9BN50"/>
        </identifiers>
        <balance>2164574.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2116916.900000</valUSD>
        <pctVal>0.151331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NAA4 OTC ECAL FN 5.5 MAR24 102.234375 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50032"/>
        </identifiers>
        <balance>-20000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-34304.000000</valUSD>
        <pctVal>-0.0024523</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 5.5% MAR 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0526313"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-7741.500000</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 831618 FN 06/36 FIXED 6.5</title>
        <cusip>31407H4B9</cusip>
        <identifiers>
          <isin value="US31407H4B90"/>
        </identifiers>
        <balance>29656.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31406.380000</valUSD>
        <pctVal>0.0022451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806211 FN 01/35 FIXED 5.5</title>
        <cusip>31406CVC9</cusip>
        <identifiers>
          <isin value="US31406CVC99"/>
        </identifiers>
        <balance>17553.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18088.740000</valUSD>
        <pctVal>0.0012931</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 670978 GN 11/37 FIXED 6.5</title>
        <cusip>36295HM31</cusip>
        <identifiers>
          <isin value="US36295HM319"/>
        </identifiers>
        <balance>51350.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53172.950000</valUSD>
        <pctVal>0.0038011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA5561 FN 04/50 FIXED 3.5</title>
        <cusip>3140QDFB5</cusip>
        <identifiers>
          <isin value="US3140QDFB51"/>
        </identifiers>
        <balance>861922.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>806980.230000</valUSD>
        <pctVal>0.0576882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2006-5</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 5 3A2</title>
        <cusip>31394VL73</cusip>
        <identifiers>
          <isin value="US31394VL730"/>
        </identifiers>
        <balance>44747.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45437.870000</valUSD>
        <pctVal>0.0032482</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>
        </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 080074 G2 05/27 FLOATING VAR</title>
        <cusip>36225CCL8</cusip>
        <identifiers>
          <isin value="US36225CCL81"/>
        </identifiers>
        <balance>765.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>755.450000</valUSD>
        <pctVal>0.000054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OZLM XIX LTD 2017-17A</name>
        <lei>N/A</lei>
        <title>OZLM LTD OZLM 2017 17A A1 144A</title>
        <cusip>67111NAA2</cusip>
        <identifiers>
          <isin value="US67111NAA28"/>
        </identifiers>
        <balance>2455543.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2459039.970000</valUSD>
        <pctVal>0.175788</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.92743</annualizedRt>
          <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>
        <identifiers>
          <isin value="US3138EP2M52"/>
        </identifiers>
        <balance>428327.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>418905.000000</valUSD>
        <pctVal>0.029946</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>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 MA3105 G2 09/45 FIXED 3.5</title>
        <cusip>36179RNW5</cusip>
        <identifiers>
          <isin value="US36179RNW50"/>
        </identifiers>
        <balance>2134200.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2017353.940000</valUSD>
        <pctVal>0.144213</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 769017 FN 12/31 FIXED 6</title>
        <cusip>31404HK65</cusip>
        <identifiers>
          <isin value="US31404HK654"/>
        </identifiers>
        <balance>3930.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4055.200000</valUSD>
        <pctVal>0.0002899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-01</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>FANNIE MAE 1998-59</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1998 59 Z</title>
        <cusip>31359UB53</cusip>
        <identifiers>
          <isin value="US31359UB538"/>
        </identifiers>
        <balance>13854.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14126.940000</valUSD>
        <pctVal>0.0010099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SALOMON BROTHERS MTGE SEC VII 2002-WMC1</name>
        <lei>N/A</lei>
        <title>SALOMON BROTHERS MORTGAGE SECU SBM7 2002 WMC1 M1</title>
        <cusip>79549AKF5</cusip>
        <identifiers>
          <isin value="US79549AKF56"/>
        </identifiers>
        <balance>121790.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127231.570000</valUSD>
        <pctVal>0.0090953</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>6.37043</annualizedRt>
          <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 2014-92</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 92 SB</title>
        <cusip>3136AMEE5</cusip>
        <identifiers>
          <isin value="US3136AMEE52"/>
        </identifiers>
        <balance>438780.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28895.730000</valUSD>
        <pctVal>0.0020657</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.000001</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWARK BSL CLO 2 LTD 2017 1A</name>
        <lei>N/A</lei>
        <title>NEWARK BSL CLO 2 LTD. NBCLO 2017 1A A1R 144A</title>
        <cusip>65023PAN0</cusip>
        <identifiers>
          <isin value="US65023PAN06"/>
        </identifiers>
        <balance>6145512.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6135031.630000</valUSD>
        <pctVal>0.438572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.60983</annualizedRt>
          <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 787022 FN 06/34 FIXED 5.5</title>
        <cusip>31405ELB9</cusip>
        <identifiers>
          <isin value="US31405ELB91"/>
        </identifiers>
        <balance>324.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>333.940000</valUSD>
        <pctVal>0.0000239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 517675 FN 07/29 FIXED 6.5</title>
        <cusip>31384ACL0</cusip>
        <identifiers>
          <isin value="US31384ACL08"/>
        </identifiers>
        <balance>258.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>268.720000</valUSD>
        <pctVal>0.0000192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080070 G2 05/27 FLOATING VAR</title>
        <cusip>36225CCG9</cusip>
        <identifiers>
          <isin value="US36225CCG96"/>
        </identifiers>
        <balance>791.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>782.810000</valUSD>
        <pctVal>0.000056</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 687923 GN 09/38 FIXED 6</title>
        <cusip>36296DG85</cusip>
        <identifiers>
          <isin value="US36296DG854"/>
        </identifiers>
        <balance>7240.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7399.280000</valUSD>
        <pctVal>0.0005289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A32162 FG 03/35 FIXED 5</title>
        <cusip>31297MMK1</cusip>
        <identifiers>
          <isin value="US31297MMK17"/>
        </identifiers>
        <balance>55972.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56978.550000</valUSD>
        <pctVal>0.0040732</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>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 404494 FN 05/27 FLOATING VAR</title>
        <cusip>31378PKF9</cusip>
        <identifiers>
          <isin value="US31378PKF98"/>
        </identifiers>
        <balance>1372.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1361.500000</valUSD>
        <pctVal>0.0000973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.655</annualizedRt>
          <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 A44573 FG 04/36 FIXED 5.5</title>
        <cusip>3128K5CJ9</cusip>
        <identifiers>
          <isin value="US3128K5CJ93"/>
        </identifiers>
        <balance>16180.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16651.250000</valUSD>
        <pctVal>0.0011903</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE5667 FN 09/25 FIXED 3.5</title>
        <cusip>31419GJM7</cusip>
        <identifiers>
          <isin value="US31419GJM78"/>
        </identifiers>
        <balance>580.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>564.190000</valUSD>
        <pctVal>0.0000403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4262</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4262 SB</title>
        <cusip>3137B4XS0</cusip>
        <identifiers>
          <isin value="US3137B4XS07"/>
        </identifiers>
        <balance>4003155.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3713946.740000</valUSD>
        <pctVal>0.265497</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 830817 FN 10/35 FIXED 6</title>
        <cusip>31407HAS5</cusip>
        <identifiers>
          <isin value="US31407HAS58"/>
        </identifiers>
        <balance>15686.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16210.740000</valUSD>
        <pctVal>0.0011588</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</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 719922 GN 10/39 FIXED 5.5</title>
        <cusip>3620A5YT0</cusip>
        <identifiers>
          <isin value="US3620A5YT01"/>
        </identifiers>
        <balance>105541.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106784.740000</valUSD>
        <pctVal>0.0076337</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773676 FN 04/34 FIXED 5.5</title>
        <cusip>31404NQ58</cusip>
        <identifiers>
          <isin value="US31404NQ584"/>
        </identifiers>
        <balance>10142.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10448.640000</valUSD>
        <pctVal>0.0007469</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FREDDIE MAC-2177</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2177 F</title>
        <cusip>3133TLPF9</cusip>
        <identifiers>
          <isin value="US3133TLPF93"/>
        </identifiers>
        <balance>690.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>691.300000</valUSD>
        <pctVal>0.0000494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782144 GN 02/37 FIXED 6</title>
        <cusip>36241KLZ9</cusip>
        <identifiers>
          <isin value="US36241KLZ92"/>
        </identifiers>
        <balance>1975.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2044.920000</valUSD>
        <pctVal>0.0001462</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-15</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 AX2180 FN 11/44 FIXED 5</title>
        <cusip>3138Y3M65</cusip>
        <identifiers>
          <isin value="US3138Y3M652"/>
        </identifiers>
        <balance>12989.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12987.600000</valUSD>
        <pctVal>0.0009284</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-11-01</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 689631 FN 02/33 FIXED 5.5</title>
        <cusip>31400KEC6</cusip>
        <identifiers>
          <isin value="US31400KEC62"/>
        </identifiers>
        <balance>4596.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4734.820000</valUSD>
        <pctVal>0.0003385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</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>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"/>
        </identifiers>
        <balance>5567840.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4067972.020000</valUSD>
        <pctVal>0.290805</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7524</annualizedRt>
          <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 G03073 FG 07/37 FIXED 5.5</title>
        <cusip>3128M4XA6</cusip>
        <identifiers>
          <isin value="US3128M4XA60"/>
        </identifiers>
        <balance>9933.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10248.160000</valUSD>
        <pctVal>0.0007326</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 850655 FN 02/36 FIXED 6.5</title>
        <cusip>31408GBY2</cusip>
        <identifiers>
          <isin value="US31408GBY26"/>
        </identifiers>
        <balance>77634.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80675.020000</valUSD>
        <pctVal>0.0057672</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</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 POOL 781029 GN 05/29 FIXED 6.5</title>
        <cusip>36225BEA2</cusip>
        <identifiers>
          <isin value="US36225BEA26"/>
        </identifiers>
        <balance>47801.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49138.060000</valUSD>
        <pctVal>0.0035127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</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>FREDDIE MAC REMICS 4825</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4825 NI</title>
        <cusip>3137FH6Z1</cusip>
        <identifiers>
          <isin value="US3137FH6Z18"/>
        </identifiers>
        <balance>904071.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135815.480000</valUSD>
        <pctVal>0.009709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-15</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>AMRESCO RES SEC 1999-1</name>
        <lei>N/A</lei>
        <title>AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A</title>
        <cusip>03215PFN4</cusip>
        <identifiers>
          <isin value="US03215PFN42"/>
        </identifiers>
        <balance>154607.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149454.780000</valUSD>
        <pctVal>0.010684</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.41043</annualizedRt>
          <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 670665 GN 08/37 FIXED 6</title>
        <cusip>36295HCA6</cusip>
        <identifiers>
          <isin value="US36295HCA68"/>
        </identifiers>
        <balance>1148.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1189.540000</valUSD>
        <pctVal>0.000085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</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 080706 G2 07/33 FLOATING VAR</title>
        <cusip>36225CYC4</cusip>
        <identifiers>
          <isin value="US36225CYC45"/>
        </identifiers>
        <balance>328232.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>324706.850000</valUSD>
        <pctVal>0.0232121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 695998 GN 07/38 FIXED 5.5</title>
        <cusip>36296NGF7</cusip>
        <identifiers>
          <isin value="US36296NGF78"/>
        </identifiers>
        <balance>72826.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73644.490000</valUSD>
        <pctVal>0.0052646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3335 FN 04/38 FIXED 3</title>
        <cusip>31418CV50</cusip>
        <identifiers>
          <isin value="US31418CV504"/>
        </identifiers>
        <balance>104416.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>96813.140000</valUSD>
        <pctVal>0.0069208</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>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>ANCHORAGE CAPITAL CLO 11 LTD 2019-11A</name>
        <lei>N/A</lei>
        <title>ANCHORAGE CAPITAL CLO LTD ANCHC 2019 11A AR 144A</title>
        <cusip>03330NAJ3</cusip>
        <identifiers>
          <isin value="US03330NAJ37"/>
        </identifiers>
        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3784264.580000</valUSD>
        <pctVal>0.270524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.81354</annualizedRt>
          <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 710929 GN 10/39 FIXED 5</title>
        <cusip>36297FY22</cusip>
        <identifiers>
          <isin value="US36297FY223"/>
        </identifiers>
        <balance>3953.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3989.980000</valUSD>
        <pctVal>0.0002852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 594198 FN 02/31 FLOATING VAR</title>
        <cusip>31387UDB4</cusip>
        <identifiers>
          <isin value="US31387UDB44"/>
        </identifiers>
        <balance>3360.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3346.840000</valUSD>
        <pctVal>0.0002393</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.78</annualizedRt>
          <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 G03368 FG 12/33 FIXED 6.5</title>
        <cusip>3128M5CD0</cusip>
        <identifiers>
          <isin value="US3128M5CD04"/>
        </identifiers>
        <balance>2722.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2830.590000</valUSD>
        <pctVal>0.0002023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>MELLON RESIDENTIAL FUNDING CO 2001-TBC1</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1</title>
        <cusip>585525FC7</cusip>
        <identifiers>
          <isin value="US585525FC72"/>
        </identifiers>
        <balance>72827.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69058.860000</valUSD>
        <pctVal>0.0049368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17629</annualizedRt>
          <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 AX8344 G2 04/47 FIXED 3.5</title>
        <cusip>36196LHV6</cusip>
        <identifiers>
          <isin value="US36196LHV62"/>
        </identifiers>
        <balance>311781.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>294633.380000</valUSD>
        <pctVal>0.0210623</pctVal>
        <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>
        </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 A68524 FG 11/37 FIXED 6</title>
        <cusip>3128L0PH9</cusip>
        <identifiers>
          <isin value="US3128L0PH93"/>
        </identifiers>
        <balance>7332.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7543.070000</valUSD>
        <pctVal>0.0005392</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</annualizedRt>
          <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>01F052623</cusip>
        <identifiers>
          <isin value="US01F0526230"/>
        </identifiers>
        <balance>168000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>168761251.680000</valUSD>
        <pctVal>12.0641</pctVal>
        <payoffProfile>Long</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 832864 FN 09/35 FIXED 5.5</title>
        <cusip>31407KJH3</cusip>
        <identifiers>
          <isin value="US31407KJH32"/>
        </identifiers>
        <balance>882.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>908.960000</valUSD>
        <pctVal>0.000065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 918178 FN 05/37 FIXED 6</title>
        <cusip>31411YCP6</cusip>
        <identifiers>
          <isin value="US31411YCP60"/>
        </identifiers>
        <balance>948.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>991.270000</valUSD>
        <pctVal>0.0000709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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 719899 GN 08/39 FIXED 6</title>
        <cusip>3620A5X46</cusip>
        <identifiers>
          <isin value="US3620A5X467"/>
        </identifiers>
        <balance>73444.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75617.760000</valUSD>
        <pctVal>0.0054056</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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 357850 FN 07/35 FIXED 5.5</title>
        <cusip>31376KQB5</cusip>
        <identifiers>
          <isin value="US31376KQB51"/>
        </identifiers>
        <balance>178154.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183533.570000</valUSD>
        <pctVal>0.0131202</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>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>STRUCTURED ASSEET MTGE INV INC 2002-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1</title>
        <cusip>86358HNX3</cusip>
        <identifiers>
          <isin value="US86358HNX34"/>
        </identifiers>
        <balance>208412.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199996.170000</valUSD>
        <pctVal>0.014297</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13023</annualizedRt>
          <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 V84392 FG 06/48 FIXED 4.5</title>
        <cusip>3132L92Z7</cusip>
        <identifiers>
          <isin value="US3132L92Z75"/>
        </identifiers>
        <balance>47365.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46789.490000</valUSD>
        <pctVal>0.0033448</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01515 FG 02/33 FIXED 5</title>
        <cusip>31283HVG7</cusip>
        <identifiers>
          <isin value="US31283HVG72"/>
        </identifiers>
        <balance>353.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>360.300000</valUSD>
        <pctVal>0.0000258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</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>COUNTRYWIDE ALT LOAN TRUST 2006-OA16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3</title>
        <cusip>23242GAF1</cusip>
        <identifiers>
          <isin value="US23242GAF19"/>
        </identifiers>
        <balance>327980.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>234153.950000</valUSD>
        <pctVal>0.0167388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2518 FN 11/39 FIXED VAR</title>
        <cusip>3138EJYQ5</cusip>
        <identifiers>
          <isin value="US3138EJYQ53"/>
        </identifiers>
        <balance>229308.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230510.830000</valUSD>
        <pctVal>0.0164784</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-01</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>CITIMORTGAGE ALTERNATIVE LN TR 2007-A6</name>
        <lei>N/A</lei>
        <title>CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A5</title>
        <cusip>18976GAE6</cusip>
        <identifiers>
          <isin value="US18976GAE61"/>
        </identifiers>
        <balance>376078.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>328493.230000</valUSD>
        <pctVal>0.0234828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2018-85</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2018 85 IO</title>
        <cusip>3136B3QF0</cusip>
        <identifiers>
          <isin value="US3136B3QF04"/>
        </identifiers>
        <balance>3737071.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>513277.490000</valUSD>
        <pctVal>0.0366924</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>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>BEAR STEARNS ADJ RATE MTGE TR 2003-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1</title>
        <cusip>07384MXB3</cusip>
        <identifiers>
          <isin value="US07384MXB35"/>
        </identifiers>
        <balance>62625.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59845.540000</valUSD>
        <pctVal>0.0042781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05514</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-6</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1</title>
        <cusip>17307GXP8</cusip>
        <identifiers>
          <isin value="US17307GXP89"/>
        </identifiers>
        <balance>81153.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80992.120000</valUSD>
        <pctVal>0.0057898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.56</annualizedRt>
          <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 002959 G2 08/30 FIXED 8.5</title>
        <cusip>36202DJC6</cusip>
        <identifiers>
          <isin value="US36202DJC65"/>
        </identifiers>
        <balance>4351.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4550.640000</valUSD>
        <pctVal>0.0003253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>44973.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40772.470000</valUSD>
        <pctVal>0.0029147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.47043</annualizedRt>
          <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 845675 FH 03/27 FLOATING VAR</title>
        <cusip>31288VJU4</cusip>
        <identifiers>
          <isin value="US31288VJU44"/>
        </identifiers>
        <balance>26.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26.370000</valUSD>
        <pctVal>0.0000019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.625</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 846093 FH 10/24 FLOATING VAR</title>
        <cusip>31288VXW4</cusip>
        <identifiers>
          <isin value="US31288VXW44"/>
        </identifiers>
        <balance>307.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>305.880000</valUSD>
        <pctVal>0.0000219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</maturityDt>
          <couponKind>Floating</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>BEAR STEARNS  STRUC PROD INC 2007-R6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1</title>
        <cusip>07402FAC9</cusip>
        <identifiers>
          <isin value="US07402FAC95"/>
        </identifiers>
        <balance>571240.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>431737.180000</valUSD>
        <pctVal>0.0308634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.99339</annualizedRt>
          <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 BS8781 FN 07/33 FIXED 4.86</title>
        <cusip>3140LKXK4</cusip>
        <identifiers>
          <isin value="US3140LKXK47"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2577580.030000</valUSD>
        <pctVal>0.184262</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>4.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 784208 GN 07/46 FIXED 4</title>
        <cusip>3622A2U91</cusip>
        <identifiers>
          <isin value="US3622A2U914"/>
        </identifiers>
        <balance>4110508.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4062475.360000</valUSD>
        <pctVal>0.290412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 545010 FN 05/36 FLOATING VAR</title>
        <cusip>31385HN32</cusip>
        <identifiers>
          <isin value="US31385HN329"/>
        </identifiers>
        <balance>1751.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1729.400000</valUSD>
        <pctVal>0.0001236</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.607</annualizedRt>
          <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 825393 FN 06/35 FIXED 6</title>
        <cusip>31407A7E5</cusip>
        <identifiers>
          <isin value="US31407A7E57"/>
        </identifiers>
        <balance>9216.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9525.700000</valUSD>
        <pctVal>0.000681</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A80970 FG 08/38 FIXED 5.5</title>
        <cusip>312927CF1</cusip>
        <identifiers>
          <isin value="US312927CF18"/>
        </identifiers>
        <balance>24813.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25601.040000</valUSD>
        <pctVal>0.0018301</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU8053 FN 09/43 FIXED 4.5</title>
        <cusip>3138X75P4</cusip>
        <identifiers>
          <isin value="US3138X75P45"/>
        </identifiers>
        <balance>111939.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111286.560000</valUSD>
        <pctVal>0.0079555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317584GC8 OTC EPUT FN 6.0 FEB24 99.226563 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH44837"/>
        </identifiers>
        <balance>-37000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-23546.800000</valUSD>
        <pctVal>-0.0016833</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606263"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>178796.950000</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 632578 FN 02/32 FIXED 6.5</title>
        <cusip>31389QXF0</cusip>
        <identifiers>
          <isin value="US31389QXF08"/>
        </identifiers>
        <balance>1584.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1663.580000</valUSD>
        <pctVal>0.0001189</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A38082 FG 09/35 FIXED 5</title>
        <cusip>31297T6T5</cusip>
        <identifiers>
          <isin value="US31297T6T56"/>
        </identifiers>
        <balance>11443.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11649.730000</valUSD>
        <pctVal>0.0008328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698370 GN 07/39 FIXED 4.5</title>
        <cusip>36296Q2B4</cusip>
        <identifiers>
          <isin value="US36296Q2B46"/>
        </identifiers>
        <balance>73663.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73445.780000</valUSD>
        <pctVal>0.0052504</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 G03696 FG 01/38 FIXED 5.5</title>
        <cusip>3128M5NM8</cusip>
        <identifiers>
          <isin value="US3128M5NM83"/>
        </identifiers>
        <balance>315.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325.150000</valUSD>
        <pctVal>0.0000232</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 5.5 JUMBOS</title>
        <cusip>21H052611</cusip>
        <identifiers>
          <isin value="US21H0526119"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3525711.880000</valUSD>
        <pctVal>0.252041</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 968312 FN 02/38 FIXED 4.5</title>
        <cusip>31414KGV6</cusip>
        <identifiers>
          <isin value="US31414KGV61"/>
        </identifiers>
        <balance>5219.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5104.120000</valUSD>
        <pctVal>0.0003649</pctVal>
        <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>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>WELLS FARGO MTGE BACKED SEC 2004-K</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 K 2A3</title>
        <cusip>94981VAH0</cusip>
        <identifiers>
          <isin value="US94981VAH06"/>
        </identifiers>
        <balance>5827.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5744.740000</valUSD>
        <pctVal>0.0004107</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73707</annualizedRt>
          <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 008730 G2 10/25 FLOATING VAR</title>
        <cusip>36202KVX0</cusip>
        <identifiers>
          <isin value="US36202KVX08"/>
        </identifiers>
        <balance>1760.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1728.350000</valUSD>
        <pctVal>0.0001236</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-20</maturityDt>
          <couponKind>Floating</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 783076 GN 09/39 FIXED 6</title>
        <cusip>36241LMZ6</cusip>
        <identifiers>
          <isin value="US36241LMZ66"/>
        </identifiers>
        <balance>782.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>810.230000</valUSD>
        <pctVal>0.0000579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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 933505 FN 02/38 FIXED 6</title>
        <cusip>31412SR23</cusip>
        <identifiers>
          <isin value="US31412SR238"/>
        </identifiers>
        <balance>57332.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58993.990000</valUSD>
        <pctVal>0.0042173</pctVal>
        <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>
        </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 782055 GN 02/36 FIXED 5.5</title>
        <cusip>36241KH84</cusip>
        <identifiers>
          <isin value="US36241KH846"/>
        </identifiers>
        <balance>97843.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>98937.830000</valUSD>
        <pctVal>0.0070727</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-15</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 A16317 FG 04/31 FIXED 6.5</title>
        <cusip>31296RAS7</cusip>
        <identifiers>
          <isin value="US31296RAS76"/>
        </identifiers>
        <balance>810.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>847.540000</valUSD>
        <pctVal>0.0000606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-01</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 POOL 658122 GN 10/36 FIXED 6.5</title>
        <cusip>36294SD38</cusip>
        <identifiers>
          <isin value="US36294SD383"/>
        </identifiers>
        <balance>3048.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3153.290000</valUSD>
        <pctVal>0.0002254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08118 FG 03/36 FIXED 6.5</title>
        <cusip>3128MJDY3</cusip>
        <identifiers>
          <isin value="US3128MJDY35"/>
        </identifiers>
        <balance>7438.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7865.710000</valUSD>
        <pctVal>0.0005623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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 POOL 689938 GN 10/38 FIXED 6</title>
        <cusip>36296FPX5</cusip>
        <identifiers>
          <isin value="US36296FPX59"/>
        </identifiers>
        <balance>5454.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5562.680000</valUSD>
        <pctVal>0.0003977</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 755724 FN 05/34 FIXED 5.5</title>
        <cusip>31403RSM1</cusip>
        <identifiers>
          <isin value="US31403RSM15"/>
        </identifiers>
        <balance>217032.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>223578.450000</valUSD>
        <pctVal>0.0159828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA2837 FN 12/38 FIXED 4.5</title>
        <cusip>3140QAEK2</cusip>
        <identifiers>
          <isin value="US3140QAEK21"/>
        </identifiers>
        <balance>656570.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>653562.200000</valUSD>
        <pctVal>0.0467208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOMURA ASSET ACCEP CORP 2001-R1A</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2001 R1A A 144A</title>
        <cusip>65535VAA6</cusip>
        <identifiers>
          <isin value="US65535VAA61"/>
        </identifiers>
        <balance>104436.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101128.460000</valUSD>
        <pctVal>0.0072293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 903263 FN 10/36 FIXED 6</title>
        <cusip>31411BQQ9</cusip>
        <identifiers>
          <isin value="US31411BQQ94"/>
        </identifiers>
        <balance>11996.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12310.870000</valUSD>
        <pctVal>0.0008801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>GOLDENTREE LOAN MANAGEMENT US CLO 16A LTD</name>
        <lei>N/A</lei>
        <title>GOLDENTREE LOAN MANAGEMENT US GLM 2022 16A AR 144A</title>
        <cusip>38090AAC2</cusip>
        <identifiers>
          <isin value="US38090AAC27"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2000003.440000</valUSD>
        <pctVal>0.142973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.02689</annualizedRt>
          <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 2178</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2178 PI</title>
        <cusip>3133TLUJ5</cusip>
        <identifiers>
          <isin value="US3133TLUJ50"/>
        </identifiers>
        <balance>929.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114.360000</valUSD>
        <pctVal>0.0000082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</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>317U2OXA0 PIMCO SWAPTION 3.17 PUT USD 20240411</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002D4R6"/>
        </identifiers>
        <balance>13800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>318555.060000</valUSD>
        <pctVal>0.0227724</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/3.17000 04/15/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01RA97"/>
                    </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/3.17000 04/15/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01RA97"/>
                      </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="3.170000"/>
                  <terminationDt>2031-04-15</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>3.170000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>29790.060000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVEST LN TR 2004-BNC2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1</title>
        <cusip>86358ENJ1</cusip>
        <identifiers>
          <isin value="US86358ENJ19"/>
        </identifiers>
        <balance>975525.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>940519.170000</valUSD>
        <pctVal>0.0672344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74543</annualizedRt>
          <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 345</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 345 C13</title>
        <cusip>31325VRC0</cusip>
        <identifiers>
          <isin value="US31325VRC09"/>
        </identifiers>
        <balance>1969712.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>312884.240000</valUSD>
        <pctVal>0.022367</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA2961 G2 07/45 FIXED 3.5</title>
        <cusip>36179RJE0</cusip>
        <identifiers>
          <isin value="US36179RJE09"/>
        </identifiers>
        <balance>857187.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808710.790000</valUSD>
        <pctVal>0.0578119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255741 FN 06/35 FIXED 6</title>
        <cusip>31371MBJ5</cusip>
        <identifiers>
          <isin value="US31371MBJ53"/>
        </identifiers>
        <balance>33475.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34979.350000</valUSD>
        <pctVal>0.0025005</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>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 802328 FN 11/34 FIXED 5.5</title>
        <cusip>31405XLH4</cusip>
        <identifiers>
          <isin value="US31405XLH43"/>
        </identifiers>
        <balance>3993.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4074.750000</valUSD>
        <pctVal>0.0002913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05891 FG 06/39 FIXED 5.5</title>
        <cusip>3128M72Y1</cusip>
        <identifiers>
          <isin value="US3128M72Y18"/>
        </identifiers>
        <balance>42763.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44117.320000</valUSD>
        <pctVal>0.0031538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922213 FN 11/36 FIXED 5.5</title>
        <cusip>31412DSA7</cusip>
        <identifiers>
          <isin value="US31412DSA71"/>
        </identifiers>
        <balance>35152.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35294.250000</valUSD>
        <pctVal>0.0025231</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 521655 GN 12/29 FIXED 8.5</title>
        <cusip>36211SQG5</cusip>
        <identifiers>
          <isin value="US36211SQG56"/>
        </identifiers>
        <balance>8014.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8003.560000</valUSD>
        <pctVal>0.0005721</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BP6203 GN 11/49 FIXED 3.5</title>
        <cusip>3617LC3L0</cusip>
        <identifiers>
          <isin value="US3617LC3L09"/>
        </identifiers>
        <balance>527048.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>486271.300000</valUSD>
        <pctVal>0.0347618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-15</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 QB6642 FR 12/50 FIXED 1.5</title>
        <cusip>3133ADLX2</cusip>
        <identifiers>
          <isin value="US3133ADLX21"/>
        </identifiers>
        <balance>105136.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82282.160000</valUSD>
        <pctVal>0.0058821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 786404 FH 10/27 FLOATING VAR</title>
        <cusip>31295KDH4</cusip>
        <identifiers>
          <isin value="US31295KDH41"/>
        </identifiers>
        <balance>954.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>947.680000</valUSD>
        <pctVal>0.0000677</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.155</annualizedRt>
          <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 774477 FN 04/34 FIXED 5.5</title>
        <cusip>31404PM24</cusip>
        <identifiers>
          <isin value="US31404PM240"/>
        </identifiers>
        <balance>20613.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21045.350000</valUSD>
        <pctVal>0.0015045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FANNIE MAE 1998-22</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1998 22 FA</title>
        <cusip>31359RY63</cusip>
        <identifiers>
          <isin value="US31359RY635"/>
        </identifiers>
        <balance>2513.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2513.300000</valUSD>
        <pctVal>0.0001797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.85258</annualizedRt>
          <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 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 2A1</title>
        <cusip>81743VAB9</cusip>
        <identifiers>
          <isin value="US81743VAB99"/>
        </identifiers>
        <balance>69056.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64662.470000</valUSD>
        <pctVal>0.0046225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.2324</annualizedRt>
          <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 QG5258 FR 06/53 FIXED 5</title>
        <cusip>3133C5ZX2</cusip>
        <identifiers>
          <isin value="US3133C5ZX20"/>
        </identifiers>
        <balance>131080.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130588.670000</valUSD>
        <pctVal>0.0093353</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>
        </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 834960 FN 07/35 FIXED 6</title>
        <cusip>31407MTR6</cusip>
        <identifiers>
          <isin value="US31407MTR69"/>
        </identifiers>
        <balance>2901.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3000.600000</valUSD>
        <pctVal>0.0002145</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>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 BD3541 G2 10/47 FIXED 3.5</title>
        <cusip>3617BJ5A8</cusip>
        <identifiers>
          <isin value="US3617BJ5A89"/>
        </identifiers>
        <balance>286888.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>271110.580000</valUSD>
        <pctVal>0.0193807</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 820207 FN 05/35 FIXED 6</title>
        <cusip>31406UGQ5</cusip>
        <identifiers>
          <isin value="US31406UGQ58"/>
        </identifiers>
        <balance>30343.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31502.100000</valUSD>
        <pctVal>0.002252</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>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 891565 G2 01/59 FLOATING VAR</title>
        <cusip>36208A2R1</cusip>
        <identifiers>
          <isin value="US36208A2R13"/>
        </identifiers>
        <balance>75808.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75616.340000</valUSD>
        <pctVal>0.0054055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.448</annualizedRt>
          <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 779445 FN 06/34 FIXED 5.5</title>
        <cusip>31404U5E6</cusip>
        <identifiers>
          <isin value="US31404U5E62"/>
        </identifiers>
        <balance>69864.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71973.760000</valUSD>
        <pctVal>0.0051451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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 G03117 FG 11/36 FIXED 6.5</title>
        <cusip>3128M4YN7</cusip>
        <identifiers>
          <isin value="US3128M4YN72"/>
        </identifiers>
        <balance>59167.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61090.950000</valUSD>
        <pctVal>0.0043672</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04837 FG 09/37 FIXED 5.5</title>
        <cusip>3128M6V62</cusip>
        <identifiers>
          <isin value="US3128M6V629"/>
        </identifiers>
        <balance>2142.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2210.670000</valUSD>
        <pctVal>0.000158</pctVal>
        <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>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2006-AR2</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1</title>
        <cusip>36297TAB8</cusip>
        <identifiers>
          <isin value="US36297TAB89"/>
        </identifiers>
        <balance>121113.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81277.270000</valUSD>
        <pctVal>0.0058102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.9675</annualizedRt>
          <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 MA0156 FN 08/29 FIXED 5</title>
        <cusip>31417YE60</cusip>
        <identifiers>
          <isin value="US31417YE605"/>
        </identifiers>
        <balance>23672.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23721.310000</valUSD>
        <pctVal>0.0016958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 769755 GN 09/41 FIXED 4</title>
        <cusip>36176L5Q4</cusip>
        <identifiers>
          <isin value="US36176L5Q41"/>
        </identifiers>
        <balance>156178.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154344.400000</valUSD>
        <pctVal>0.0110335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254478 FN 10/32 FIXED 6</title>
        <cusip>31371KUB5</cusip>
        <identifiers>
          <isin value="US31371KUB50"/>
        </identifiers>
        <balance>5450.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5647.660000</valUSD>
        <pctVal>0.0004037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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 254595 FN 01/33 FIXED 6</title>
        <cusip>31371KXY2</cusip>
        <identifiers>
          <isin value="US31371KXY27"/>
        </identifiers>
        <balance>18096.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18767.650000</valUSD>
        <pctVal>0.0013416</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>BETONY CLO 2 LTD 2018-1A</name>
        <lei>N/A</lei>
        <title>BETONY CLO 2, LTD. BTNY2 2018 1A A1 144A</title>
        <cusip>08763QAA0</cusip>
        <identifiers>
          <isin value="US08763QAA04"/>
        </identifiers>
        <balance>1876510.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1877526.080000</valUSD>
        <pctVal>0.134218</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.73159</annualizedRt>
          <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 080259 G2 02/29 FLOATING VAR</title>
        <cusip>36225CJD9</cusip>
        <identifiers>
          <isin value="US36225CJD92"/>
        </identifiers>
        <balance>3608.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3532.080000</valUSD>
        <pctVal>0.0002525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 617859 GN 12/37 FIXED 6.5</title>
        <cusip>36290UMG8</cusip>
        <identifiers>
          <isin value="US36290UMG84"/>
        </identifiers>
        <balance>7182.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7653.520000</valUSD>
        <pctVal>0.0005471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 008983 G2 09/26 FLOATING VAR</title>
        <cusip>36202K6U4</cusip>
        <identifiers>
          <isin value="US36202K6U40"/>
        </identifiers>
        <balance>948.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>935.360000</valUSD>
        <pctVal>0.0000669</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 663771 GN 01/37 FIXED 6.5</title>
        <cusip>36294YMU5</cusip>
        <identifiers>
          <isin value="US36294YMU54"/>
        </identifiers>
        <balance>5510.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5637.410000</valUSD>
        <pctVal>0.000403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-15</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 256175 FN 02/26 FIXED 6.5</title>
        <cusip>31371MQ42</cusip>
        <identifiers>
          <isin value="US31371MQ421"/>
        </identifiers>
        <balance>4913.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5036.210000</valUSD>
        <pctVal>0.00036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 617707 FN 05/32 FIXED 6</title>
        <cusip>31388XGQ1</cusip>
        <identifiers>
          <isin value="US31388XGQ16"/>
        </identifiers>
        <balance>7448.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7651.440000</valUSD>
        <pctVal>0.000547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</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 679243 GN 12/37 FIXED 6</title>
        <cusip>36295SS80</cusip>
        <identifiers>
          <isin value="US36295SS800"/>
        </identifiers>
        <balance>4304.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4444.690000</valUSD>
        <pctVal>0.0003177</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 323919 FN 08/29 FLOATING VAR</title>
        <cusip>31374TYQ6</cusip>
        <identifiers>
          <isin value="US31374TYQ65"/>
        </identifiers>
        <balance>4268.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4256.290000</valUSD>
        <pctVal>0.0003043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <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 A60884 FG 06/37 FIXED 5.5</title>
        <cusip>3128KQ6V3</cusip>
        <identifiers>
          <isin value="US3128KQ6V38"/>
        </identifiers>
        <balance>13473.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13830.040000</valUSD>
        <pctVal>0.0009887</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN4325 FN 01/49 FIXED 4.5</title>
        <cusip>3140JLYX6</cusip>
        <identifiers>
          <isin value="US3140JLYX69"/>
        </identifiers>
        <balance>804061.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>792907.550000</valUSD>
        <pctVal>0.0566821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</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 RB5249 FR 07/43 FIXED 4.5</title>
        <cusip>3133KYZN2</cusip>
        <identifiers>
          <isin value="US3133KYZN20"/>
        </identifiers>
        <balance>1643906.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1622346.720000</valUSD>
        <pctVal>0.115976</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>4.5</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>MASTR ADJ RATE MTGE TRUST 2007-HF1</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1</title>
        <cusip>57645RAA9</cusip>
        <identifiers>
          <isin value="US57645RAA95"/>
        </identifiers>
        <balance>348168.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147172.180000</valUSD>
        <pctVal>0.0105208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <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 008350 G2 01/24 FLOATING VAR</title>
        <cusip>36202KH32</cusip>
        <identifiers>
          <isin value="US36202KH327"/>
        </identifiers>
        <balance>30.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30.050000</valUSD>
        <pctVal>0.0000021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 594701 GN 01/33 FIXED 5.5</title>
        <cusip>36201VU26</cusip>
        <identifiers>
          <isin value="US36201VU261"/>
        </identifiers>
        <balance>42948.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43429.050000</valUSD>
        <pctVal>0.0031046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</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 A75835 FG 04/38 FIXED 5.5</title>
        <cusip>3128L9PU1</cusip>
        <identifiers>
          <isin value="US3128L9PU14"/>
        </identifiers>
        <balance>2075.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2141.140000</valUSD>
        <pctVal>0.0001531</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 668342 FN 12/32 FIXED 6</title>
        <cusip>31391JP38</cusip>
        <identifiers>
          <isin value="US31391JP385"/>
        </identifiers>
        <balance>17139.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17713.030000</valUSD>
        <pctVal>0.0012662</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>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>N/A</name>
        <lei>N/A</lei>
        <title>317U3Z6A4 PIMCO SWAPTION 5.5 PUT USD 20240318</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002SD10"/>
        </identifiers>
        <balance>97500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2047.500000</valUSD>
        <pctVal>0.0001464</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>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 03/20/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01XOV0"/>
                    </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/5.50000 03/20/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01XOV0"/>
                      </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="5.500000"/>
                  <terminationDt>2025-03-20</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-100327.500000</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 AX2582 GN 02/47 FIXED 3</title>
        <cusip>36196D2P3</cusip>
        <identifiers>
          <isin value="US36196D2P32"/>
        </identifiers>
        <balance>97867.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87882.480000</valUSD>
        <pctVal>0.0062824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783353 GN 04/41 FIXED 5</title>
        <cusip>36241LWN2</cusip>
        <identifiers>
          <isin value="US36241LWN27"/>
        </identifiers>
        <balance>99700.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100558.390000</valUSD>
        <pctVal>0.0071886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 906131 FN 01/37 FIXED 6</title>
        <cusip>31411EVY0</cusip>
        <identifiers>
          <isin value="US31411EVY03"/>
        </identifiers>
        <balance>29536.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30864.580000</valUSD>
        <pctVal>0.0022064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 651871 GN 10/36 FIXED 6.5</title>
        <cusip>36292LFL3</cusip>
        <identifiers>
          <isin value="US36292LFL36"/>
        </identifiers>
        <balance>1338.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1385.800000</valUSD>
        <pctVal>0.0000991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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 944606 FN 07/37 FIXED 5.5</title>
        <cusip>31413F3P5</cusip>
        <identifiers>
          <isin value="US31413F3P55"/>
        </identifiers>
        <balance>2495.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2571.140000</valUSD>
        <pctVal>0.0001838</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>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>FANNIE MAE REMICS 2012-111</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 111 HS</title>
        <cusip>3136A9HB7</cusip>
        <identifiers>
          <isin value="US3136A9HB70"/>
        </identifiers>
        <balance>329738.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214015.570000</valUSD>
        <pctVal>0.0152992</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 911582 FN 04/37 FIXED 5.5</title>
        <cusip>31411LXK2</cusip>
        <identifiers>
          <isin value="US31411LXK24"/>
        </identifiers>
        <balance>2376.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2448.330000</valUSD>
        <pctVal>0.000175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 657986 GN 10/36 FIXED 6.5</title>
        <cusip>36294R6X2</cusip>
        <identifiers>
          <isin value="US36294R6X23"/>
        </identifiers>
        <balance>4820.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4960.040000</valUSD>
        <pctVal>0.0003546</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</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 782858 GN 11/39 FIXED 6</title>
        <cusip>36241LE77</cusip>
        <identifiers>
          <isin value="US36241LE775"/>
        </identifiers>
        <balance>9582.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9923.970000</valUSD>
        <pctVal>0.0007094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2820</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2820 FY</title>
        <cusip>31395CEC1</cusip>
        <identifiers>
          <isin value="US31395CEC10"/>
        </identifiers>
        <balance>727.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>724.490000</valUSD>
        <pctVal>0.0000518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.70292</annualizedRt>
          <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 FS2338 FN 11/46 FIXED VAR</title>
        <cusip>3140XHS40</cusip>
        <identifiers>
          <isin value="US3140XHS401"/>
        </identifiers>
        <balance>5237150.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4816226.020000</valUSD>
        <pctVal>0.344295</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS8787 FN 02/32 FIXED 2</title>
        <cusip>3138WJXR4</cusip>
        <identifiers>
          <isin value="US3138WJXR44"/>
        </identifiers>
        <balance>19865.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18397.680000</valUSD>
        <pctVal>0.0013152</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 784041 GN 08/45 FIXED 4</title>
        <cusip>3622A2P22</cusip>
        <identifiers>
          <isin value="US3622A2P229"/>
        </identifiers>
        <balance>2943983.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2909599.510000</valUSD>
        <pctVal>0.207997</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-15</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>FANNIE MAE REMICS 2016-76</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 76 CS</title>
        <cusip>3136ATY81</cusip>
        <identifiers>
          <isin value="US3136ATY814"/>
        </identifiers>
        <balance>234272.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12640.560000</valUSD>
        <pctVal>0.0009036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</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>LUMINENT MORTGAGE TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>LUMINENT MORTGAGE TRUST LUM 2006 7 1A1</title>
        <cusip>55028BAA5</cusip>
        <identifiers>
          <isin value="US55028BAA52"/>
        </identifiers>
        <balance>326801.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>298347.560000</valUSD>
        <pctVal>0.0213278</pctVal>
        <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>5.83043</annualizedRt>
          <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 BI6280 G2 11/48 FIXED 5</title>
        <cusip>3617HF6R2</cusip>
        <identifiers>
          <isin value="US3617HF6R27"/>
        </identifiers>
        <balance>617546.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>616294.450000</valUSD>
        <pctVal>0.0440567</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-20</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 G04631 FG 01/30 FIXED 6</title>
        <cusip>3128M6PQ5</cusip>
        <identifiers>
          <isin value="US3128M6PQ52"/>
        </identifiers>
        <balance>10909.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11261.830000</valUSD>
        <pctVal>0.0008051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 845933 FH 09/24 FLOATING VAR</title>
        <cusip>31288VSW0</cusip>
        <identifiers>
          <isin value="US31288VSW09"/>
        </identifiers>
        <balance>286.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>283.740000</valUSD>
        <pctVal>0.0000203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.553</annualizedRt>
          <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 509132 GN 05/30 FIXED 8.5</title>
        <cusip>36211CSV5</cusip>
        <identifiers>
          <isin value="US36211CSV53"/>
        </identifiers>
        <balance>8106.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8099.000000</valUSD>
        <pctVal>0.000579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782404 GN 09/38 FIXED 5.5</title>
        <cusip>36241KU55</cusip>
        <identifiers>
          <isin value="US36241KU559"/>
        </identifiers>
        <balance>68079.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68840.900000</valUSD>
        <pctVal>0.0049212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 701501 GN 12/38 FIXED 5</title>
        <cusip>36296UKN9</cusip>
        <identifiers>
          <isin value="US36296UKN99"/>
        </identifiers>
        <balance>6505.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6573.450000</valUSD>
        <pctVal>0.0004699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002898 G2 03/30 FIXED 8.5</title>
        <cusip>36202DGF2</cusip>
        <identifiers>
          <isin value="US36202DGF24"/>
        </identifiers>
        <balance>618.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>648.490000</valUSD>
        <pctVal>0.0000464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U27UA0 PIMCO SWAPTION 4.6 PUT USD 20240201</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027895"/>
        </identifiers>
        <balance>-152000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-201825.600000</valUSD>
        <pctVal>-0.0144278</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>Written</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/4.60000 02/05/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OJJ3"/>
                    </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/4.60000 02/05/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OJJ3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.600000"/>
                  <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>2025-02-05</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>4.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-34625.600000</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 257163 FN 04/28 FIXED 5</title>
        <cusip>31371NTU9</cusip>
        <identifiers>
          <isin value="US31371NTU99"/>
        </identifiers>
        <balance>94312.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94187.610000</valUSD>
        <pctVal>0.0067331</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>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 CA2835 FN 12/38 FIXED 4.5</title>
        <cusip>3140QAEH9</cusip>
        <identifiers>
          <isin value="US3140QAEH91"/>
        </identifiers>
        <balance>851594.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>850968.620000</valUSD>
        <pctVal>0.0608327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 656220 GN 08/36 FIXED 6.5</title>
        <cusip>36294QAV3</cusip>
        <identifiers>
          <isin value="US36294QAV32"/>
        </identifiers>
        <balance>219.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>226.040000</valUSD>
        <pctVal>0.0000162</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>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 542633 GN 03/31 FIXED 7.5</title>
        <cusip>36212SY67</cusip>
        <identifiers>
          <isin value="US36212SY670"/>
        </identifiers>
        <balance>1360.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1371.560000</valUSD>
        <pctVal>0.000098</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-15</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>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4</title>
        <cusip>02147DAU5</cusip>
        <identifiers>
          <isin value="US02147DAU54"/>
        </identifiers>
        <balance>2202550.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1870262.280000</valUSD>
        <pctVal>0.133698</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>5.85043</annualizedRt>
          <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 TR 2006-OA3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1</title>
        <cusip>12668BB44</cusip>
        <identifiers>
          <isin value="US12668BB444"/>
        </identifiers>
        <balance>29180.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25102.560000</valUSD>
        <pctVal>0.0017945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93293 FG 08/40 FIXED 5.5</title>
        <cusip>312941US4</cusip>
        <identifiers>
          <isin value="US312941US47"/>
        </identifiers>
        <balance>22080.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22781.420000</valUSD>
        <pctVal>0.0016286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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 G04567 FG 07/38 FIXED 5.5</title>
        <cusip>3128M6MQ8</cusip>
        <identifiers>
          <isin value="US3128M6MQ89"/>
        </identifiers>
        <balance>26303.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27136.730000</valUSD>
        <pctVal>0.0019399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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 G04953 FG 09/38 FIXED 4.5</title>
        <cusip>3128M6ZS0</cusip>
        <identifiers>
          <isin value="US3128M6ZS09"/>
        </identifiers>
        <balance>6283.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6278.540000</valUSD>
        <pctVal>0.0004488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 760747 GN 09/41 FIXED 4</title>
        <cusip>36176A5G0</cusip>
        <identifiers>
          <isin value="US36176A5G04"/>
        </identifiers>
        <balance>4306.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4173.910000</valUSD>
        <pctVal>0.0002984</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-15</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 POOL 784010 GN 03/45 FIXED 4</title>
        <cusip>3622A2N32</cusip>
        <identifiers>
          <isin value="US3622A2N323"/>
        </identifiers>
        <balance>1564408.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1546143.540000</valUSD>
        <pctVal>0.110528</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM7152 FN 02/28 VARIABLE</title>
        <cusip>3140JB5N2</cusip>
        <identifiers>
          <isin value="US3140JB5N20"/>
        </identifiers>
        <balance>5999111.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5924440.970000</valUSD>
        <pctVal>0.423517</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.374</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2001-T4</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2001 T4 A1</title>
        <cusip>31359SR69</cusip>
        <identifiers>
          <isin value="US31359SR694"/>
        </identifiers>
        <balance>47279.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47962.500000</valUSD>
        <pctVal>0.0034287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 6</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 6 A</title>
        <cusip>81743XAA7</cusip>
        <identifiers>
          <isin value="US81743XAA72"/>
        </identifiers>
        <balance>6460.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6236.670000</valUSD>
        <pctVal>0.0004458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11023</annualizedRt>
          <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 900134 FN 09/36 FIXED 6</title>
        <cusip>31410XBB1</cusip>
        <identifiers>
          <isin value="US31410XBB10"/>
        </identifiers>
        <balance>20366.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21099.370000</valUSD>
        <pctVal>0.0015083</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A23803 FG 06/34 FIXED 5</title>
        <cusip>31297BGL0</cusip>
        <identifiers>
          <isin value="US31297BGL09"/>
        </identifiers>
        <balance>3628.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3693.770000</valUSD>
        <pctVal>0.0002641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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 STRIPS 329</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 329 C5</title>
        <cusip>31325VHH0</cusip>
        <identifiers>
          <isin value="US31325VHH06"/>
        </identifiers>
        <balance>6731702.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1020305.010000</valUSD>
        <pctVal>0.072938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-15</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 MA0200 FN 10/29 FIXED 4.5</title>
        <cusip>31417YGJ0</cusip>
        <identifiers>
          <isin value="US31417YGJ01"/>
        </identifiers>
        <balance>25261.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25057.450000</valUSD>
        <pctVal>0.0017913</pctVal>
        <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>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 004083 G2 02/38 FIXED 5</title>
        <cusip>36202ERC5</cusip>
        <identifiers>
          <isin value="US36202ERC56"/>
        </identifiers>
        <balance>6211.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6317.150000</valUSD>
        <pctVal>0.0004516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-20</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 BM4645 FN 10/38 FIXED VAR</title>
        <cusip>3140J9ET4</cusip>
        <identifiers>
          <isin value="US3140J9ET43"/>
        </identifiers>
        <balance>248898.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230659.520000</valUSD>
        <pctVal>0.016489</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05267 FG 12/38 FIXED 5.5</title>
        <cusip>3128M7FG6</cusip>
        <identifiers>
          <isin value="US3128M7FG63"/>
        </identifiers>
        <balance>16375.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16893.640000</valUSD>
        <pctVal>0.0012077</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</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>FREDDIE MAC REMICS 4845</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4845 WF</title>
        <cusip>3137FK2D7</cusip>
        <identifiers>
          <isin value="US3137FK2D79"/>
        </identifiers>
        <balance>1969049.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1925786.340000</valUSD>
        <pctVal>0.137668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75292</annualizedRt>
          <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 646394 GN 04/36 FIXED 5</title>
        <cusip>36292EC73</cusip>
        <identifiers>
          <isin value="US36292EC736"/>
        </identifiers>
        <balance>19297.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19483.140000</valUSD>
        <pctVal>0.0013928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 609428 GN 06/33 FIXED 5.5</title>
        <cusip>36202UA52</cusip>
        <identifiers>
          <isin value="US36202UA529"/>
        </identifiers>
        <balance>27609.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27918.760000</valUSD>
        <pctVal>0.0019958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 828063 FN 06/35 FIXED 6</title>
        <cusip>31407D5Y7</cusip>
        <identifiers>
          <isin value="US31407D5Y75"/>
        </identifiers>
        <balance>2.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2.580000</valUSD>
        <pctVal>0.0000002</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>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 323397 FN 11/28 FIXED VAR</title>
        <cusip>31374TGE3</cusip>
        <identifiers>
          <isin value="US31374TGE38"/>
        </identifiers>
        <balance>106.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110.590000</valUSD>
        <pctVal>0.0000079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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>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"/>
        </identifiers>
        <balance>421271.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17913.300000</valUSD>
        <pctVal>0.0012806</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>
          <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 AW6509 FN 06/44 FIXED 4.5</title>
        <cusip>3138XWGT9</cusip>
        <identifiers>
          <isin value="US3138XWGT94"/>
        </identifiers>
        <balance>175727.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>173690.520000</valUSD>
        <pctVal>0.0124165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM6158 FN 12/48 FLOATING VAR</title>
        <cusip>3140JAZY7</cusip>
        <identifiers>
          <isin value="US3140JAZY78"/>
        </identifiers>
        <balance>1298793.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1322539.140000</valUSD>
        <pctVal>0.0945436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.669</annualizedRt>
          <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 634237 FN 03/32 FIXED 6</title>
        <cusip>31389SS21</cusip>
        <identifiers>
          <isin value="US31389SS210"/>
        </identifiers>
        <balance>7387.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7621.720000</valUSD>
        <pctVal>0.0005448</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>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 357844 FN 07/35 FIXED 6</title>
        <cusip>31376KP59</cusip>
        <identifiers>
          <isin value="US31376KP590"/>
        </identifiers>
        <balance>59413.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62078.270000</valUSD>
        <pctVal>0.0044378</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>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>MADISON PARK FUNDING XXIII LTD 2017-23A</name>
        <lei>N/A</lei>
        <title>MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A</title>
        <cusip>55820TAJ7</cusip>
        <identifiers>
          <isin value="US55820TAJ79"/>
        </identifiers>
        <balance>1455544.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1454812.300000</valUSD>
        <pctVal>0.103999</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.6191</annualizedRt>
          <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 HOME LOANS 2001-HYB1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1</title>
        <cusip>12669B2X9</cusip>
        <identifiers>
          <isin value="US12669B2X97"/>
        </identifiers>
        <balance>2866.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2716.440000</valUSD>
        <pctVal>0.0001942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.39281</annualizedRt>
          <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 899495 FN 05/37 FIXED 6</title>
        <cusip>31410WKG2</cusip>
        <identifiers>
          <isin value="US31410WKG23"/>
        </identifiers>
        <balance>72591.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75182.750000</valUSD>
        <pctVal>0.0053745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1997-79</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 79 PL</title>
        <cusip>31359RAQ5</cusip>
        <identifiers>
          <isin value="US31359RAQ56"/>
        </identifiers>
        <balance>49120.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49001.200000</valUSD>
        <pctVal>0.0035029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.85</annualizedRt>
          <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 798815 FN 12/34 FIXED 5.5</title>
        <cusip>31405TN81</cusip>
        <identifiers>
          <isin value="US31405TN817"/>
        </identifiers>
        <balance>543.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>554.600000</valUSD>
        <pctVal>0.0000396</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1</title>
        <cusip>12668AWH4</cusip>
        <identifiers>
          <isin value="US12668AWH49"/>
        </identifiers>
        <balance>429985.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>387060.760000</valUSD>
        <pctVal>0.0276696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.1124</annualizedRt>
          <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 886110 FN 07/36 FIXED 6</title>
        <cusip>31410DN30</cusip>
        <identifiers>
          <isin value="US31410DN308"/>
        </identifiers>
        <balance>3054.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3174.070000</valUSD>
        <pctVal>0.0002269</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</annualizedRt>
          <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 G06385 FG 08/40 FIXED 5.5</title>
        <cusip>3128M8NA8</cusip>
        <identifiers>
          <isin value="US3128M8NA84"/>
        </identifiers>
        <balance>21483.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22163.560000</valUSD>
        <pctVal>0.0015844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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>STRUCTURED ASSET MTG INV INC 2005-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1</title>
        <cusip>86359LPD5</cusip>
        <identifiers>
          <isin value="US86359LPD54"/>
        </identifiers>
        <balance>84260.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75684.420000</valUSD>
        <pctVal>0.0054104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97023</annualizedRt>
          <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 ZS3767 FR 07/43 FIXED 3.5</title>
        <cusip>3132A4FG8</cusip>
        <identifiers>
          <isin value="US3132A4FG89"/>
        </identifiers>
        <balance>3089.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2922.300000</valUSD>
        <pctVal>0.0002089</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>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 G04692 FG 02/35 FIXED 5.5</title>
        <cusip>3128M6RM2</cusip>
        <identifiers>
          <isin value="US3128M6RM21"/>
        </identifiers>
        <balance>1721903.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1776275.360000</valUSD>
        <pctVal>0.12698</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>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>317U4LMA6 PIMCO SWAPTION 4.25 PUT USD 20241129</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002ZHF9"/>
        </identifiers>
        <balance>23500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>243622.150000</valUSD>
        <pctVal>0.0174157</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/4.25000 12/03/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZG69"/>
                    </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/4.25000 12/03/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01ZG69"/>
                      </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="4.250000"/>
                  <terminationDt>2034-12-03</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>4.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-11-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-317826.420000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A76483 FG 04/38 FIXED 5.5</title>
        <cusip>3128LAFY1</cusip>
        <identifiers>
          <isin value="US3128LAFY17"/>
        </identifiers>
        <balance>10977.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11297.040000</valUSD>
        <pctVal>0.0008076</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ7040 FN 08/38 FIXED 4</title>
        <cusip>3140H8ZE8</cusip>
        <identifiers>
          <isin value="US3140H8ZE81"/>
        </identifiers>
        <balance>312061.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>305152.470000</valUSD>
        <pctVal>0.0218143</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>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 782131 GN 12/36 FIXED 5.5</title>
        <cusip>36241KLL0</cusip>
        <identifiers>
          <isin value="US36241KLL07"/>
        </identifiers>
        <balance>7851.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7939.630000</valUSD>
        <pctVal>0.0005676</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL3 A1 144A</title>
        <cusip>12656PAC0</cusip>
        <identifiers>
          <isin value="US12656PAC05"/>
        </identifiers>
        <balance>3705934.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3768611.990000</valUSD>
        <pctVal>0.269405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.04638</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B</title>
        <cusip>17307GTK4</cusip>
        <identifiers>
          <isin value="US17307GTK49"/>
        </identifiers>
        <balance>66828.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55463.730000</valUSD>
        <pctVal>0.0039649</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.32232</annualizedRt>
          <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 2091</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2091 ZC</title>
        <cusip>3133TGU49</cusip>
        <identifiers>
          <isin value="US3133TGU493"/>
        </identifiers>
        <balance>23531.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23680.650000</valUSD>
        <pctVal>0.0016928</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</annualizedRt>
          <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 G03498 FG 11/37 FIXED 5.5</title>
        <cusip>3128M5GF1</cusip>
        <identifiers>
          <isin value="US3128M5GF16"/>
        </identifiers>
        <balance>3062.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3159.920000</valUSD>
        <pctVal>0.0002259</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM1631 FN 09/49 FIXED VAR</title>
        <cusip>3140X4Y59</cusip>
        <identifiers>
          <isin value="US3140X4Y595"/>
        </identifiers>
        <balance>4197060.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3765892.450000</valUSD>
        <pctVal>0.26921</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A43851 FG 03/36 FIXED 5</title>
        <cusip>3128K4H40</cusip>
        <identifiers>
          <isin value="US3128K4H401"/>
        </identifiers>
        <balance>12763.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12993.230000</valUSD>
        <pctVal>0.0009288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782135 GN 01/37 FIXED 5.5</title>
        <cusip>36241KLQ9</cusip>
        <identifiers>
          <isin value="US36241KLQ93"/>
        </identifiers>
        <balance>13045.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13191.070000</valUSD>
        <pctVal>0.000943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN6230 FN 04/49 FIXED 3.5</title>
        <cusip>3140JN4Q0</cusip>
        <identifiers>
          <isin value="US3140JN4Q07"/>
        </identifiers>
        <balance>425795.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>396479.370000</valUSD>
        <pctVal>0.0283429</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>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 BS8216 FN 04/33 FIXED 4.49</title>
        <cusip>3140LKDW0</cusip>
        <identifiers>
          <isin value="US3140LKDW05"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2003662.300000</valUSD>
        <pctVal>0.143235</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>4.49</annualizedRt>
          <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 531039 GN 08/32 FIXED 6.5</title>
        <cusip>36212D4Y2</cusip>
        <identifiers>
          <isin value="US36212D4Y26"/>
        </identifiers>
        <balance>25337.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26201.770000</valUSD>
        <pctVal>0.0018731</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 AO2429 GN 08/45 FIXED 3</title>
        <cusip>3617A2VW9</cusip>
        <identifiers>
          <isin value="US3617A2VW99"/>
        </identifiers>
        <balance>181558.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163035.990000</valUSD>
        <pctVal>0.0116549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-15</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>FANNIE MAE REMICS 2014-84</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 84 AI</title>
        <cusip>3136AL2X8</cusip>
        <identifiers>
          <isin value="US3136AL2X84"/>
        </identifiers>
        <balance>1880720.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12686.210000</valUSD>
        <pctVal>0.0009069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A46663 FG 08/35 FIXED 5</title>
        <cusip>3128K7ML9</cusip>
        <identifiers>
          <isin value="US3128K7ML95"/>
        </identifiers>
        <balance>92579.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94248.040000</valUSD>
        <pctVal>0.0067375</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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 776554 FN 04/34 FIXED 5.5</title>
        <cusip>31404RWP8</cusip>
        <identifiers>
          <isin value="US31404RWP80"/>
        </identifiers>
        <balance>19663.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20256.790000</valUSD>
        <pctVal>0.0014481</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008643 G2 06/25 FLOATING VAR</title>
        <cusip>36202KS89</cusip>
        <identifiers>
          <isin value="US36202KS894"/>
        </identifiers>
        <balance>2530.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2512.120000</valUSD>
        <pctVal>0.0001796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS9731 FN 10/28 FIXED 5.61</title>
        <cusip>3140LLY54</cusip>
        <identifiers>
          <isin value="US3140LLY547"/>
        </identifiers>
        <balance>491000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>508788.230000</valUSD>
        <pctVal>0.0363715</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>Fixed</couponKind>
          <annualizedRt>5.61</annualizedRt>
          <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>RFR USD SOFR/4.01200 11/08/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YVV0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1139986.370000</valUSD>
        <pctVal>0.0814936</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01YVV0-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.012000"/>
            <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>2030-11-08</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-266162.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>37700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1406148.370000</unrealizedAppr>
          </swapDeriv>
        </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 II POOL 080319 G2 09/29 FLOATING VAR</title>
        <cusip>36225CK96</cusip>
        <identifiers>
          <isin value="US36225CK964"/>
        </identifiers>
        <balance>4117.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4056.350000</valUSD>
        <pctVal>0.00029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-20</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>COUNTRYWIDE ASSET-BACKED CERT 2007-1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A</title>
        <cusip>23245CAA8</cusip>
        <identifiers>
          <isin value="US23245CAA80"/>
        </identifiers>
        <balance>818670.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>745006.360000</valUSD>
        <pctVal>0.0532579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.61043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE ACQUIS CORP 2007-CH3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5</title>
        <cusip>46630XAF5</cusip>
        <identifiers>
          <isin value="US46630XAF50"/>
        </identifiers>
        <balance>104641.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101988.630000</valUSD>
        <pctVal>0.0072908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73043</annualizedRt>
          <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 BV1252 FN 04/52 FIXED 3</title>
        <cusip>3140MEMA1</cusip>
        <identifiers>
          <isin value="US3140MEMA15"/>
        </identifiers>
        <balance>102544.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90779.360000</valUSD>
        <pctVal>0.0064895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 G03328 FG 09/37 FIXED 5.5</title>
        <cusip>3128M5A59</cusip>
        <identifiers>
          <isin value="US3128M5A591"/>
        </identifiers>
        <balance>7042.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7264.920000</valUSD>
        <pctVal>0.0005193</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782288 GN 12/37 FIXED 6.5</title>
        <cusip>36241KRH3</cusip>
        <identifiers>
          <isin value="US36241KRH31"/>
        </identifiers>
        <balance>80881.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84748.240000</valUSD>
        <pctVal>0.0060584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 BT0861 GN 03/50 FIXED 3</title>
        <cusip>3617MN5W9</cusip>
        <identifiers>
          <isin value="US3617MN5W90"/>
        </identifiers>
        <balance>4402634.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3931369.130000</valUSD>
        <pctVal>0.28104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04162 FG 04/38 FIXED 5.5</title>
        <cusip>3128M55X4</cusip>
        <identifiers>
          <isin value="US3128M55X44"/>
        </identifiers>
        <balance>60512.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62430.090000</valUSD>
        <pctVal>0.0044629</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003974 G2 04/37 FIXED 5</title>
        <cusip>36202EMX4</cusip>
        <identifiers>
          <isin value="US36202EMX49"/>
        </identifiers>
        <balance>5249.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5348.310000</valUSD>
        <pctVal>0.0003823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-20</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 323044 FN 08/29 FLOATING VAR</title>
        <cusip>31374SZH7</cusip>
        <identifiers>
          <isin value="US31374SZH74"/>
        </identifiers>
        <balance>469.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>462.010000</valUSD>
        <pctVal>0.000033</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.523</annualizedRt>
          <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 322</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 322 V1</title>
        <cusip>3132HTY67</cusip>
        <identifiers>
          <isin value="US3132HTY677"/>
        </identifiers>
        <balance>1349919.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1253525.040000</valUSD>
        <pctVal>0.0896101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.715328</annualizedRt>
          <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 797544 FN 04/35 FIXED 6</title>
        <cusip>31405SBM5</cusip>
        <identifiers>
          <isin value="US31405SBM52"/>
        </identifiers>
        <balance>1575.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1627.040000</valUSD>
        <pctVal>0.0001163</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>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 AE8073 FN 12/40 FIXED 4</title>
        <cusip>31419J6K9</cusip>
        <identifiers>
          <isin value="US31419J6K98"/>
        </identifiers>
        <balance>745746.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>727241.630000</valUSD>
        <pctVal>0.0519879</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>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 008814 G2 02/26 FLOATING VAR</title>
        <cusip>36202KYK5</cusip>
        <identifiers>
          <isin value="US36202KYK59"/>
        </identifiers>
        <balance>3788.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3708.790000</valUSD>
        <pctVal>0.0002651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A77399 FG 05/38 FIXED 5</title>
        <cusip>3128LBGG7</cusip>
        <identifiers>
          <isin value="US3128LBGG74"/>
        </identifiers>
        <balance>13949.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14201.210000</valUSD>
        <pctVal>0.0010152</pctVal>
        <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>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 BV0592 FN 04/52 FIXED 3</title>
        <cusip>3140MDUS5</cusip>
        <identifiers>
          <isin value="US3140MDUS57"/>
        </identifiers>
        <balance>53756.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47684.260000</valUSD>
        <pctVal>0.0034088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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>RFR USD SOFR/3.45250 03/08/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01PEK2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>234085.250000</valUSD>
        <pctVal>0.0167339</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01PEK2-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.452500"/>
            <terminationDt>2033-03-08</terminationDt>
            <upfrontPmnt>54020.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>14600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>180065.250000</unrealizedAppr>
          </swapDeriv>
        </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 AD9755 FN 12/25 FIXED 4</title>
        <cusip>31418XZV3</cusip>
        <identifiers>
          <isin value="US31418XZV36"/>
        </identifiers>
        <balance>11895.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11671.390000</valUSD>
        <pctVal>0.0008343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</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 G04628 FG 05/33 FIXED 6</title>
        <cusip>3128M6PM4</cusip>
        <identifiers>
          <isin value="US3128M6PM49"/>
        </identifiers>
        <balance>8877.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9164.210000</valUSD>
        <pctVal>0.0006551</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05774 FG 01/40 FIXED 5</title>
        <cusip>3128M7XB7</cusip>
        <identifiers>
          <isin value="US3128M7XB74"/>
        </identifiers>
        <balance>84735.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86266.300000</valUSD>
        <pctVal>0.0061669</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-01</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 725815 FN 12/33 FIXED VAR</title>
        <cusip>31402DK41</cusip>
        <identifiers>
          <isin value="US31402DK418"/>
        </identifiers>
        <balance>6564.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6846.190000</valUSD>
        <pctVal>0.0004894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>N/A</name>
        <lei>N/A</lei>
        <title>317U2OWA1 PIMCO SWAPTION 2.67 CALL USD 2024041</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002D4Q8"/>
        </identifiers>
        <balance>13800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>47789.400000</valUSD>
        <pctVal>0.0034163</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>Call</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/2.67000 04/15/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01RA89"/>
                    </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/2.67000 04/15/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01RA89"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.670000"/>
                  <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>2031-04-15</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>2.670000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-240975.600000</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 495508 FN 04/29 FIXED 6.5</title>
        <cusip>31382XNZ9</cusip>
        <identifiers>
          <isin value="US31382XNZ95"/>
        </identifiers>
        <balance>186.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195.580000</valUSD>
        <pctVal>0.000014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 776974 FN 04/34 FIXED 5.5</title>
        <cusip>31404SFP5</cusip>
        <identifiers>
          <isin value="US31404SFP56"/>
        </identifiers>
        <balance>31564.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32517.590000</valUSD>
        <pctVal>0.0023246</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 G05326 FG 02/38 FIXED 5</title>
        <cusip>3128M7HB5</cusip>
        <identifiers>
          <isin value="US3128M7HB58"/>
        </identifiers>
        <balance>1120947.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1141119.270000</valUSD>
        <pctVal>0.0815746</pctVal>
        <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>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 FS0900 FN 07/43 FIXED VAR</title>
        <cusip>3140XGAA7</cusip>
        <identifiers>
          <isin value="US3140XGAA71"/>
        </identifiers>
        <balance>11763717.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11136182.580000</valUSD>
        <pctVal>0.796086</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>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 505641 FN 06/29 FLOATING VAR</title>
        <cusip>31383KWA1</cusip>
        <identifiers>
          <isin value="US31383KWA14"/>
        </identifiers>
        <balance>7948.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7751.920000</valUSD>
        <pctVal>0.0005542</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>Floating</couponKind>
          <annualizedRt>4.645</annualizedRt>
          <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 877155 G2 05/30 FLOATING VAR</title>
        <cusip>36208AMR9</cusip>
        <identifiers>
          <isin value="US36208AMR94"/>
        </identifiers>
        <balance>20255.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20142.290000</valUSD>
        <pctVal>0.0014399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 852029 FN 01/36 FIXED 6</title>
        <cusip>31408HSS5</cusip>
        <identifiers>
          <isin value="US31408HSS57"/>
        </identifiers>
        <balance>722.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>749.780000</valUSD>
        <pctVal>0.0000536</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>
        </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 003056 G2 03/31 FIXED 8</title>
        <cusip>36202DMD0</cusip>
        <identifiers>
          <isin value="US36202DMD02"/>
        </identifiers>
        <balance>2299.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2383.720000</valUSD>
        <pctVal>0.0001704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRIPS 330</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 330 F4</title>
        <cusip>31351DDT5</cusip>
        <identifiers>
          <isin value="US31351DDT54"/>
        </identifiers>
        <balance>661775.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>652922.130000</valUSD>
        <pctVal>0.0466751</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>
          <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 752414 GN 11/40 FIXED 4.5</title>
        <cusip>36230LVF3</cusip>
        <identifiers>
          <isin value="US36230LVF39"/>
        </identifiers>
        <balance>27710.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27275.580000</valUSD>
        <pctVal>0.0019498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-15</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 A43941 FG 03/36 FIXED 5.5</title>
        <cusip>3128K4LW3</cusip>
        <identifiers>
          <isin value="US3128K4LW39"/>
        </identifiers>
        <balance>16402.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16922.420000</valUSD>
        <pctVal>0.0012097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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>LCM LP 13A</name>
        <lei>N/A</lei>
        <title>LCM LTD PARTNERSHIP LCM 13A AR3 144A</title>
        <cusip>50184KBL1</cusip>
        <identifiers>
          <isin value="US50184KBL17"/>
        </identifiers>
        <balance>538686.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>539185.610000</valUSD>
        <pctVal>0.0385445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.52842</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </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"/>
        </identifiers>
        <balance>49911.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47561.570000</valUSD>
        <pctVal>0.0034</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>
        </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 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030413</cusip>
        <identifiers>
          <isin value="US01F0304133"/>
        </identifiers>
        <balance>50675000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47782962.040000</valUSD>
        <pctVal>3.41583</pctVal>
        <payoffProfile>Long</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>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>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72201W1541"/>
        </identifiers>
        <balance>18210721.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177135685.190000</valUSD>
        <pctVal>12.6628</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <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 848450 FN 12/35 FIXED 6</title>
        <cusip>31408DTF1</cusip>
        <identifiers>
          <isin value="US31408DTF14"/>
        </identifiers>
        <balance>66975.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69354.730000</valUSD>
        <pctVal>0.0049579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002430 G2 05/27 FIXED 7</title>
        <cusip>36202CVX8</cusip>
        <identifiers>
          <isin value="US36202CVX81"/>
        </identifiers>
        <balance>777.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>800.210000</valUSD>
        <pctVal>0.0000572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-153877242.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-154349132.200000</valUSD>
        <pctVal>-11.0339</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>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="CITIGROUP INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>5.520000</repurchaseRt>
          <maturityDt>2024-01-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>175666196.180000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>162565312.130000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <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 479294 GN 04/30 FIXED 8.5</title>
        <cusip>36209RNK5</cusip>
        <identifiers>
          <isin value="US36209RNK58"/>
        </identifiers>
        <balance>798.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>801.650000</valUSD>
        <pctVal>0.0000573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2030</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2030 F</title>
        <cusip>3133TCXU7</cusip>
        <identifiers>
          <isin value="US3133TCXU79"/>
        </identifiers>
        <balance>2679.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2681.850000</valUSD>
        <pctVal>0.0001917</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95292</annualizedRt>
          <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 782832 GN 12/39 FIXED 5.5</title>
        <cusip>36241LED4</cusip>
        <identifiers>
          <isin value="US36241LED47"/>
        </identifiers>
        <balance>1417.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1433.410000</valUSD>
        <pctVal>0.0001025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</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>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>13201.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12910.310000</valUSD>
        <pctVal>0.0009229</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806506 FN 10/44 FLOATING VAR</title>
        <cusip>31406DAF3</cusip>
        <identifiers>
          <isin value="US31406DAF33"/>
        </identifiers>
        <balance>51079.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49422.190000</valUSD>
        <pctVal>0.003533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 BY2537 FN 06/53 FIXED 5</title>
        <cusip>3140NJZB3</cusip>
        <identifiers>
          <isin value="US3140NJZB39"/>
        </identifiers>
        <balance>101179.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101188.190000</valUSD>
        <pctVal>0.0072336</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>
        </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 252180 FN 10/28 FIXED 6.5</title>
        <cusip>31371HCR7</cusip>
        <identifiers>
          <isin value="US31371HCR75"/>
        </identifiers>
        <balance>702.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>731.510000</valUSD>
        <pctVal>0.0000523</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>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>FEDERAL AGRICULTURE MTG CORP HM-1021</name>
        <lei>N/A</lei>
        <title>FEDERAL AGRICULTURAL MORTGAGE AMBS HM 1021 1</title>
        <cusip>31316XAW1</cusip>
        <identifiers>
          <isin value="US31316XAW11"/>
        </identifiers>
        <balance>33870.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34028.930000</valUSD>
        <pctVal>0.0024326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.85</annualizedRt>
          <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 G08443 FG 04/41 FIXED 4.5</title>
        <cusip>3128MJP53</cusip>
        <identifiers>
          <isin value="US3128MJP534"/>
        </identifiers>
        <balance>8793.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8798.440000</valUSD>
        <pctVal>0.000629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 789552 FH 05/32 FLOATING VAR</title>
        <cusip>31295NTH1</cusip>
        <identifiers>
          <isin value="US31295NTH16"/>
        </identifiers>
        <balance>4815.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4805.460000</valUSD>
        <pctVal>0.0003435</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.265</annualizedRt>
          <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 529546 GN 08/30 FIXED 8.5</title>
        <cusip>36212CHX2</cusip>
        <identifiers>
          <isin value="US36212CHX20"/>
        </identifiers>
        <balance>5340.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5333.030000</valUSD>
        <pctVal>0.0003812</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783292 GN 12/40 FIXED 6</title>
        <cusip>36241LUR5</cusip>
        <identifiers>
          <isin value="US36241LUR58"/>
        </identifiers>
        <balance>28749.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29762.610000</valUSD>
        <pctVal>0.0021276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-15</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>BEAR STEARNS ADJ RATE MTGE TR 2003-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A1</title>
        <cusip>07384MWW8</cusip>
        <identifiers>
          <isin value="US07384MWW80"/>
        </identifiers>
        <balance>62813.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58159.020000</valUSD>
        <pctVal>0.0041576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI4896 FN 06/26 FIXED 4</title>
        <cusip>3138AJNN8</cusip>
        <identifiers>
          <isin value="US3138AJNN87"/>
        </identifiers>
        <balance>2814.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2761.810000</valUSD>
        <pctVal>0.0001974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-01</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 775982 FN 07/34 FLOATING VAR</title>
        <cusip>31404RCT2</cusip>
        <identifiers>
          <isin value="US31404RCT23"/>
        </identifiers>
        <balance>70458.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69877.730000</valUSD>
        <pctVal>0.0049953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHING MUTUAL MTGE P/T 2006-5</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A6</title>
        <cusip>93935BAH3</cusip>
        <identifiers>
          <isin value="US93935BAH33"/>
        </identifiers>
        <balance>2179773.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>543290.190000</valUSD>
        <pctVal>0.0388379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.768</annualizedRt>
          <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 994016 FN 09/39 FIXED 4</title>
        <cusip>31416AGZ7</cusip>
        <identifiers>
          <isin value="US31416AGZ75"/>
        </identifiers>
        <balance>213154.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207951.710000</valUSD>
        <pctVal>0.0148657</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</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 N31300 FG 07/36 FIXED 4.5</title>
        <cusip>31281BNR7</cusip>
        <identifiers>
          <isin value="US31281BNR77"/>
        </identifiers>
        <balance>5093.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5065.870000</valUSD>
        <pctVal>0.0003621</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>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>APIDOS CLO XX 2015-20A</name>
        <lei>N/A</lei>
        <title>APIDOS CLO LTD APID 2015 20A A1RA 144A</title>
        <cusip>03765LAP7</cusip>
        <identifiers>
          <isin value="US03765LAP76"/>
        </identifiers>
        <balance>4369825.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4372378.820000</valUSD>
        <pctVal>0.312566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75548</annualizedRt>
          <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 AM0240 GN 04/45 FIXED 3.5</title>
        <cusip>36184KHR1</cusip>
        <identifiers>
          <isin value="US36184KHR14"/>
        </identifiers>
        <balance>125197.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118295.230000</valUSD>
        <pctVal>0.0084565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD9966 G2 11/47 FIXED 3.5</title>
        <cusip>3617BSCB8</cusip>
        <identifiers>
          <isin value="US3617BSCB82"/>
        </identifiers>
        <balance>485890.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>458417.580000</valUSD>
        <pctVal>0.0327706</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI9545 FN 10/31 FIXED 4</title>
        <cusip>3138APTB4</cusip>
        <identifiers>
          <isin value="US3138APTB46"/>
        </identifiers>
        <balance>33039.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32363.470000</valUSD>
        <pctVal>0.0023135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 708330 GN 02/39 FIXED 5.5</title>
        <cusip>36297C4P1</cusip>
        <identifiers>
          <isin value="US36297C4P12"/>
        </identifiers>
        <balance>4950.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5026.700000</valUSD>
        <pctVal>0.0003593</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775474 FN 05/34 FIXED 5.5</title>
        <cusip>31404QQ36</cusip>
        <identifiers>
          <isin value="US31404QQ363"/>
        </identifiers>
        <balance>21400.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22047.170000</valUSD>
        <pctVal>0.0015761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AE3307 GN 10/46 FIXED 2.5</title>
        <cusip>36180VU88</cusip>
        <identifiers>
          <isin value="US36180VU887"/>
        </identifiers>
        <balance>343900.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299196.140000</valUSD>
        <pctVal>0.0213885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317U1UYA6 PIMCO SWAPTION 3.625 PUT USD 2024010</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0024N79"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>370.560000</valUSD>
        <pctVal>0.0000265</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/3.62500 01/05/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01NT62"/>
                    </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/3.62500 01/05/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01NT62"/>
                      </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="3.625000"/>
                  <terminationDt>2034-01-05</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>3.630000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-31789.440000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1</title>
        <cusip>81744HAA1</cusip>
        <identifiers>
          <isin value="US81744HAA14"/>
        </identifiers>
        <balance>270067.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175698.740000</valUSD>
        <pctVal>0.0125601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.70118</annualizedRt>
          <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 AU4779 FN 09/43 FIXED 4.5</title>
        <cusip>3138X4JZ4</cusip>
        <identifiers>
          <isin value="US3138X4JZ40"/>
        </identifiers>
        <balance>58384.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58116.150000</valUSD>
        <pctVal>0.0041545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>
        <identifiers>
          <isin value="US3133KNX658"/>
        </identifiers>
        <balance>938280.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>803379.650000</valUSD>
        <pctVal>0.0574308</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04044 FG 03/38 FIXED 5.5</title>
        <cusip>3128M5ZH6</cusip>
        <identifiers>
          <isin value="US3128M5ZH60"/>
        </identifiers>
        <balance>28476.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29377.640000</valUSD>
        <pctVal>0.0021001</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>
          <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>DELTA FUNDING HOME EQ LN TR 1999-3</name>
        <lei>N/A</lei>
        <title>DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A</title>
        <cusip>24763LFX3</cusip>
        <identifiers>
          <isin value="US24763LFX38"/>
        </identifiers>
        <balance>7325.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6779.030000</valUSD>
        <pctVal>0.0004846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.29629</annualizedRt>
          <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 003939 G2 01/37 FIXED 5</title>
        <cusip>36202ELU1</cusip>
        <identifiers>
          <isin value="US36202ELU19"/>
        </identifiers>
        <balance>62871.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63942.130000</valUSD>
        <pctVal>0.004571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-20</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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.13500 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1K7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1169999.840000</valUSD>
        <pctVal>0.0836391</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1K7-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.135000"/>
            <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>2030-10-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-134435.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>32200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1304434.840000</unrealizedAppr>
          </swapDeriv>
        </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 G04633 FG 01/37 FIXED 5</title>
        <cusip>3128M6PS1</cusip>
        <identifiers>
          <isin value="US3128M6PS19"/>
        </identifiers>
        <balance>4636.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4719.520000</valUSD>
        <pctVal>0.0003374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 AD2154 FN 05/40 FIXED 5</title>
        <cusip>31418PMC6</cusip>
        <identifiers>
          <isin value="US31418PMC67"/>
        </identifiers>
        <balance>127023.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127754.370000</valUSD>
        <pctVal>0.0091327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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 955031 FN 10/37 FIXED 6.5</title>
        <cusip>31413TPQ9</cusip>
        <identifiers>
          <isin value="US31413TPQ93"/>
        </identifiers>
        <balance>490.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>515.440000</valUSD>
        <pctVal>0.0000368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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>MORGAN STANLEY MTGE LN TR 2007-10XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1</title>
        <cusip>61751MAA2</cusip>
        <identifiers>
          <isin value="US61751MAA27"/>
        </identifiers>
        <balance>673683.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>378673.350000</valUSD>
        <pctVal>0.02707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A72667 FG 02/38 FIXED 5</title>
        <cusip>3128L56C0</cusip>
        <identifiers>
          <isin value="US3128L56C07"/>
        </identifiers>
        <balance>18731.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19069.490000</valUSD>
        <pctVal>0.0013632</pctVal>
        <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>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 956232 FN 11/37 FIXED 6.5</title>
        <cusip>31413UY52</cusip>
        <identifiers>
          <isin value="US31413UY527"/>
        </identifiers>
        <balance>31935.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33120.650000</valUSD>
        <pctVal>0.0023677</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 771677 FN 03/34 FIXED 6.5</title>
        <cusip>31404LJW1</cusip>
        <identifiers>
          <isin value="US31404LJW19"/>
        </identifiers>
        <balance>475.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>498.080000</valUSD>
        <pctVal>0.0000356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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 POOL 566499 GN 10/33 FIXED 5</title>
        <cusip>36213WKL9</cusip>
        <identifiers>
          <isin value="US36213WKL99"/>
        </identifiers>
        <balance>3468.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3492.420000</valUSD>
        <pctVal>0.0002497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-15</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>FREDDIE MAC-2053</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2053 Z</title>
        <cusip>3133TDE69</cusip>
        <identifiers>
          <isin value="US3133TDE692"/>
        </identifiers>
        <balance>19468.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19614.140000</valUSD>
        <pctVal>0.0014021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</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 535078 FN 02/29 FIXED VAR</title>
        <cusip>31384VM33</cusip>
        <identifiers>
          <isin value="US31384VM333"/>
        </identifiers>
        <balance>451.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>465.050000</valUSD>
        <pctVal>0.0000332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</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>CHASE MORTGAGE FINANCE CORP 2006-A1</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2</title>
        <cusip>16163CAB8</cusip>
        <identifiers>
          <isin value="US16163CAB81"/>
        </identifiers>
        <balance>17126.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14988.740000</valUSD>
        <pctVal>0.0010715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.15299</annualizedRt>
          <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 323362 FN 11/28 FIXED VAR</title>
        <cusip>31374TFB0</cusip>
        <identifiers>
          <isin value="US31374TFB08"/>
        </identifiers>
        <balance>1818.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1881.430000</valUSD>
        <pctVal>0.0001345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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 941863 FN 09/37 FIXED 6</title>
        <cusip>31413CZ44</cusip>
        <identifiers>
          <isin value="US31413CZ449"/>
        </identifiers>
        <balance>26807.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27772.260000</valUSD>
        <pctVal>0.0019853</pctVal>
        <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</annualizedRt>
          <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 555417 FN 05/33 FIXED VAR</title>
        <cusip>31385XAS6</cusip>
        <identifiers>
          <isin value="US31385XAS62"/>
        </identifiers>
        <balance>29689.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30728.580000</valUSD>
        <pctVal>0.0021967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>BANC OF AMERICA MTGE SEC 2004-F</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1</title>
        <cusip>05949AHR4</cusip>
        <identifiers>
          <isin value="US05949AHR41"/>
        </identifiers>
        <balance>916.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>818.970000</valUSD>
        <pctVal>0.0000585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.26676</annualizedRt>
          <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>3175927R8 OTC ECAL FN 5.0 JAN24 98.46875 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46717"/>
        </identifiers>
        <balance>-53000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-352635.500000</valUSD>
        <pctVal>-0.0252087</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% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.470000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-108338.620000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 G01737 FG 12/34 FIXED 5</title>
        <cusip>31283H4W2</cusip>
        <identifiers>
          <isin value="US31283H4W25"/>
        </identifiers>
        <balance>2663.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2710.940000</valUSD>
        <pctVal>0.0001938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS3285 FN 09/39 FIXED 3.5</title>
        <cusip>3138WCUK7</cusip>
        <identifiers>
          <isin value="US3138WCUK74"/>
        </identifiers>
        <balance>357884.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340809.780000</valUSD>
        <pctVal>0.0243633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008631 G2 05/25 FLOATING VAR</title>
        <cusip>36202KSU0</cusip>
        <identifiers>
          <isin value="US36202KSU06"/>
        </identifiers>
        <balance>463.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>460.310000</valUSD>
        <pctVal>0.0000329</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91065 FG 07/27 FIXED 6</title>
        <cusip>3128P7FE8</cusip>
        <identifiers>
          <isin value="US3128P7FE84"/>
        </identifiers>
        <balance>4935.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5018.010000</valUSD>
        <pctVal>0.0003587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-01</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 745281 FN 01/36 FIXED VAR</title>
        <cusip>31403C6S5</cusip>
        <identifiers>
          <isin value="US31403C6S57"/>
        </identifiers>
        <balance>6282.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6565.130000</valUSD>
        <pctVal>0.0004693</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>
        </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 812521 FN 02/35 FIXED 6</title>
        <cusip>31406KVN7</cusip>
        <identifiers>
          <isin value="US31406KVN70"/>
        </identifiers>
        <balance>12686.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13069.180000</valUSD>
        <pctVal>0.0009343</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>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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020414</cusip>
        <identifiers>
          <isin value="US01F0204143"/>
        </identifiers>
        <balance>17600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15782250.000000</valUSD>
        <pctVal>1.12822</pctVal>
        <payoffProfile>Long</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02308 FG 09/36 FIXED 5.5</title>
        <cusip>3128LXR51</cusip>
        <identifiers>
          <isin value="US3128LXR517"/>
        </identifiers>
        <balance>2833.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2923.170000</valUSD>
        <pctVal>0.000209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</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>317U2RDA5 PIMCO SWAPTION 2.732 CALL USD 202404</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002F1G8"/>
        </identifiers>
        <balance>10500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>48195.000000</valUSD>
        <pctVal>0.0034453</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>Call</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/2.73200 04/26/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01RIN8"/>
                    </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/2.73200 04/26/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01RIN8"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.732000"/>
                  <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>2031-04-26</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>2.730000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-184030.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2341</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2341 PZ</title>
        <cusip>313398DG1</cusip>
        <identifiers>
          <isin value="US313398DG14"/>
        </identifiers>
        <balance>125491.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128696.970000</valUSD>
        <pctVal>0.0092001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</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 257531 FN 11/28 FIXED 6.5</title>
        <cusip>31371PA83</cusip>
        <identifiers>
          <isin value="US31371PA832"/>
        </identifiers>
        <balance>5898.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6046.610000</valUSD>
        <pctVal>0.0004323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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 POOL 463778 GN 04/28 FIXED 6.5</title>
        <cusip>36208XFT3</cusip>
        <identifiers>
          <isin value="US36208XFT37"/>
        </identifiers>
        <balance>1237.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1262.690000</valUSD>
        <pctVal>0.0000903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</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 841978 FN 03/35 FLOATING VAR</title>
        <cusip>31407VM36</cusip>
        <identifiers>
          <isin value="US31407VM365"/>
        </identifiers>
        <balance>27751.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27191.020000</valUSD>
        <pctVal>0.0019438</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>4.033</annualizedRt>
          <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 080114 G2 09/27 FLOATING VAR</title>
        <cusip>36225CDU7</cusip>
        <identifiers>
          <isin value="US36225CDU71"/>
        </identifiers>
        <balance>294.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>292.350000</valUSD>
        <pctVal>0.0000209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4989 FN 04/27 FIXED 2</title>
        <cusip>31417BRK5</cusip>
        <identifiers>
          <isin value="US31417BRK51"/>
        </identifiers>
        <balance>4763.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4566.080000</valUSD>
        <pctVal>0.0003264</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 942980 FN 09/37 FIXED 6</title>
        <cusip>31413ECR4</cusip>
        <identifiers>
          <isin value="US31413ECR45"/>
        </identifiers>
        <balance>57234.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59774.110000</valUSD>
        <pctVal>0.004273</pctVal>
        <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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-3</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A</title>
        <cusip>12638PAJ8</cusip>
        <identifiers>
          <isin value="US12638PAJ84"/>
        </identifiers>
        <balance>1771472.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>493596.850000</valUSD>
        <pctVal>0.0352855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.0789</annualizedRt>
          <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 846942 FH 02/31 FLOATING VAR</title>
        <cusip>3128HDWB1</cusip>
        <identifiers>
          <isin value="US3128HDWB16"/>
        </identifiers>
        <balance>31.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31.720000</valUSD>
        <pctVal>0.0000023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.014</annualizedRt>
          <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 323591 FN 03/29 FIXED VAR</title>
        <cusip>31374TNG0</cusip>
        <identifiers>
          <isin value="US31374TNG03"/>
        </identifiers>
        <balance>1151.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1181.300000</valUSD>
        <pctVal>0.0000844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02085 FG 03/36 FIXED 6</title>
        <cusip>3128LXJ68</cusip>
        <identifiers>
          <isin value="US3128LXJ688"/>
        </identifiers>
        <balance>1070.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1120.280000</valUSD>
        <pctVal>0.0000801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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 TBA 30 YR 3.5 JUMBOS</title>
        <cusip>21H032613</cusip>
        <identifiers>
          <isin value="US21H0326130"/>
        </identifiers>
        <balance>13882000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12929781.560000</valUSD>
        <pctVal>0.924304</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04527 FG 07/38 FIXED 5.5</title>
        <cusip>3128M6LG1</cusip>
        <identifiers>
          <isin value="US3128M6LG17"/>
        </identifiers>
        <balance>229649.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>236921.040000</valUSD>
        <pctVal>0.0169366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 662584 GN 09/37 FIXED 6.5</title>
        <cusip>36294XCV6</cusip>
        <identifiers>
          <isin value="US36294XCV64"/>
        </identifiers>
        <balance>41243.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42156.970000</valUSD>
        <pctVal>0.0030137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL U90133 FG 08/42 FIXED 4</title>
        <cusip>3132H3EE9</cusip>
        <identifiers>
          <isin value="US3132H3EE96"/>
        </identifiers>
        <balance>3638837.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3542371.870000</valUSD>
        <pctVal>0.253232</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI</title>
        <cusip>38376T6N7</cusip>
        <identifiers>
          <isin value="US38376T6N73"/>
        </identifiers>
        <balance>819817.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20161.020000</valUSD>
        <pctVal>0.0014412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 653750 GN 03/36 FIXED 6.5</title>
        <cusip>36292NH37</cusip>
        <identifiers>
          <isin value="US36292NH371"/>
        </identifiers>
        <balance>14386.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14878.930000</valUSD>
        <pctVal>0.0010636</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A92666 FG 06/40 FIXED 5.5</title>
        <cusip>3129406B0</cusip>
        <identifiers>
          <isin value="US3129406B09"/>
        </identifiers>
        <balance>25370.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26044.650000</valUSD>
        <pctVal>0.0018618</pctVal>
        <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>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>SYMPHONY CLO 30 LTD 2023-39A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2023 39A A 144A</title>
        <cusip>87169TAA8</cusip>
        <identifiers>
          <isin value="US87169TAA88"/>
        </identifiers>
        <balance>4200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4205173.980000</valUSD>
        <pctVal>0.300613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.00193</annualizedRt>
          <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 AY8034 G2 03/47 FIXED 3.5</title>
        <cusip>36196X4T9</cusip>
        <identifiers>
          <isin value="US36196X4T91"/>
        </identifiers>
        <balance>878866.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>829849.090000</valUSD>
        <pctVal>0.059323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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 POOL 780840 G2 07/28 FIXED 8.5</title>
        <cusip>36225A4Z0</cusip>
        <identifiers>
          <isin value="US36225A4Z07"/>
        </identifiers>
        <balance>7853.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8029.810000</valUSD>
        <pctVal>0.000574</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 968521 FN 12/37 FIXED 6.5</title>
        <cusip>31414KPE4</cusip>
        <identifiers>
          <isin value="US31414KPE46"/>
        </identifiers>
        <balance>5545.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5740.070000</valUSD>
        <pctVal>0.0004103</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>6.5</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 846775 FH 11/29 FLOATING VAR</title>
        <cusip>3128HDQ44</cusip>
        <identifiers>
          <isin value="US3128HDQ444"/>
        </identifiers>
        <balance>67430.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67276.720000</valUSD>
        <pctVal>0.0048094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.526</annualizedRt>
          <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 2457</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2457 PE</title>
        <cusip>31392PKZ7</cusip>
        <identifiers>
          <isin value="US31392PKZ70"/>
        </identifiers>
        <balance>27070.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28000.360000</valUSD>
        <pctVal>0.0020016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-15</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 AL9521 FN 10/46 FIXED VAR</title>
        <cusip>3138ERSK7</cusip>
        <identifiers>
          <isin value="US3138ERSK73"/>
        </identifiers>
        <balance>199536.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>181824.320000</valUSD>
        <pctVal>0.012998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS  MTGE SEC INC 1997-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A</title>
        <cusip>073914WC3</cusip>
        <identifiers>
          <isin value="US073914WC36"/>
        </identifiers>
        <balance>299.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291.360000</valUSD>
        <pctVal>0.0000208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.8444</annualizedRt>
          <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 828982 FN 08/35 FLOATING VAR</title>
        <cusip>31407E6T5</cusip>
        <identifiers>
          <isin value="US31407E6T53"/>
        </identifiers>
        <balance>28119.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28141.060000</valUSD>
        <pctVal>0.0020117</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.789</annualizedRt>
          <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 252342 FN 04/29 FIXED 6.5</title>
        <cusip>31371HHT8</cusip>
        <identifiers>
          <isin value="US31371HHT86"/>
        </identifiers>
        <balance>172.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179.300000</valUSD>
        <pctVal>0.0000128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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 POOL 719769 GN 02/40 FIXED 6</title>
        <cusip>3620A5T25</cusip>
        <identifiers>
          <isin value="US3620A5T259"/>
        </identifiers>
        <balance>3309.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3367.870000</valUSD>
        <pctVal>0.0002408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</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 783798 FN 07/34 FIXED 5.5</title>
        <cusip>31405AX32</cusip>
        <identifiers>
          <isin value="US31405AX329"/>
        </identifiers>
        <balance>33888.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34911.250000</valUSD>
        <pctVal>0.0024957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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>FANNIE MAE 2002-21</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 21 FD</title>
        <cusip>31392CRD8</cusip>
        <identifiers>
          <isin value="US31392CRD82"/>
        </identifiers>
        <balance>2105.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2118.930000</valUSD>
        <pctVal>0.0001515</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>6.35191</annualizedRt>
          <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 948564 FN 08/38 FIXED 6.5</title>
        <cusip>31413LJH3</cusip>
        <identifiers>
          <isin value="US31413LJH33"/>
        </identifiers>
        <balance>80446.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83884.660000</valUSD>
        <pctVal>0.0059966</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>6.5</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 002444 G2 06/27 FIXED 7.5</title>
        <cusip>36202CWD1</cusip>
        <identifiers>
          <isin value="US36202CWD19"/>
        </identifiers>
        <balance>1010.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1018.920000</valUSD>
        <pctVal>0.0000728</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 786384 FN 07/34 FIXED 6</title>
        <cusip>31405DUH8</cusip>
        <identifiers>
          <isin value="US31405DUH87"/>
        </identifiers>
        <balance>325641.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340268.330000</valUSD>
        <pctVal>0.0243246</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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 257230 FN 06/38 FIXED 5</title>
        <cusip>31371NVX0</cusip>
        <identifiers>
          <isin value="US31371NVX01"/>
        </identifiers>
        <balance>92067.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93593.110000</valUSD>
        <pctVal>0.0066906</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</annualizedRt>
          <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 769663 FN 04/34 FIXED 5.5</title>
        <cusip>31404JB87</cusip>
        <identifiers>
          <isin value="US31404JB873"/>
        </identifiers>
        <balance>6973.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7175.750000</valUSD>
        <pctVal>0.000513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 G02419 FG 10/36 FIXED 6.5</title>
        <cusip>3128M4AU7</cusip>
        <identifiers>
          <isin value="US3128M4AU71"/>
        </identifiers>
        <balance>7281.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7558.530000</valUSD>
        <pctVal>0.0005403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4015 FN 06/53 FIXED 5</title>
        <cusip>3140NLN96</cusip>
        <identifiers>
          <isin value="US3140NLN967"/>
        </identifiers>
        <balance>145433.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145225.250000</valUSD>
        <pctVal>0.0103816</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NBB1 OTC ECAL FN 4.5 FEB24 97.8125 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50966"/>
        </identifiers>
        <balance>-71500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-388888.500000</valUSD>
        <pctVal>-0.0278003</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 4.5% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0426241"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>97.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-17423.660000</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 640225 FN 04/32 FLOATING VAR</title>
        <cusip>31390AHA1</cusip>
        <identifiers>
          <isin value="US31390AHA16"/>
        </identifiers>
        <balance>1135.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1106.310000</valUSD>
        <pctVal>0.0000791</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.395</annualizedRt>
          <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 831604 FN 06/36 FIXED 6</title>
        <cusip>31407H3M6</cusip>
        <identifiers>
          <isin value="US31407H3M64"/>
        </identifiers>
        <balance>471.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>488.220000</valUSD>
        <pctVal>0.0000349</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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 AZ3529 G2 07/47 FIXED 3.5</title>
        <cusip>36197F4N0</cusip>
        <identifiers>
          <isin value="US36197F4N01"/>
        </identifiers>
        <balance>415480.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>391322.540000</valUSD>
        <pctVal>0.0279743</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 POOL 682906 GN 11/40 FIXED 5.5</title>
        <cusip>36295WU70</cusip>
        <identifiers>
          <isin value="US36295WU709"/>
        </identifiers>
        <balance>114714.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116625.010000</valUSD>
        <pctVal>0.0083371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255892 FN 09/25 FIXED 5</title>
        <cusip>31371MF93</cusip>
        <identifiers>
          <isin value="US31371MF937"/>
        </identifiers>
        <balance>3486.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3458.800000</valUSD>
        <pctVal>0.0002473</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</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 3596</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3596 FC</title>
        <cusip>31398KUV0</cusip>
        <identifiers>
          <isin value="US31398KUV06"/>
        </identifiers>
        <balance>236535.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>237286.610000</valUSD>
        <pctVal>0.0169628</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05292</annualizedRt>
          <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>317U2RCA6 PIMCO SWAPTION 3.232 PUT USD 2024042</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002F1H6"/>
        </identifiers>
        <balance>10500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>222711.300000</valUSD>
        <pctVal>0.0159208</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/3.23200 04/26/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01RIM0"/>
                    </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/3.23200 04/26/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01RIM0"/>
                      </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="3.232000"/>
                  <terminationDt>2031-04-26</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>3.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-9513.700000</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 323412 FN 12/28 FIXED VAR</title>
        <cusip>31374TGV5</cusip>
        <identifiers>
          <isin value="US31374TGV52"/>
        </identifiers>
        <balance>1437.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1492.620000</valUSD>
        <pctVal>0.0001067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>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"/>
        </identifiers>
        <balance>260900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213530343.750000</valUSD>
        <pctVal>15.2645</pctVal>
        <payoffProfile>Long</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BH8543 G2 07/48 FIXED 4.5</title>
        <cusip>3617H6P42</cusip>
        <identifiers>
          <isin value="US3617H6P428"/>
        </identifiers>
        <balance>248157.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>244016.200000</valUSD>
        <pctVal>0.0174439</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 722759 GN 08/39 FIXED 6</title>
        <cusip>3620A85U3</cusip>
        <identifiers>
          <isin value="US3620A85U30"/>
        </identifiers>
        <balance>13511.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13752.130000</valUSD>
        <pctVal>0.0009831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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 677309 GN 09/38 FIXED 6.5</title>
        <cusip>36295QN22</cusip>
        <identifiers>
          <isin value="US36295QN227"/>
        </identifiers>
        <balance>15691.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16172.800000</valUSD>
        <pctVal>0.0011561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 008466 G2 07/24 FLOATING VAR</title>
        <cusip>36202KMP7</cusip>
        <identifiers>
          <isin value="US36202KMP74"/>
        </identifiers>
        <balance>192.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191.310000</valUSD>
        <pctVal>0.0000137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 712594 GN 07/39 FIXED 5.5</title>
        <cusip>36297HUT3</cusip>
        <identifiers>
          <isin value="US36297HUT30"/>
        </identifiers>
        <balance>62682.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62954.640000</valUSD>
        <pctVal>0.0045004</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>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR 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>2055625.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>529466.550000</valUSD>
        <pctVal>0.0378497</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 886413 FN 08/36 FIXED 6.5</title>
        <cusip>31410DYJ3</cusip>
        <identifiers>
          <isin value="US31410DYJ35"/>
        </identifiers>
        <balance>42268.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44142.350000</valUSD>
        <pctVal>0.0031556</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>6.5</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 766177 FN 02/34 FIXED 5.5</title>
        <cusip>31404EFS0</cusip>
        <identifiers>
          <isin value="US31404EFS00"/>
        </identifiers>
        <balance>7795.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8030.960000</valUSD>
        <pctVal>0.0005741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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 G03132 FG 07/37 FIXED 5.5</title>
        <cusip>3128M4Y56</cusip>
        <identifiers>
          <isin value="US3128M4Y560"/>
        </identifiers>
        <balance>8879.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9161.310000</valUSD>
        <pctVal>0.0006549</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008362 G2 02/24 FLOATING VAR</title>
        <cusip>36202KJF3</cusip>
        <identifiers>
          <isin value="US36202KJF30"/>
        </identifiers>
        <balance>123.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122.750000</valUSD>
        <pctVal>0.0000088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A89404 FG 10/39 FIXED 5.5</title>
        <cusip>312936NV5</cusip>
        <identifiers>
          <isin value="US312936NV55"/>
        </identifiers>
        <balance>2178.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2235.940000</valUSD>
        <pctVal>0.0001598</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>5.5</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 G04320 FG 02/38 FIXED 6</title>
        <cusip>3128M6DZ8</cusip>
        <identifiers>
          <isin value="US3128M6DZ89"/>
        </identifiers>
        <balance>7361.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7672.890000</valUSD>
        <pctVal>0.0005485</pctVal>
        <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>
        </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 778068 FN 05/34 FIXED 5.5</title>
        <cusip>31404TMR1</cusip>
        <identifiers>
          <isin value="US31404TMR13"/>
        </identifiers>
        <balance>8768.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9035.390000</valUSD>
        <pctVal>0.0006459</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745636 FN 06/35 FIXED VAR</title>
        <cusip>31403DLR8</cusip>
        <identifiers>
          <isin value="US31403DLR88"/>
        </identifiers>
        <balance>329256.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>341064.740000</valUSD>
        <pctVal>0.0243815</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03112 FG 06/37 FIXED 6.5</title>
        <cusip>3128M4YH0</cusip>
        <identifiers>
          <isin value="US3128M4YH05"/>
        </identifiers>
        <balance>10384.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10721.690000</valUSD>
        <pctVal>0.0007665</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-4</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 4 3A1A</title>
        <cusip>41161PL76</cusip>
        <identifiers>
          <isin value="US41161PL766"/>
        </identifiers>
        <balance>510106.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153198.530000</valUSD>
        <pctVal>0.0109516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.91023</annualizedRt>
          <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 MA0232 FN 11/29 FIXED 4.5</title>
        <cusip>31417YHJ9</cusip>
        <identifiers>
          <isin value="US31417YHJ91"/>
        </identifiers>
        <balance>12063.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11965.890000</valUSD>
        <pctVal>0.0008554</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 498847 GN 12/30 FIXED 8.5</title>
        <cusip>36210QEU2</cusip>
        <identifiers>
          <isin value="US36210QEU22"/>
        </identifiers>
        <balance>2737.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2733.870000</valUSD>
        <pctVal>0.0001954</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 509444 GN 12/29 FIXED 8.5</title>
        <cusip>36211C5D0</cusip>
        <identifiers>
          <isin value="US36211C5D08"/>
        </identifiers>
        <balance>1267.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1267.470000</valUSD>
        <pctVal>0.0000906</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GALAXY XV CLO LTD 2013-15A</name>
        <lei>N/A</lei>
        <title>GALAXY CLO LTD GALXY 2013 15A ARR 144A</title>
        <cusip>36318WAK6</cusip>
        <identifiers>
          <isin value="US36318WAK62"/>
        </identifiers>
        <balance>6875424.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6867936.990000</valUSD>
        <pctVal>0.490965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.62548</annualizedRt>
          <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>US 10YR ULTRA FUT MAR24 XCBT 20240319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="UXYH4"/>
        </identifiers>
        <balance>-7702.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-37940003.530000</valUSD>
        <pctVal>-2.7122</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI2JV000-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-03-19</expDate>
            <notionalAmt>-907091019.480000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-37940003.530000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE</title>
        <cusip>38380B5Q4</cusip>
        <identifiers>
          <isin value="US38380B5Q48"/>
        </identifiers>
        <balance>183322.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15200.850000</valUSD>
        <pctVal>0.0010867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-20</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>FREDDIE MAC 2503</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2503 PZ</title>
        <cusip>31392UMD3</cusip>
        <identifiers>
          <isin value="US31392UMD36"/>
        </identifiers>
        <balance>14003.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14381.030000</valUSD>
        <pctVal>0.001028</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-15</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 482704 GN 08/28 FIXED 6.5</title>
        <cusip>36209VGM0</cusip>
        <identifiers>
          <isin value="US36209VGM00"/>
        </identifiers>
        <balance>553.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>568.310000</valUSD>
        <pctVal>0.0000406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782382 GN 08/38 FIXED 5.5</title>
        <cusip>36241KUF3</cusip>
        <identifiers>
          <isin value="US36241KUF38"/>
        </identifiers>
        <balance>57608.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58254.040000</valUSD>
        <pctVal>0.0041644</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080363 G2 01/30 FLOATING VAR</title>
        <cusip>36225CMM5</cusip>
        <identifiers>
          <isin value="US36225CMM54"/>
        </identifiers>
        <balance>5022.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4915.360000</valUSD>
        <pctVal>0.0003514</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-20</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>N/A</name>
        <lei>N/A</lei>
        <title>317U3ERA8 PIMCO SWAPTION 5.5 PUT USD 20250121</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002MKJ6"/>
        </identifiers>
        <balance>107000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>33544.500000</valUSD>
        <pctVal>0.002398</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/5.50000 01/23/25-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01W7I0"/>
                    </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/5.50000 01/23/25-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01W7I0"/>
                      </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="5.500000"/>
                  <terminationDt>2026-01-23</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-01-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-84155.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A55128 FG 12/36 FIXED 5.5</title>
        <cusip>3128KHVV5</cusip>
        <identifiers>
          <isin value="US3128KHVV55"/>
        </identifiers>
        <balance>3864.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3966.800000</valUSD>
        <pctVal>0.0002836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 C01648 FG 10/33 FIXED 5</title>
        <cusip>31292HZM9</cusip>
        <identifiers>
          <isin value="US31292HZM95"/>
        </identifiers>
        <balance>3046.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3101.430000</valUSD>
        <pctVal>0.0002217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA5097 FN 07/43 FIXED 4.5</title>
        <cusip>31418EUX6</cusip>
        <identifiers>
          <isin value="US31418EUX65"/>
        </identifiers>
        <balance>1871692.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1844294.510000</valUSD>
        <pctVal>0.131842</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>4.5</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 725880 FN 09/34 FIXED VAR</title>
        <cusip>31402DM56</cusip>
        <identifiers>
          <isin value="US31402DM562"/>
        </identifiers>
        <balance>658.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>686.640000</valUSD>
        <pctVal>0.0000491</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>6.5</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 G08147 FG 08/36 FIXED 6.5</title>
        <cusip>3128MJEV8</cusip>
        <identifiers>
          <isin value="US3128MJEV86"/>
        </identifiers>
        <balance>72177.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75320.410000</valUSD>
        <pctVal>0.0053844</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>6.5</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 773232 FN 01/35 FIXED 5.5</title>
        <cusip>31404NA97</cusip>
        <identifiers>
          <isin value="US31404NA976"/>
        </identifiers>
        <balance>2990.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3080.420000</valUSD>
        <pctVal>0.0002202</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 780747 GN 03/28 FIXED 6.5</title>
        <cusip>36225AZL7</cusip>
        <identifiers>
          <isin value="US36225AZL78"/>
        </identifiers>
        <balance>191.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>194.720000</valUSD>
        <pctVal>0.0000139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928932 FN 11/37 FIXED 6.5</title>
        <cusip>31412MA99</cusip>
        <identifiers>
          <isin value="US31412MA997"/>
        </identifiers>
        <balance>12224.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12716.810000</valUSD>
        <pctVal>0.0009091</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>CHEVY CHASE MORTGAGE FUND CORP 2005-2A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A</title>
        <cusip>16678RDK0</cusip>
        <identifiers>
          <isin value="US16678RDK05"/>
        </identifiers>
        <balance>60534.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54230.530000</valUSD>
        <pctVal>0.0038767</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.65043</annualizedRt>
          <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 G08269 FG 05/38 FIXED 5.5</title>
        <cusip>3128MJJP6</cusip>
        <identifiers>
          <isin value="US3128MJJP63"/>
        </identifiers>
        <balance>5025.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5184.890000</valUSD>
        <pctVal>0.0003706</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 543931 GN 02/31 FIXED 7.5</title>
        <cusip>36212UHG9</cusip>
        <identifiers>
          <isin value="US36212UHG94"/>
        </identifiers>
        <balance>1459.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1480.980000</valUSD>
        <pctVal>0.0001059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 986767 FN 07/38 FIXED 5.5</title>
        <cusip>31415RFG4</cusip>
        <identifiers>
          <isin value="US31415RFG48"/>
        </identifiers>
        <balance>59168.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60805.920000</valUSD>
        <pctVal>0.0043468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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 A61999 FG 06/37 FIXED 5.5</title>
        <cusip>3128KSGG1</cusip>
        <identifiers>
          <isin value="US3128KSGG19"/>
        </identifiers>
        <balance>2815.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2904.170000</valUSD>
        <pctVal>0.0002076</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AE7017 GN 06/43 FIXED 3.5</title>
        <cusip>36181AYN6</cusip>
        <identifiers>
          <isin value="US36181AYN61"/>
        </identifiers>
        <balance>2676838.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2516158.460000</valUSD>
        <pctVal>0.179871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-15</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 A92821 FG 07/40 FIXED 5</title>
        <cusip>312941D20</cusip>
        <identifiers>
          <isin value="US312941D207"/>
        </identifiers>
        <balance>2289.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2330.860000</valUSD>
        <pctVal>0.0001666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 937938 FN 06/37 FIXED 6</title>
        <cusip>31412XPX6</cusip>
        <identifiers>
          <isin value="US31412XPX65"/>
        </identifiers>
        <balance>4905.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5086.750000</valUSD>
        <pctVal>0.0003636</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</annualizedRt>
          <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 MA0025 G2 04/42 FIXED 5</title>
        <cusip>36179MA26</cusip>
        <identifiers>
          <isin value="US36179MA260"/>
        </identifiers>
        <balance>4588.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4675.720000</valUSD>
        <pctVal>0.0003343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BS5111 GN 01/50 FIXED 3.5</title>
        <cusip>3617MFVC1</cusip>
        <identifiers>
          <isin value="US3617MFVC15"/>
        </identifiers>
        <balance>358996.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331157.750000</valUSD>
        <pctVal>0.0236733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-15</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 SC0050 FR 02/40 FIXED 3</title>
        <cusip>3132D9BT0</cusip>
        <identifiers>
          <isin value="US3132D9BT04"/>
        </identifiers>
        <balance>5344283.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4980262.870000</valUSD>
        <pctVal>0.356021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3894 FN 09/31 FIXED 4</title>
        <cusip>31418DKG6</cusip>
        <identifiers>
          <isin value="US31418DKG69"/>
        </identifiers>
        <balance>95527.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93610.240000</valUSD>
        <pctVal>0.0066919</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-01</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>FREDDIE MAC 2106</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2106 ZB</title>
        <cusip>3133THDB0</cusip>
        <identifiers>
          <isin value="US3133THDB06"/>
        </identifiers>
        <balance>50935.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51442.290000</valUSD>
        <pctVal>0.0036774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 699666 GN 07/40 FIXED 5</title>
        <cusip>36296SJK2</cusip>
        <identifiers>
          <isin value="US36296SJK24"/>
        </identifiers>
        <balance>17424.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17393.510000</valUSD>
        <pctVal>0.0012434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE5659 G2 04/48 FIXED 4</title>
        <cusip>3617G0JC5</cusip>
        <identifiers>
          <isin value="US3617G0JC56"/>
        </identifiers>
        <balance>1207014.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1154771.470000</valUSD>
        <pctVal>0.0825505</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</annualizedRt>
          <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 G05044 FG 08/38 FIXED 5.5</title>
        <cusip>3128M65D6</cusip>
        <identifiers>
          <isin value="US3128M65D61"/>
        </identifiers>
        <balance>42271.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43609.410000</valUSD>
        <pctVal>0.0031175</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>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 RB5180 FR 08/42 FIXED 3</title>
        <cusip>3133KYXH7</cusip>
        <identifiers>
          <isin value="US3133KYXH79"/>
        </identifiers>
        <balance>7894.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7203.550000</valUSD>
        <pctVal>0.000515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002591 G2 05/28 FIXED 7</title>
        <cusip>36202C2Y8</cusip>
        <identifiers>
          <isin value="US36202C2Y88"/>
        </identifiers>
        <balance>1382.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1422.280000</valUSD>
        <pctVal>0.0001017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AS6886 G2 03/46 FIXED 3.5</title>
        <cusip>36193SUK3</cusip>
        <identifiers>
          <isin value="US36193SUK31"/>
        </identifiers>
        <balance>1162059.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1098155.270000</valUSD>
        <pctVal>0.0785032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-20</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>FREDDIE MAC 2065</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2065 Z</title>
        <cusip>3133TEFV1</cusip>
        <identifiers>
          <isin value="US3133TEFV11"/>
        </identifiers>
        <balance>6930.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7075.030000</valUSD>
        <pctVal>0.0005058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-15</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 738317 GN 05/41 FIXED 5</title>
        <cusip>3620ASG29</cusip>
        <identifiers>
          <isin value="US3620ASG295"/>
        </identifiers>
        <balance>25534.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25709.550000</valUSD>
        <pctVal>0.0018379</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>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 845357 FN 01/36 FIXED 6</title>
        <cusip>31408AE63</cusip>
        <identifiers>
          <isin value="US31408AE638"/>
        </identifiers>
        <balance>1328.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1363.530000</valUSD>
        <pctVal>0.0000975</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>
        </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 080221 G2 08/28 FLOATING VAR</title>
        <cusip>36225CG75</cusip>
        <identifiers>
          <isin value="US36225CG756"/>
        </identifiers>
        <balance>2956.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2881.260000</valUSD>
        <pctVal>0.000206</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-20</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>FANNIE MAE REMICS 2015-47</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 47 GI</title>
        <cusip>3136APDE9</cusip>
        <identifiers>
          <isin value="US3136APDE92"/>
        </identifiers>
        <balance>66427.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5692.090000</valUSD>
        <pctVal>0.0004069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-25</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 887583 FN 07/36 FIXED 6</title>
        <cusip>31410FCU7</cusip>
        <identifiers>
          <isin value="US31410FCU75"/>
        </identifiers>
        <balance>5579.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5834.280000</valUSD>
        <pctVal>0.0004171</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</annualizedRt>
          <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>-22900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-22477781.250000</valUSD>
        <pctVal>-1.60686</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 BF0102 FN 06/56 FIXED 3.5</title>
        <cusip>3140FXDG4</cusip>
        <identifiers>
          <isin value="US3140FXDG40"/>
        </identifiers>
        <balance>7647422.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6946873.670000</valUSD>
        <pctVal>0.496607</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-06-01</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 021558 FN 06/25 FLOATING VAR</title>
        <cusip>3136055T0</cusip>
        <identifiers>
          <isin value="US3136055T08"/>
        </identifiers>
        <balance>84.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83.570000</valUSD>
        <pctVal>0.000006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 771924 FN 05/34 FIXED 5.5</title>
        <cusip>31404LSM3</cusip>
        <identifiers>
          <isin value="US31404LSM36"/>
        </identifiers>
        <balance>23636.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24349.580000</valUSD>
        <pctVal>0.0017407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 A47402 FG 10/35 FIXED 5</title>
        <cusip>3128K8GK6</cusip>
        <identifiers>
          <isin value="US3128K8GK69"/>
        </identifiers>
        <balance>2514.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2560.130000</valUSD>
        <pctVal>0.000183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q25578 FG 04/44 FIXED 4</title>
        <cusip>3132M52K7</cusip>
        <identifiers>
          <isin value="US3132M52K79"/>
        </identifiers>
        <balance>86375.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83983.630000</valUSD>
        <pctVal>0.0060037</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 940380 FN 07/37 FIXED 6</title>
        <cusip>31413BFV8</cusip>
        <identifiers>
          <isin value="US31413BFV80"/>
        </identifiers>
        <balance>554574.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>579517.070000</valUSD>
        <pctVal>0.0414276</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOLUB CAPITAL PARTNERS CLO 26B LTD</name>
        <lei>N/A</lei>
        <title>GOLUB CAPITAL PARTNERS CLO LTD GOCAP 2015 26A A1R 144A</title>
        <cusip>38176DAA7</cusip>
        <identifiers>
          <isin value="US38176DAA72"/>
        </identifiers>
        <balance>936644.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>937844.410000</valUSD>
        <pctVal>0.0670432</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.69743</annualizedRt>
          <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 AH4551 FN 02/26 FIXED 3.5</title>
        <cusip>3138A6BV1</cusip>
        <identifiers>
          <isin value="US3138A6BV14"/>
        </identifiers>
        <balance>55198.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53807.990000</valUSD>
        <pctVal>0.0038465</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</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>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>674557.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>601133.280000</valUSD>
        <pctVal>0.0429729</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF2893 G2 06/48 FIXED 4</title>
        <cusip>3617G9GA3</cusip>
        <identifiers>
          <isin value="US3617G9GA37"/>
        </identifiers>
        <balance>101422.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97239.690000</valUSD>
        <pctVal>0.0069513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</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 086636 FN 01/29 FLOATING VAR</title>
        <cusip>31363EHM0</cusip>
        <identifiers>
          <isin value="US31363EHM03"/>
        </identifiers>
        <balance>2966.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2891.380000</valUSD>
        <pctVal>0.0002067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.094</annualizedRt>
          <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 782710 GN 07/39 FIXED 5</title>
        <cusip>36241LAK2</cusip>
        <identifiers>
          <isin value="US36241LAK26"/>
        </identifiers>
        <balance>18135.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18326.710000</valUSD>
        <pctVal>0.0013101</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>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 895852 FN 11/35 FLOATING VAR</title>
        <cusip>31410SH59</cusip>
        <identifiers>
          <isin value="US31410SH597"/>
        </identifiers>
        <balance>228086.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>228315.750000</valUSD>
        <pctVal>0.0163215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.675</annualizedRt>
          <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 770080 FN 03/34 FIXED 5</title>
        <cusip>31404JQ99</cusip>
        <identifiers>
          <isin value="US31404JQ996"/>
        </identifiers>
        <balance>65945.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67035.950000</valUSD>
        <pctVal>0.0047922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BJ4187 G2 09/48 FIXED 4.5</title>
        <cusip>3617HRUL2</cusip>
        <identifiers>
          <isin value="US3617HRUL26"/>
        </identifiers>
        <balance>532807.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>523915.300000</valUSD>
        <pctVal>0.0374528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-20</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>ALLEGRO CLO IX LTD 2018-3A</name>
        <lei>N/A</lei>
        <title>ALLEGRO CLO LTD ALLEG 2018 3A A 144A</title>
        <cusip>01750NAA7</cusip>
        <identifiers>
          <isin value="US01750NAA72"/>
        </identifiers>
        <balance>3300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3303303.860000</valUSD>
        <pctVal>0.236142</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.82048</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 03/24 0.00000</title>
        <cusip>912797GY7</cusip>
        <identifiers>
          <isin value="US912797GY72"/>
        </identifiers>
        <balance>295000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291341.260000</valUSD>
        <pctVal>0.020827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-28</maturityDt>
          <couponKind>None</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 602552 GN 03/36 FIXED 5</title>
        <cusip>36200JL99</cusip>
        <identifiers>
          <isin value="US36200JL994"/>
        </identifiers>
        <balance>9816.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9799.390000</valUSD>
        <pctVal>0.0007005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555285 FN 03/33 FIXED VAR</title>
        <cusip>31385W2S7</cusip>
        <identifiers>
          <isin value="US31385W2S74"/>
        </identifiers>
        <balance>60124.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62303.420000</valUSD>
        <pctVal>0.0044539</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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 641967 GN 04/36 FIXED 5.5</title>
        <cusip>36291YFG7</cusip>
        <identifiers>
          <isin value="US36291YFG70"/>
        </identifiers>
        <balance>2189.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2213.900000</valUSD>
        <pctVal>0.0001583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 725237 FN 03/34 FIXED VAR</title>
        <cusip>31402CV66</cusip>
        <identifiers>
          <isin value="US31402CV664"/>
        </identifiers>
        <balance>40467.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42034.120000</valUSD>
        <pctVal>0.0030049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A50941 FG 07/36 FIXED 6.5</title>
        <cusip>3128KDBJ3</cusip>
        <identifiers>
          <isin value="US3128KDBJ34"/>
        </identifiers>
        <balance>1957.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2048.620000</valUSD>
        <pctVal>0.0001464</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>
        </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 713698 FN 08/33 FIXED 5.5</title>
        <cusip>31401N3F4</cusip>
        <identifiers>
          <isin value="US31401N3F49"/>
        </identifiers>
        <balance>4203.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4319.900000</valUSD>
        <pctVal>0.0003088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BG2154 G2 03/48 FIXED 4</title>
        <cusip>3617GLMB7</cusip>
        <identifiers>
          <isin value="US3617GLMB74"/>
        </identifiers>
        <balance>268598.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>265024.440000</valUSD>
        <pctVal>0.0189457</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>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 MA4660 FN 07/42 FIXED 3</title>
        <cusip>31418EFA3</cusip>
        <identifiers>
          <isin value="US31418EFA38"/>
        </identifiers>
        <balance>1924549.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1756796.500000</valUSD>
        <pctVal>0.125587</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>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 A56988 FG 02/37 FIXED 5.5</title>
        <cusip>3128KKXR5</cusip>
        <identifiers>
          <isin value="US3128KKXR54"/>
        </identifiers>
        <balance>6563.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6771.910000</valUSD>
        <pctVal>0.0004841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>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"/>
        </identifiers>
        <balance>7681376.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7747796.620000</valUSD>
        <pctVal>0.553863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.48719</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIFC FUNDING LTD 2014-2RA</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2014 2RA A1 144A</title>
        <cusip>12548RAB0</cusip>
        <identifiers>
          <isin value="US12548RAB06"/>
        </identifiers>
        <balance>1753788.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1750109.380000</valUSD>
        <pctVal>0.125109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.71008</annualizedRt>
          <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 BK1962 FN 03/48 FIXED 4</title>
        <cusip>3140HFFC8</cusip>
        <identifiers>
          <isin value="US3140HFFC83"/>
        </identifiers>
        <balance>554359.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>534021.710000</valUSD>
        <pctVal>0.0381753</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04838 FG 01/38 FIXED 5.5</title>
        <cusip>3128M6V70</cusip>
        <identifiers>
          <isin value="US3128M6V702"/>
        </identifiers>
        <balance>15414.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15902.460000</valUSD>
        <pctVal>0.0011368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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 A50007 FG 06/36 FIXED 5.5</title>
        <cusip>3128KCAG2</cusip>
        <identifiers>
          <isin value="US3128KCAG21"/>
        </identifiers>
        <balance>7276.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7480.060000</valUSD>
        <pctVal>0.0005347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>31750NAB2 OTC ECAL FN 6.0 MAR24 103.328125 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH49893"/>
        </identifiers>
        <balance>20000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28252.000000</valUSD>
        <pctVal>0.0020196</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>
                <identifiers>
                  <isin value="US01F0606347"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.330000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>25127.000000</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 MA3359 FN 04/38 FIXED 3</title>
        <cusip>31418CWV2</cusip>
        <identifiers>
          <isin value="US31418CWV26"/>
        </identifiers>
        <balance>3130359.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2902400.520000</valUSD>
        <pctVal>0.207482</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>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 903822 FN 12/36 FIXED 6.5</title>
        <cusip>31411CD32</cusip>
        <identifiers>
          <isin value="US31411CD325"/>
        </identifiers>
        <balance>34791.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36296.400000</valUSD>
        <pctVal>0.0025947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 535909 FN 05/31 FIXED VAR</title>
        <cusip>31384WKW9</cusip>
        <identifiers>
          <isin value="US31384WKW90"/>
        </identifiers>
        <balance>52.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54.250000</valUSD>
        <pctVal>0.0000039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>BANC OF AMERICA FUNDING CORP 2005-E</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1</title>
        <cusip>05946XXH1</cusip>
        <identifiers>
          <isin value="US05946XXH15"/>
        </identifiers>
        <balance>221290.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>192482.350000</valUSD>
        <pctVal>0.0137599</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0524</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A</title>
        <cusip>12669LAA8</cusip>
        <identifiers>
          <isin value="US12669LAA89"/>
        </identifiers>
        <balance>439198.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>389854.270000</valUSD>
        <pctVal>0.0278693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.67043</annualizedRt>
          <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 683565 GN 02/38 FIXED 6.5</title>
        <cusip>36295XMN2</cusip>
        <identifiers>
          <isin value="US36295XMN20"/>
        </identifiers>
        <balance>11261.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11646.850000</valUSD>
        <pctVal>0.0008326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 AC2375 FN 10/38 FIXED 6.5</title>
        <cusip>31417LT96</cusip>
        <identifiers>
          <isin value="US31417LT964"/>
        </identifiers>
        <balance>54156.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56499.640000</valUSD>
        <pctVal>0.004039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</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 POOL 665963 GN 02/38 FIXED 6</title>
        <cusip>36295BZ48</cusip>
        <identifiers>
          <isin value="US36295BZ488"/>
        </identifiers>
        <balance>17909.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18548.980000</valUSD>
        <pctVal>0.001326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</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 MA0204 G2 07/27 FIXED 2.5</title>
        <cusip>36179MGM6</cusip>
        <identifiers>
          <isin value="US36179MGM64"/>
        </identifiers>
        <balance>258307.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249197.690000</valUSD>
        <pctVal>0.0178143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-20</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 409335 FN 11/28 FIXED 6</title>
        <cusip>31378UV41</cusip>
        <identifiers>
          <isin value="US31378UV411"/>
        </identifiers>
        <balance>104.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107.610000</valUSD>
        <pctVal>0.0000077</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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 783638 GN 07/41 FIXED 5.5</title>
        <cusip>3622A2BF8</cusip>
        <identifiers>
          <isin value="US3622A2BF86"/>
        </identifiers>
        <balance>11560.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11690.160000</valUSD>
        <pctVal>0.0008357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080085 G2 06/27 FLOATING VAR</title>
        <cusip>36225CCX2</cusip>
        <identifiers>
          <isin value="US36225CCX20"/>
        </identifiers>
        <balance>3390.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3367.400000</valUSD>
        <pctVal>0.0002407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 AC1241 FN 07/39 FIXED 5</title>
        <cusip>31417KLX3</cusip>
        <identifiers>
          <isin value="US31417KLX36"/>
        </identifiers>
        <balance>34807.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35385.510000</valUSD>
        <pctVal>0.0025296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 494522 FN 04/29 FIXED 5.5</title>
        <cusip>31382WLB6</cusip>
        <identifiers>
          <isin value="US31382WLB62"/>
        </identifiers>
        <balance>12792.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13122.940000</valUSD>
        <pctVal>0.0009381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 786267 FN 07/34 FIXED 5.5</title>
        <cusip>31405DQU4</cusip>
        <identifiers>
          <isin value="US31405DQU45"/>
        </identifiers>
        <balance>12561.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12893.850000</valUSD>
        <pctVal>0.0009217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 531306 GN 08/30 FIXED 8.5</title>
        <cusip>36212EGP6</cusip>
        <identifiers>
          <isin value="US36212EGP60"/>
        </identifiers>
        <balance>12812.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12963.110000</valUSD>
        <pctVal>0.0009267</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003442 G2 09/33 FIXED 5</title>
        <cusip>36202DZF1</cusip>
        <identifiers>
          <isin value="US36202DZF13"/>
        </identifiers>
        <balance>8892.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9071.130000</valUSD>
        <pctVal>0.0006485</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 662443 GN 06/37 FIXED 6</title>
        <cusip>36294W5C8</cusip>
        <identifiers>
          <isin value="US36294W5C86"/>
        </identifiers>
        <balance>2122.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2168.740000</valUSD>
        <pctVal>0.000155</pctVal>
        <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>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 783233 GN 07/40 FIXED 5.5</title>
        <cusip>36241LSW7</cusip>
        <identifiers>
          <isin value="US36241LSW71"/>
        </identifiers>
        <balance>182682.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>184726.020000</valUSD>
        <pctVal>0.0132054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-15</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>HARBORVIEW MORTGAGE LOAN TR 2004-8</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1</title>
        <cusip>41161PHE6</cusip>
        <identifiers>
          <isin value="US41161PHE60"/>
        </identifiers>
        <balance>20144.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14744.310000</valUSD>
        <pctVal>0.001054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.32454</annualizedRt>
          <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 949728 FN 09/37 FIXED 6.5</title>
        <cusip>31413MSR9</cusip>
        <identifiers>
          <isin value="US31413MSR96"/>
        </identifiers>
        <balance>9473.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9855.450000</valUSD>
        <pctVal>0.0007045</pctVal>
        <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>
          <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 JUMBOS</title>
        <cusip>21H030617</cusip>
        <identifiers>
          <isin value="US21H0306173"/>
        </identifiers>
        <balance>121400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109933086.520000</valUSD>
        <pctVal>7.85873</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</annualizedRt>
          <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 RA4216 FR 12/50 FIXED 2.5</title>
        <cusip>3133KKVH9</cusip>
        <identifiers>
          <isin value="US3133KKVH93"/>
        </identifiers>
        <balance>4639927.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3962751.480000</valUSD>
        <pctVal>0.283283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <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>FHLMC STRUCTURED PASS THRU SEC T-34</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 34 A1V</title>
        <cusip>3133985T2</cusip>
        <identifiers>
          <isin value="US3133985T26"/>
        </identifiers>
        <balance>29286.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28921.240000</valUSD>
        <pctVal>0.0020675</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.57191</annualizedRt>
          <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 BM6156 FN 01/49 FLOATING VAR</title>
        <cusip>3140JAZW1</cusip>
        <identifiers>
          <isin value="US3140JAZW13"/>
        </identifiers>
        <balance>1616842.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1609744.630000</valUSD>
        <pctVal>0.115075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.619</annualizedRt>
          <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 786190 FH 07/27 FLOATING VAR</title>
        <cusip>31348S2X1</cusip>
        <identifiers>
          <isin value="US31348S2X16"/>
        </identifiers>
        <balance>2479.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2461.760000</valUSD>
        <pctVal>0.000176</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.942</annualizedRt>
          <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 BC0616 G2 08/47 FIXED 3.5</title>
        <cusip>3617B3VH9</cusip>
        <identifiers>
          <isin value="US3617B3VH95"/>
        </identifiers>
        <balance>587875.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555699.240000</valUSD>
        <pctVal>0.039725</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</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 POOL BA3813 G2 07/47 FIXED 3.5</title>
        <cusip>3617AGGW5</cusip>
        <identifiers>
          <isin value="US3617AGGW54"/>
        </identifiers>
        <balance>571394.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>539666.960000</valUSD>
        <pctVal>0.0385789</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C75023 FG 12/32 FIXED 5</title>
        <cusip>31288DSL4</cusip>
        <identifiers>
          <isin value="US31288DSL46"/>
        </identifiers>
        <balance>626.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>637.900000</valUSD>
        <pctVal>0.0000456</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>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>TRALEE CLO II LTD 2013-1A</name>
        <lei>N/A</lei>
        <title>TRALEE CLO LTD TRAL 2013 1A AR 144A</title>
        <cusip>89289UAQ1</cusip>
        <identifiers>
          <isin value="US89289UAQ13"/>
        </identifiers>
        <balance>2489193.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2492932.640000</valUSD>
        <pctVal>0.178211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.99743</annualizedRt>
          <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 3962</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3962 KS</title>
        <cusip>3137AJKA1</cusip>
        <identifiers>
          <isin value="US3137AJKA11"/>
        </identifiers>
        <balance>319232.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23173.180000</valUSD>
        <pctVal>0.0016566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</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 728723 FN 07/33 FIXED 5.5</title>
        <cusip>31402GSL8</cusip>
        <identifiers>
          <isin value="US31402GSL85"/>
        </identifiers>
        <balance>50105.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51616.480000</valUSD>
        <pctVal>0.0036899</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782508 GN 12/38 FIXED 5.5</title>
        <cusip>36241KYD4</cusip>
        <identifiers>
          <isin value="US36241KYD44"/>
        </identifiers>
        <balance>23484.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23748.850000</valUSD>
        <pctVal>0.0016977</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 877000 FN 06/35 FLOATING VAR</title>
        <cusip>31409SKM1</cusip>
        <identifiers>
          <isin value="US31409SKM16"/>
        </identifiers>
        <balance>60178.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60383.930000</valUSD>
        <pctVal>0.0043166</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>5.373</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
        </identifiers>
        <balance>5883114.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5561774.940000</valUSD>
        <pctVal>0.397592</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2454</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2454 FQ</title>
        <cusip>31392KC38</cusip>
        <identifiers>
          <isin value="US31392KC389"/>
        </identifiers>
        <balance>14614.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14799.110000</valUSD>
        <pctVal>0.0010579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.45292</annualizedRt>
          <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 4821</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4821 FL</title>
        <cusip>3137FHED1</cusip>
        <identifiers>
          <isin value="US3137FHED13"/>
        </identifiers>
        <balance>1113612.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1074981.470000</valUSD>
        <pctVal>0.0768466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75292</annualizedRt>
          <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 G00399 FG 09/25 FIXED 8.5</title>
        <cusip>31283GNQ6</cusip>
        <identifiers>
          <isin value="US31283GNQ63"/>
        </identifiers>
        <balance>223.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>223.690000</valUSD>
        <pctVal>0.000016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA7589 G2 09/51 FIXED 2.5</title>
        <cusip>36179WNE4</cusip>
        <identifiers>
          <isin value="US36179WNE48"/>
        </identifiers>
        <balance>38999996.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34124356.910000</valUSD>
        <pctVal>2.43943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-09-20</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 AU5019 FN 10/43 FIXED 4</title>
        <cusip>3138X4SH4</cusip>
        <identifiers>
          <isin value="US3138X4SH41"/>
        </identifiers>
        <balance>38225.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37160.460000</valUSD>
        <pctVal>0.0026565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 724182 GN 08/39 FIXED 5.5</title>
        <cusip>3620AARB6</cusip>
        <identifiers>
          <isin value="US3620AARB65"/>
        </identifiers>
        <balance>33261.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33536.720000</valUSD>
        <pctVal>0.0023974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 496119 FN 04/29 FIXED 6.5</title>
        <cusip>31382YDY1</cusip>
        <identifiers>
          <isin value="US31382YDY14"/>
        </identifiers>
        <balance>720.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>753.090000</valUSD>
        <pctVal>0.0000538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB0198 FN 04/51 FIXED 3</title>
        <cusip>3140QKGG7</cusip>
        <identifiers>
          <isin value="US3140QKGG72"/>
        </identifiers>
        <balance>3532133.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3133560.540000</valUSD>
        <pctVal>0.224007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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 POOL 080181 G2 03/28 FLOATING VAR</title>
        <cusip>36225CFX9</cusip>
        <identifiers>
          <isin value="US36225CFX92"/>
        </identifiers>
        <balance>1546.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1515.170000</valUSD>
        <pctVal>0.0001083</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 252111 FN 09/28 FIXED 6.5</title>
        <cusip>31371HAL2</cusip>
        <identifiers>
          <isin value="US31371HAL24"/>
        </identifiers>
        <balance>688.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>713.810000</valUSD>
        <pctVal>0.000051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</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>BEAR STEARNS ARM TRUST 2002-11</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2</title>
        <cusip>07384MSJ2</cusip>
        <identifiers>
          <isin value="US07384MSJ26"/>
        </identifiers>
        <balance>827.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>605.880000</valUSD>
        <pctVal>0.0000433</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25001</annualizedRt>
          <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 G30450 FG 01/29 FIXED 6</title>
        <cusip>3128CUQB5</cusip>
        <identifiers>
          <isin value="US3128CUQB59"/>
        </identifiers>
        <balance>1219.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1239.630000</valUSD>
        <pctVal>0.0000886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</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 928206 FN 04/37 FIXED 6</title>
        <cusip>31412LGP9</cusip>
        <identifiers>
          <isin value="US31412LGP94"/>
        </identifiers>
        <balance>2982.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3116.010000</valUSD>
        <pctVal>0.0002228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE0271 FN 08/40 FIXED VAR</title>
        <cusip>31419AJR9</cusip>
        <identifiers>
          <isin value="US31419AJR95"/>
        </identifiers>
        <balance>120702.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122707.300000</valUSD>
        <pctVal>0.0087719</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 005307 G2 02/42 FIXED 5</title>
        <cusip>36202F3Q7</cusip>
        <identifiers>
          <isin value="US36202F3Q72"/>
        </identifiers>
        <balance>113003.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115114.550000</valUSD>
        <pctVal>0.0082291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-20</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 FM0076 FN 03/50 FIXED VAR</title>
        <cusip>3140X3CN6</cusip>
        <identifiers>
          <isin value="US3140X3CN63"/>
        </identifiers>
        <balance>3630384.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3250681.540000</valUSD>
        <pctVal>0.23238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 617739 FN 08/32 FIXED 6</title>
        <cusip>31388XHQ0</cusip>
        <identifiers>
          <isin value="US31388XHQ07"/>
        </identifiers>
        <balance>4980.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5126.800000</valUSD>
        <pctVal>0.0003665</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QD8806 FR 03/52 FIXED 3</title>
        <cusip>3133B6YB0</cusip>
        <identifiers>
          <isin value="US3133B6YB02"/>
        </identifiers>
        <balance>332615.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>294491.460000</valUSD>
        <pctVal>0.0210522</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>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>UCFC MANU HOUSING 1996-1</name>
        <lei>N/A</lei>
        <title>UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M</title>
        <cusip>90263AAF7</cusip>
        <identifiers>
          <isin value="US90263AAF75"/>
        </identifiers>
        <balance>125376.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>112770.230000</valUSD>
        <pctVal>0.0080615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-4</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A</title>
        <cusip>89178BAA2</cusip>
        <identifiers>
          <isin value="US89178BAA26"/>
        </identifiers>
        <balance>6880714.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6470366.760000</valUSD>
        <pctVal>0.462544</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775776 FN 05/34 FIXED 5.5</title>
        <cusip>31404Q2H1</cusip>
        <identifiers>
          <isin value="US31404Q2H11"/>
        </identifiers>
        <balance>2251.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2318.960000</valUSD>
        <pctVal>0.0001658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 772350 FN 03/34 FIXED 5.5</title>
        <cusip>31404MBT4</cusip>
        <identifiers>
          <isin value="US31404MBT45"/>
        </identifiers>
        <balance>63816.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65741.770000</valUSD>
        <pctVal>0.0046996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>LONG BEACH MTGE LOAN TRUST 2004-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1</title>
        <cusip>542514HN7</cusip>
        <identifiers>
          <isin value="US542514HN71"/>
        </identifiers>
        <balance>61845.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59144.100000</valUSD>
        <pctVal>0.004228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.03043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARES LII CLO LTD 2019-52A</name>
        <lei>N/A</lei>
        <title>ARES CLO LTD ARES 2019 52A A1R 144A</title>
        <cusip>04009AAL4</cusip>
        <identifiers>
          <isin value="US04009AAL44"/>
        </identifiers>
        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3792664.590000</valUSD>
        <pctVal>0.271124</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.72354</annualizedRt>
          <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 838689 FN 09/35 FIXED 6.5</title>
        <cusip>31407RXS8</cusip>
        <identifiers>
          <isin value="US31407RXS83"/>
        </identifiers>
        <balance>11296.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11822.350000</valUSD>
        <pctVal>0.0008451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256393 FN 09/36 FIXED 6</title>
        <cusip>31371MXW2</cusip>
        <identifiers>
          <isin value="US31371MXW27"/>
        </identifiers>
        <balance>53528.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55934.130000</valUSD>
        <pctVal>0.0039985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ3615 FN 11/41 FIXED 4</title>
        <cusip>3138AVAR6</cusip>
        <identifiers>
          <isin value="US3138AVAR66"/>
        </identifiers>
        <balance>107565.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104830.820000</valUSD>
        <pctVal>0.007494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 846744 FH 07/24 FLOATING VAR</title>
        <cusip>3128HDP52</cusip>
        <identifiers>
          <isin value="US3128HDP529"/>
        </identifiers>
        <balance>209.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>208.120000</valUSD>
        <pctVal>0.0000149</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.499</annualizedRt>
          <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 080199 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGH3</cusip>
        <identifiers>
          <isin value="US36225CGH34"/>
        </identifiers>
        <balance>1130.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1111.690000</valUSD>
        <pctVal>0.0000795</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 782690 GN 06/39 FIXED 5</title>
        <cusip>36241K7B8</cusip>
        <identifiers>
          <isin value="US36241K7B81"/>
        </identifiers>
        <balance>299173.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302325.960000</valUSD>
        <pctVal>0.0216122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 323702 FN 05/29 FIXED VAR</title>
        <cusip>31374TRX9</cusip>
        <identifiers>
          <isin value="US31374TRX99"/>
        </identifiers>
        <balance>1741.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1801.920000</valUSD>
        <pctVal>0.0001288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91255 FG 06/29 FIXED 4</title>
        <cusip>3128P7MC4</cusip>
        <identifiers>
          <isin value="US3128P7MC46"/>
        </identifiers>
        <balance>10681.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10495.450000</valUSD>
        <pctVal>0.0007503</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>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 904453 FN 11/36 FIXED 6</title>
        <cusip>31411CZS3</cusip>
        <identifiers>
          <isin value="US31411CZS33"/>
        </identifiers>
        <balance>5556.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5753.680000</valUSD>
        <pctVal>0.0004113</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>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 888352 FN 05/37 FIXED VAR</title>
        <cusip>31410F5M3</cusip>
        <identifiers>
          <isin value="US31410F5M37"/>
        </identifiers>
        <balance>1664.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1715.040000</valUSD>
        <pctVal>0.0001226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>STRUCTURED ASSET SEC CORP 2005-AR1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2</title>
        <cusip>86359DVX2</cusip>
        <identifiers>
          <isin value="US86359DVX29"/>
        </identifiers>
        <balance>448787.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>421134.490000</valUSD>
        <pctVal>0.0301054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.16043</annualizedRt>
          <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 903132 FN 10/36 FIXED 6</title>
        <cusip>31411BLM3</cusip>
        <identifiers>
          <isin value="US31411BLM36"/>
        </identifiers>
        <balance>4461.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4648.410000</valUSD>
        <pctVal>0.0003323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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 AL5449 FN 06/44 FIXED VAR</title>
        <cusip>3138ENBT5</cusip>
        <identifiers>
          <isin value="US3138ENBT51"/>
        </identifiers>
        <balance>61601.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61165.450000</valUSD>
        <pctVal>0.0043725</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 776973 FN 04/34 FIXED 5.5</title>
        <cusip>31404SFN0</cusip>
        <identifiers>
          <isin value="US31404SFN09"/>
        </identifiers>
        <balance>167192.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172236.210000</valUSD>
        <pctVal>0.0123126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697141 GN 08/38 FIXED 6.5</title>
        <cusip>36296PP21</cusip>
        <identifiers>
          <isin value="US36296PP214"/>
        </identifiers>
        <balance>6047.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6240.070000</valUSD>
        <pctVal>0.0004461</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 410836 FH 08/30 FLOATING VAR</title>
        <cusip>31337A4V5</cusip>
        <identifiers>
          <isin value="US31337A4V58"/>
        </identifiers>
        <balance>332.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>329.430000</valUSD>
        <pctVal>0.0000235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.455</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALMER SQUARE CLO LTD 2018-2</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE CLO LTD PLMRS 2018 2A A1A 144A</title>
        <cusip>69688MAA3</cusip>
        <identifiers>
          <isin value="US69688MAA36"/>
        </identifiers>
        <balance>2685064.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2689750.180000</valUSD>
        <pctVal>0.192281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75548</annualizedRt>
          <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 BA8482 G2 06/47 FIXED 3.5</title>
        <cusip>3617AMM70</cusip>
        <identifiers>
          <isin value="US3617AMM706"/>
        </identifiers>
        <balance>423731.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400203.300000</valUSD>
        <pctVal>0.0286091</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>3.5</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 735654 FN 10/44 FLOATING VAR</title>
        <cusip>31402RH77</cusip>
        <identifiers>
          <isin value="US31402RH778"/>
        </identifiers>
        <balance>190262.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183958.490000</valUSD>
        <pctVal>0.0131505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 1G2602 FH 10/36 FLOATING VAR</title>
        <cusip>3128QS3K0</cusip>
        <identifiers>
          <isin value="US3128QS3K03"/>
        </identifiers>
        <balance>30125.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29911.500000</valUSD>
        <pctVal>0.0021383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.361</annualizedRt>
          <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 G05179 FG 01/39 FIXED 5.5</title>
        <cusip>3128M7CQ7</cusip>
        <identifiers>
          <isin value="US3128M7CQ72"/>
        </identifiers>
        <balance>692572.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>714493.460000</valUSD>
        <pctVal>0.0510766</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>
        </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 256946 FN 10/27 FIXED 6.5</title>
        <cusip>31371NL37</cusip>
        <identifiers>
          <isin value="US31371NL370"/>
        </identifiers>
        <balance>32839.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33661.530000</valUSD>
        <pctVal>0.0024063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</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>FIRST PLUS HOME LOAN TRUST 1998-3</name>
        <lei>N/A</lei>
        <title>FIRST PLUS HOME LOAN TRUST FPLUS 1998 3 A8</title>
        <cusip>337925DU2</cusip>
        <identifiers>
          <isin value="US337925DU25"/>
        </identifiers>
        <balance>351978.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>98.080000</valUSD>
        <pctVal>0.000007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.67</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 362968 FN 01/26 FLOATING VAR</title>
        <cusip>31376RFH9</cusip>
        <identifiers>
          <isin value="US31376RFH93"/>
        </identifiers>
        <balance>15304.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15208.730000</valUSD>
        <pctVal>0.0010872</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.603</annualizedRt>
          <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 771130 FN 04/34 FIXED 5.5</title>
        <cusip>31404KVX7</cusip>
        <identifiers>
          <isin value="US31404KVX70"/>
        </identifiers>
        <balance>27671.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28506.040000</valUSD>
        <pctVal>0.0020378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>317U28LA8 PIMCO SWAPTION 4.1 PUT USD 20240201</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027C41"/>
        </identifiers>
        <balance>136000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>710028.800000</valUSD>
        <pctVal>0.0507574</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>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <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="SWU01OK93"/>
                    </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/4.10000 02/05/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OK93"/>
                      </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="4.100000"/>
                  <terminationDt>2025-02-05</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>4.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>445848.800000</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 988031 FN 08/38 FIXED 6</title>
        <cusip>31415SSU7</cusip>
        <identifiers>
          <isin value="US31415SSU77"/>
        </identifiers>
        <balance>1776.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1838.830000</valUSD>
        <pctVal>0.0001315</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>
        </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 008844 G2 03/26 FLOATING VAR</title>
        <cusip>36202KZH1</cusip>
        <identifiers>
          <isin value="US36202KZH12"/>
        </identifiers>
        <balance>1737.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1700.740000</valUSD>
        <pctVal>0.0001216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 666750 FN 11/32 FIXED 6</title>
        <cusip>31391GWK8</cusip>
        <identifiers>
          <isin value="US31391GWK83"/>
        </identifiers>
        <balance>1182.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1222.230000</valUSD>
        <pctVal>0.0000874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</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 722831 GN 12/39 FIXED 6</title>
        <cusip>3620A9A84</cusip>
        <identifiers>
          <isin value="US3620A9A848"/>
        </identifiers>
        <balance>8714.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8845.550000</valUSD>
        <pctVal>0.0006323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA4115 FR 11/49 FIXED 3</title>
        <cusip>31339USC5</cusip>
        <identifiers>
          <isin value="US31339USC52"/>
        </identifiers>
        <balance>3011415.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2715660.990000</valUSD>
        <pctVal>0.194133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA9306 FN 02/51 FIXED 3</title>
        <cusip>3140QHKU8</cusip>
        <identifiers>
          <isin value="US3140QHKU81"/>
        </identifiers>
        <balance>12739651.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11283608.180000</valUSD>
        <pctVal>0.806625</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>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 AW8634 G2 04/47 FIXED 3.5</title>
        <cusip>36195XSX5</cusip>
        <identifiers>
          <isin value="US36195XSX56"/>
        </identifiers>
        <balance>367271.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>346502.370000</valUSD>
        <pctVal>0.0247702</pctVal>
        <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>
        </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 751203 FN 01/34 FIXED 5.5</title>
        <cusip>31403KRY1</cusip>
        <identifiers>
          <isin value="US31403KRY19"/>
        </identifiers>
        <balance>2795.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2879.570000</valUSD>
        <pctVal>0.0002059</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 690977 GN 05/38 FIXED 5.5</title>
        <cusip>36296GUA7</cusip>
        <identifiers>
          <isin value="US36296GUA74"/>
        </identifiers>
        <balance>662.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>667.940000</valUSD>
        <pctVal>0.0000477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B</title>
        <cusip>02146YAD8</cusip>
        <identifiers>
          <isin value="US02146YAD85"/>
        </identifiers>
        <balance>255180.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204463.400000</valUSD>
        <pctVal>0.0146164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.6724</annualizedRt>
          <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 G05922 FG 07/39 FIXED 5.5</title>
        <cusip>3128M74F0</cusip>
        <identifiers>
          <isin value="US3128M74F01"/>
        </identifiers>
        <balance>30582.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31551.030000</valUSD>
        <pctVal>0.0022555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254676 FN 03/33 FIXED 6</title>
        <cusip>31371K2H3</cusip>
        <identifiers>
          <isin value="US31371K2H31"/>
        </identifiers>
        <balance>1427.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1483.190000</valUSD>
        <pctVal>0.000106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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 586228 FN 07/31 FIXED 6</title>
        <cusip>31387KHD8</cusip>
        <identifiers>
          <isin value="US31387KHD81"/>
        </identifiers>
        <balance>3005.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3098.500000</valUSD>
        <pctVal>0.0002215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-01</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 677064 GN 07/38 FIXED 5.5</title>
        <cusip>36295QFD7</cusip>
        <identifiers>
          <isin value="US36295QFD79"/>
        </identifiers>
        <balance>72221.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73032.200000</valUSD>
        <pctVal>0.0052208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</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 SD7518 FR 06/50 FIXED 3</title>
        <cusip>3132DVK79</cusip>
        <identifiers>
          <isin value="US3132DVK796"/>
        </identifiers>
        <balance>15327350.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13806254.710000</valUSD>
        <pctVal>0.98696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RENAISSANCE HOME EQ LN TRUST 2002-3</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A</title>
        <cusip>75970NAA5</cusip>
        <identifiers>
          <isin value="US75970NAA54"/>
        </identifiers>
        <balance>16341.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14726.260000</valUSD>
        <pctVal>0.0010527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.23043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE MTGE LOAN 2005-21</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1</title>
        <cusip>863579B49</cusip>
        <identifiers>
          <isin value="US863579B491"/>
        </identifiers>
        <balance>206501.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182644.080000</valUSD>
        <pctVal>0.0130566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.02109</annualizedRt>
          <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 WHOLE LOAN</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 1998 W2 A8</title>
        <cusip>31359UPD1</cusip>
        <identifiers>
          <isin value="US31359UPD18"/>
        </identifiers>
        <balance>25496.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25378.970000</valUSD>
        <pctVal>0.0018143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 785186 FN 06/34 FIXED 5.5</title>
        <cusip>31405CJ75</cusip>
        <identifiers>
          <isin value="US31405CJ753"/>
        </identifiers>
        <balance>11316.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11658.080000</valUSD>
        <pctVal>0.0008334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>WASHINGTON MUTUAL MTGE 2003-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A</title>
        <cusip>92922FAS7</cusip>
        <identifiers>
          <isin value="US92922FAS74"/>
        </identifiers>
        <balance>102187.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94969.510000</valUSD>
        <pctVal>0.006789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.58354</annualizedRt>
          <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 4989</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4989 FB</title>
        <cusip>3137FUKQ6</cusip>
        <identifiers>
          <isin value="US3137FUKQ62"/>
        </identifiers>
        <balance>2862409.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2824619.570000</valUSD>
        <pctVal>0.201922</pctVal>
        <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>
          <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 768550 GN 05/41 FIXED 5</title>
        <cusip>36176KTF4</cusip>
        <identifiers>
          <isin value="US36176KTF48"/>
        </identifiers>
        <balance>46563.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47054.450000</valUSD>
        <pctVal>0.0033638</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>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 BS9746 FN 10/28 FIXED 5.61</title>
        <cusip>3140LLZL8</cusip>
        <identifiers>
          <isin value="US3140LLZL84"/>
        </identifiers>
        <balance>392000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>406201.600000</valUSD>
        <pctVal>0.0290379</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>Fixed</couponKind>
          <annualizedRt>5.61</annualizedRt>
          <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 A40032 FG 09/35 FIXED 5</title>
        <cusip>3128K0A94</cusip>
        <identifiers>
          <isin value="US3128K0A941"/>
        </identifiers>
        <balance>1707.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1738.440000</valUSD>
        <pctVal>0.0001243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>MORTGAGE EQUITY CONVER ASSET TR 2007-FF3</name>
        <lei>N/A</lei>
        <title>MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A</title>
        <cusip>61911GAA2</cusip>
        <identifiers>
          <isin value="US61911GAA22"/>
        </identifiers>
        <balance>4159337.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3985136.550000</valUSD>
        <pctVal>0.284883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.34</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH9315 FN 09/47 FIXED 3.5</title>
        <cusip>3140GYK57</cusip>
        <identifiers>
          <isin value="US3140GYK572"/>
        </identifiers>
        <balance>860706.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>812206.860000</valUSD>
        <pctVal>0.0580618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA4771 G2 10/47 FIXED 4.5</title>
        <cusip>36179TJQ9</cusip>
        <identifiers>
          <isin value="US36179TJQ94"/>
        </identifiers>
        <balance>108170.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105489.750000</valUSD>
        <pctVal>0.0075411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 914458 FN 04/37 FIXED 6</title>
        <cusip>31411S5T9</cusip>
        <identifiers>
          <isin value="US31411S5T98"/>
        </identifiers>
        <balance>10078.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10532.060000</valUSD>
        <pctVal>0.0007529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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 II POOL 080378 G2 02/30 FLOATING VAR</title>
        <cusip>36225CM45</cusip>
        <identifiers>
          <isin value="US36225CM457"/>
        </identifiers>
        <balance>284.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277.860000</valUSD>
        <pctVal>0.0000199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 777438 FN 04/34 FIXED 5.5</title>
        <cusip>31404SV77</cusip>
        <identifiers>
          <isin value="US31404SV773"/>
        </identifiers>
        <balance>2256.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2320.650000</valUSD>
        <pctVal>0.0001659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 313219 FN 11/25 FIXED VAR</title>
        <cusip>31374F4C0</cusip>
        <identifiers>
          <isin value="US31374F4C04"/>
        </identifiers>
        <balance>172.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172.510000</valUSD>
        <pctVal>0.0000123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2000-32</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2000 32 FM</title>
        <cusip>31358SNY3</cusip>
        <identifiers>
          <isin value="US31358SNY36"/>
        </identifiers>
        <balance>7856.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7857.130000</valUSD>
        <pctVal>0.0005617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.90258</annualizedRt>
          <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 AI0141 FN 04/41 FIXED 4</title>
        <cusip>3138ADEP6</cusip>
        <identifiers>
          <isin value="US3138ADEP66"/>
        </identifiers>
        <balance>871455.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>849109.730000</valUSD>
        <pctVal>0.0606998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL4213 FN 09/43 FIXED VAR</title>
        <cusip>3138ELVF7</cusip>
        <identifiers>
          <isin value="US3138ELVF71"/>
        </identifiers>
        <balance>2107408.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2047691.620000</valUSD>
        <pctVal>0.146382</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</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 A34552 FG 04/35 FIXED 4.5</title>
        <cusip>31297QBV0</cusip>
        <identifiers>
          <isin value="US31297QBV05"/>
        </identifiers>
        <balance>2790.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2793.270000</valUSD>
        <pctVal>0.0001997</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>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 703002 GN 04/39 FIXED 4.5</title>
        <cusip>36296WAB2</cusip>
        <identifiers>
          <isin value="US36296WAB28"/>
        </identifiers>
        <balance>11055.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11049.450000</valUSD>
        <pctVal>0.0007899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</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 G04598 FG 10/34 FIXED 5.5</title>
        <cusip>3128M6NP9</cusip>
        <identifiers>
          <isin value="US3128M6NP97"/>
        </identifiers>
        <balance>125.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129.400000</valUSD>
        <pctVal>0.0000093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 C00835 FG 07/29 FIXED 6.5</title>
        <cusip>31292G4U7</cusip>
        <identifiers>
          <isin value="US31292G4U79"/>
        </identifiers>
        <balance>235.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245.190000</valUSD>
        <pctVal>0.0000175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-01</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>FANNIEMAE WHOLE LOAN 2001-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6</title>
        <cusip>313920XZ8</cusip>
        <identifiers>
          <isin value="US313920XZ89"/>
        </identifiers>
        <balance>384.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>385.560000</valUSD>
        <pctVal>0.0000276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.589</annualizedRt>
          <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 080196 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGE0</cusip>
        <identifiers>
          <isin value="US36225CGE03"/>
        </identifiers>
        <balance>1435.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1422.310000</valUSD>
        <pctVal>0.0001017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 863673 FN 03/36 FIXED 6</title>
        <cusip>31408XQ29</cusip>
        <identifiers>
          <isin value="US31408XQ295"/>
        </identifiers>
        <balance>5541.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5790.140000</valUSD>
        <pctVal>0.0004139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032419</cusip>
        <identifiers>
          <isin value="US01F0324198"/>
        </identifiers>
        <balance>93900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90404426.020000</valUSD>
        <pctVal>6.46269</pctVal>
        <payoffProfile>Long</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>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 Q60520 FG 12/48 FIXED 4</title>
        <cusip>3132VLSJ7</cusip>
        <identifiers>
          <isin value="US3132VLSJ77"/>
        </identifiers>
        <balance>1913776.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1846125.060000</valUSD>
        <pctVal>0.131973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHEVY CHASE MTGE FUNDING CORP 2004-1A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A</title>
        <cusip>16678RAV9</cusip>
        <identifiers>
          <isin value="US16678RAV96"/>
        </identifiers>
        <balance>147473.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129170.260000</valUSD>
        <pctVal>0.0092339</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>5.42624</annualizedRt>
          <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 080156 G2 01/28 FLOATING VAR</title>
        <cusip>36225CE69</cusip>
        <identifiers>
          <isin value="US36225CE694"/>
        </identifiers>
        <balance>16541.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16161.630000</valUSD>
        <pctVal>0.0011553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 508450 GN 02/31 FIXED 7.5</title>
        <cusip>36211BZP2</cusip>
        <identifiers>
          <isin value="US36211BZP20"/>
        </identifiers>
        <balance>667.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>674.180000</valUSD>
        <pctVal>0.0000482</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04723 FG 03/38 FIXED 5</title>
        <cusip>3128M6SL3</cusip>
        <identifiers>
          <isin value="US3128M6SL39"/>
        </identifiers>
        <balance>1231.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1253.460000</valUSD>
        <pctVal>0.0000896</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>
          <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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782436 GN 10/38 FIXED 6</title>
        <cusip>36241KV54</cusip>
        <identifiers>
          <isin value="US36241KV540"/>
        </identifiers>
        <balance>7532.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7801.370000</valUSD>
        <pctVal>0.0005577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 MA5128 G2 04/48 FIXED 4.5</title>
        <cusip>36179TVV4</cusip>
        <identifiers>
          <isin value="US36179TVV42"/>
        </identifiers>
        <balance>50592.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49333.300000</valUSD>
        <pctVal>0.0035267</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE5523 FN 02/37 FIXED 4</title>
        <cusip>3140FRD51</cusip>
        <identifiers>
          <isin value="US3140FRD516"/>
        </identifiers>
        <balance>856685.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>835504.830000</valUSD>
        <pctVal>0.0597273</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 BM4521 FN 08/38 FIXED VAR</title>
        <cusip>3140J9AX9</cusip>
        <identifiers>
          <isin value="US3140J9AX90"/>
        </identifiers>
        <balance>1339721.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1305862.570000</valUSD>
        <pctVal>0.0933515</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>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 STRUCTURED PASS THROUGH T-31</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 31 A7</title>
        <cusip>3133TR7C3</cusip>
        <identifiers>
          <isin value="US3133TR7C39"/>
        </identifiers>
        <balance>73599.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73079.420000</valUSD>
        <pctVal>0.0052242</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.70191</annualizedRt>
          <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 779067 GN 04/42 FIXED 3.5</title>
        <cusip>36176XJL4</cusip>
        <identifiers>
          <isin value="US36176XJL47"/>
        </identifiers>
        <balance>30185.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28521.880000</valUSD>
        <pctVal>0.0020389</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-15</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 843026 FN 09/35 FLOATING VAR</title>
        <cusip>31407WSP9</cusip>
        <identifiers>
          <isin value="US31407WSP94"/>
        </identifiers>
        <balance>43259.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43741.880000</valUSD>
        <pctVal>0.003127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.293</annualizedRt>
          <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 BF0262 FN 05/58 FIXED 3</title>
        <cusip>3140FXJG8</cusip>
        <identifiers>
          <isin value="US3140FXJG85"/>
        </identifiers>
        <balance>4763803.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4199348.040000</valUSD>
        <pctVal>0.300196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BA2617 G2 06/47 FIXED 3.5</title>
        <cusip>3617AE4A1</cusip>
        <identifiers>
          <isin value="US3617AE4A18"/>
        </identifiers>
        <balance>478710.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>451640.910000</valUSD>
        <pctVal>0.0322862</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>3.5</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 4394</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4394 WI</title>
        <cusip>3137BEV43</cusip>
        <identifiers>
          <isin value="US3137BEV438"/>
        </identifiers>
        <balance>128623.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7469.090000</valUSD>
        <pctVal>0.0005339</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 657573 FN 10/32 FIXED 6</title>
        <cusip>31390VQ23</cusip>
        <identifiers>
          <isin value="US31390VQ232"/>
        </identifiers>
        <balance>3786.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3902.420000</valUSD>
        <pctVal>0.000279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>N/A</name>
        <lei>N/A</lei>
        <title>317U28IA2 PIMCO SWAPTION 0.979 CALL USD 202402</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027C74"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.230000</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>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
              <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
                    <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/0.97900 02/05/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OJZ7"/>
                    </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/0.97900 02/05/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OJZ7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.979000"/>
                  <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>2034-02-05</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>0.980000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1954.770000</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 832802 FN 09/35 FLOATING VAR</title>
        <cusip>31407KGK9</cusip>
        <identifiers>
          <isin value="US31407KGK97"/>
        </identifiers>
        <balance>3142.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3121.860000</valUSD>
        <pctVal>0.0002232</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.956</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2005-3AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A</title>
        <cusip>61745M4R1</cusip>
        <identifiers>
          <isin value="US61745M4R15"/>
        </identifiers>
        <balance>327779.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>271229.220000</valUSD>
        <pctVal>0.0193892</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.98066</annualizedRt>
          <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 929896 FN 09/38 FIXED 6.5</title>
        <cusip>31412NC95</cusip>
        <identifiers>
          <isin value="US31412NC959"/>
        </identifiers>
        <balance>102343.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106178.370000</valUSD>
        <pctVal>0.0075903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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 POOL AL5064 GN 03/45 FIXED 3</title>
        <cusip>36184BTV9</cusip>
        <identifiers>
          <isin value="US36184BTV98"/>
        </identifiers>
        <balance>64233.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57680.440000</valUSD>
        <pctVal>0.0041234</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>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 AD0485 FN 10/24 FIXED VAR</title>
        <cusip>31418MRF1</cusip>
        <identifiers>
          <isin value="US31418MRF13"/>
        </identifiers>
        <balance>8.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8.680000</valUSD>
        <pctVal>0.0000006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 720739 GN 10/39 FIXED 5.5</title>
        <cusip>3620A6V87</cusip>
        <identifiers>
          <isin value="US3620A6V873"/>
        </identifiers>
        <balance>187692.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191732.810000</valUSD>
        <pctVal>0.0137063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 739755 FN 01/34 FIXED 5.5</title>
        <cusip>31402VZU7</cusip>
        <identifiers>
          <isin value="US31402VZU78"/>
        </identifiers>
        <balance>85954.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87754.130000</valUSD>
        <pctVal>0.0062732</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>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>CENTEX HOME EQUITY 2002-A</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2002 A MV1</title>
        <cusip>152314ER7</cusip>
        <identifiers>
          <isin value="US152314ER70"/>
        </identifiers>
        <balance>159674.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>158273.410000</valUSD>
        <pctVal>0.0113144</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>6.32043</annualizedRt>
          <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 631530 GN 07/34 FIXED 5</title>
        <cusip>36291LST3</cusip>
        <identifiers>
          <isin value="US36291LST34"/>
        </identifiers>
        <balance>1434.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1444.240000</valUSD>
        <pctVal>0.0001032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 819990 FN 04/35 FIXED 6</title>
        <cusip>31406T7B1</cusip>
        <identifiers>
          <isin value="US31406T7B11"/>
        </identifiers>
        <balance>1283.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1320.260000</valUSD>
        <pctVal>0.0000944</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>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 AR2210 FN 05/43 FIXED 4</title>
        <cusip>3138NYN43</cusip>
        <identifiers>
          <isin value="US3138NYN436"/>
        </identifiers>
        <balance>233638.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227355.320000</valUSD>
        <pctVal>0.0162528</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>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 914984 FN 04/37 FIXED 6</title>
        <cusip>31411URD5</cusip>
        <identifiers>
          <isin value="US31411URD53"/>
        </identifiers>
        <balance>6610.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6904.490000</valUSD>
        <pctVal>0.0004936</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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 606323 GN 06/36 FIXED 5.5</title>
        <cusip>36201XSL3</cusip>
        <identifiers>
          <isin value="US36201XSL37"/>
        </identifiers>
        <balance>12784.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12927.050000</valUSD>
        <pctVal>0.0009241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-15</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>SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A</title>
        <cusip>81377JAB9</cusip>
        <identifiers>
          <isin value="US81377JAB98"/>
        </identifiers>
        <balance>2086335.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>475929.060000</valUSD>
        <pctVal>0.0340225</pctVal>
        <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>5.59043</annualizedRt>
          <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>31750NA48 OTC ECAL FN 6.5 MAR24 103.09375 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH49901"/>
        </identifiers>
        <balance>28500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>85118.100000</valUSD>
        <pctVal>0.0060848</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 6.5% MAR 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0626303"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.090000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>65079.040000</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 AE6600 GN 06/43 FIXED 3.5</title>
        <cusip>36181AKM3</cusip>
        <identifiers>
          <isin value="US36181AKM35"/>
        </identifiers>
        <balance>53072.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50084.870000</valUSD>
        <pctVal>0.0035804</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-15</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>RFR USD SOFR/4.19200 11/08/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YVX6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>517523.320000</valUSD>
        <pctVal>0.0369959</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01YVX6-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.192000"/>
            <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>2030-11-08</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-83125.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>12500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>600648.320000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2104</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2104 ZM</title>
        <cusip>3133THB89</cusip>
        <identifiers>
          <isin value="US3133THB897"/>
        </identifiers>
        <balance>52198.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52966.560000</valUSD>
        <pctVal>0.0037864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</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>ELLINGTON LOAN ACQUISITION TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A</title>
        <cusip>288547AA0</cusip>
        <identifiers>
          <isin value="US288547AA09"/>
        </identifiers>
        <balance>885592.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>860748.770000</valUSD>
        <pctVal>0.0615319</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.52043</annualizedRt>
          <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 SD0940 FR 03/52 FIXED 3</title>
        <cusip>3132DNBH5</cusip>
        <identifiers>
          <isin value="US3132DNBH52"/>
        </identifiers>
        <balance>559178.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>495943.300000</valUSD>
        <pctVal>0.0354532</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>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 254796 FN 07/33 FIXED 6.5</title>
        <cusip>31371K7H8</cusip>
        <identifiers>
          <isin value="US31371K7H85"/>
        </identifiers>
        <balance>4606.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4854.940000</valUSD>
        <pctVal>0.0003471</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>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 696940 FN 04/33 FIXED 5.5</title>
        <cusip>31400THR1</cusip>
        <identifiers>
          <isin value="US31400THR14"/>
        </identifiers>
        <balance>3455.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3559.950000</valUSD>
        <pctVal>0.0002545</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 944713 FN 07/37 FIXED 6</title>
        <cusip>31413GAN0</cusip>
        <identifiers>
          <isin value="US31413GAN07"/>
        </identifiers>
        <balance>18599.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19313.050000</valUSD>
        <pctVal>0.0013806</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</annualizedRt>
          <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 BC1180 GN 08/47 FIXED 4</title>
        <cusip>3617B4JZ1</cusip>
        <identifiers>
          <isin value="US3617B4JZ15"/>
        </identifiers>
        <balance>42873.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41433.690000</valUSD>
        <pctVal>0.0029619</pctVal>
        <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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735653 FN 10/44 FLOATING VAR</title>
        <cusip>31402RH69</cusip>
        <identifiers>
          <isin value="US31402RH695"/>
        </identifiers>
        <balance>70210.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66943.400000</valUSD>
        <pctVal>0.0047855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 479449 GN 07/30 FIXED 8.5</title>
        <cusip>36209RTE3</cusip>
        <identifiers>
          <isin value="US36209RTE35"/>
        </identifiers>
        <balance>4879.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4874.560000</valUSD>
        <pctVal>0.0003485</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 779385 GN 06/42 FIXED 3.5</title>
        <cusip>36176XUJ6</cusip>
        <identifiers>
          <isin value="US36176XUJ61"/>
        </identifiers>
        <balance>1655675.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1564468.790000</valUSD>
        <pctVal>0.111838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-15</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F060626</cusip>
        <identifiers>
          <isin value="US01F0606263"/>
        </identifiers>
        <balance>-110200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-111900350.740000</valUSD>
        <pctVal>-7.99936</pctVal>
        <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>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>WASHINGTON MUTUAL 2005-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A</title>
        <cusip>92922FU48</cusip>
        <identifiers>
          <isin value="US92922FU480"/>
        </identifiers>
        <balance>15445.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14629.890000</valUSD>
        <pctVal>0.0010458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 748612 FN 01/34 FIXED 5.5</title>
        <cusip>31403GVD1</cusip>
        <identifiers>
          <isin value="US31403GVD14"/>
        </identifiers>
        <balance>13494.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13901.740000</valUSD>
        <pctVal>0.0009938</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 440805 FN 09/28 FIXED 6</title>
        <cusip>31380HU62</cusip>
        <identifiers>
          <isin value="US31380HU622"/>
        </identifiers>
        <balance>149.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153.990000</valUSD>
        <pctVal>0.000011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</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 POOL 604712 GN 10/33 FIXED 5</title>
        <cusip>36200MYH0</cusip>
        <identifiers>
          <isin value="US36200MYH05"/>
        </identifiers>
        <balance>1284.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1291.990000</valUSD>
        <pctVal>0.0000924</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-15</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 A15829 FG 11/33 FIXED 5.5</title>
        <cusip>31296QPN4</cusip>
        <identifiers>
          <isin value="US31296QPN42"/>
        </identifiers>
        <balance>426.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>437.610000</valUSD>
        <pctVal>0.0000313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 930770 FN 03/29 FIXED 4.5</title>
        <cusip>31412PCF6</cusip>
        <identifiers>
          <isin value="US31412PCF62"/>
        </identifiers>
        <balance>11791.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11694.940000</valUSD>
        <pctVal>0.000836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781987 GN 10/35 FIXED 5.5</title>
        <cusip>36241KF45</cusip>
        <identifiers>
          <isin value="US36241KF451"/>
        </identifiers>
        <balance>22928.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22769.230000</valUSD>
        <pctVal>0.0016277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-15</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-102</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 102 PI</title>
        <cusip>38379NWK4</cusip>
        <identifiers>
          <isin value="US38379NWK44"/>
        </identifiers>
        <balance>988865.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99204.340000</valUSD>
        <pctVal>0.0070918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01051 FG 09/30 FIXED 8</title>
        <cusip>31292HEY6</cusip>
        <identifiers>
          <isin value="US31292HEY62"/>
        </identifiers>
        <balance>228.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>240.480000</valUSD>
        <pctVal>0.0000172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A37326 FG 09/35 FIXED 5</title>
        <cusip>31297TD75</cusip>
        <identifiers>
          <isin value="US31297TD751"/>
        </identifiers>
        <balance>16479.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16776.330000</valUSD>
        <pctVal>0.0011993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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 555254 FN 01/33 FIXED VAR</title>
        <cusip>31385WZT9</cusip>
        <identifiers>
          <isin value="US31385WZT97"/>
        </identifiers>
        <balance>929.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>967.950000</valUSD>
        <pctVal>0.0000692</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 868993 FN 05/36 FLOATING VAR</title>
        <cusip>31409ENJ6</cusip>
        <identifiers>
          <isin value="US31409ENJ63"/>
        </identifiers>
        <balance>16225.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16454.710000</valUSD>
        <pctVal>0.0011763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.685</annualizedRt>
          <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 867653 FN 05/36 FIXED 6</title>
        <cusip>31409C5N1</cusip>
        <identifiers>
          <isin value="US31409C5N19"/>
        </identifiers>
        <balance>5196.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5353.010000</valUSD>
        <pctVal>0.0003827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 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>884334.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53265.240000</valUSD>
        <pctVal>0.0038077</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 677323 GN 09/38 FIXED 6.5</title>
        <cusip>36295QPG9</cusip>
        <identifiers>
          <isin value="US36295QPG90"/>
        </identifiers>
        <balance>179.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>185.180000</valUSD>
        <pctVal>0.0000132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 990924 FN 09/38 FIXED 5.5</title>
        <cusip>31415VYV1</cusip>
        <identifiers>
          <isin value="US31415VYV16"/>
        </identifiers>
        <balance>138198.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142381.000000</valUSD>
        <pctVal>0.0101783</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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 G04845 FG 05/36 FIXED 6</title>
        <cusip>3128M6WE4</cusip>
        <identifiers>
          <isin value="US3128M6WE40"/>
        </identifiers>
        <balance>1292765.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1353215.540000</valUSD>
        <pctVal>0.0967366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</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 BM1931 FN 07/47 FIXED VAR</title>
        <cusip>3140J6ED5</cusip>
        <identifiers>
          <isin value="US3140J6ED51"/>
        </identifiers>
        <balance>157441.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160055.090000</valUSD>
        <pctVal>0.0114418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 677596 GN 12/37 FIXED 6</title>
        <cusip>36295QXZ8</cusip>
        <identifiers>
          <isin value="US36295QXZ89"/>
        </identifiers>
        <balance>1183.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1204.950000</valUSD>
        <pctVal>0.0000861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/1.84000 07/15/22-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01G845"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3628509.050000</valUSD>
        <pctVal>0.259389</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01G845-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="1.840000"/>
            <terminationDt>2032-07-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>26700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3628509.050000</unrealizedAppr>
          </swapDeriv>
        </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 D97829 FG 06/28 FIXED 5</title>
        <cusip>3128E4VW9</cusip>
        <identifiers>
          <isin value="US3128E4VW97"/>
        </identifiers>
        <balance>22620.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22484.460000</valUSD>
        <pctVal>0.0016073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-01</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 776704 FN 05/34 FIXED 5.5</title>
        <cusip>31404R3M7</cusip>
        <identifiers>
          <isin value="US31404R3M78"/>
        </identifiers>
        <balance>235059.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>242150.190000</valUSD>
        <pctVal>0.0173105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 G02788 FG 03/37 FIXED 5.5</title>
        <cusip>3128M4ND1</cusip>
        <identifiers>
          <isin value="US3128M4ND10"/>
        </identifiers>
        <balance>10003.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10319.890000</valUSD>
        <pctVal>0.0007377</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>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 C90804 FG 03/24 FIXED 5</title>
        <cusip>31335H3M3</cusip>
        <identifiers>
          <isin value="US31335H3M34"/>
        </identifiers>
        <balance>5356.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5337.650000</valUSD>
        <pctVal>0.0003816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008847 G2 04/26 FLOATING VAR</title>
        <cusip>36202KZL2</cusip>
        <identifiers>
          <isin value="US36202KZL24"/>
        </identifiers>
        <balance>558.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>554.920000</valUSD>
        <pctVal>0.0000397</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 MA3310 G2 12/45 FIXED 3.5</title>
        <cusip>36179RVB2</cusip>
        <identifiers>
          <isin value="US36179RVB22"/>
        </identifiers>
        <balance>4241200.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4000750.530000</valUSD>
        <pctVal>0.286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A35745 FG 06/35 FIXED 5.5</title>
        <cusip>31297RL21</cusip>
        <identifiers>
          <isin value="US31297RL212"/>
        </identifiers>
        <balance>54562.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56288.250000</valUSD>
        <pctVal>0.0040238</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 713947 FN 05/33 FIXED 5.5</title>
        <cusip>31401PEU4</cusip>
        <identifiers>
          <isin value="US31401PEU49"/>
        </identifiers>
        <balance>6950.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7096.290000</valUSD>
        <pctVal>0.0005073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>RENAISSANCE HOME EQUITY LOAN TR 2004-3</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A</title>
        <cusip>759950DY1</cusip>
        <identifiers>
          <isin value="US759950DY16"/>
        </identifiers>
        <balance>124184.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111477.040000</valUSD>
        <pctVal>0.0079691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.19043</annualizedRt>
          <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 787239 FH 07/30 FLOATING VAR</title>
        <cusip>31295LBG6</cusip>
        <identifiers>
          <isin value="US31295LBG68"/>
        </identifiers>
        <balance>1929.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1926.810000</valUSD>
        <pctVal>0.0001377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.877</annualizedRt>
          <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 686776 GN 06/38 FIXED 6.5</title>
        <cusip>36296B6M9</cusip>
        <identifiers>
          <isin value="US36296B6M90"/>
        </identifiers>
        <balance>19056.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19731.160000</valUSD>
        <pctVal>0.0014105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</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 899681 FN 08/37 FIXED 6.5</title>
        <cusip>31410WRA8</cusip>
        <identifiers>
          <isin value="US31410WRA89"/>
        </identifiers>
        <balance>27600.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28880.700000</valUSD>
        <pctVal>0.0020646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735754 FN 07/35 FLOATING VAR</title>
        <cusip>31402RMB2</cusip>
        <identifiers>
          <isin value="US31402RMB23"/>
        </identifiers>
        <balance>25350.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25058.510000</valUSD>
        <pctVal>0.0017913</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>5.817</annualizedRt>
          <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 737184 GN 04/40 FIXED 5.5</title>
        <cusip>3620AQ6V0</cusip>
        <identifiers>
          <isin value="US3620AQ6V01"/>
        </identifiers>
        <balance>133713.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135212.970000</valUSD>
        <pctVal>0.0096659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</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 QG5089 FR 06/53 FIXED 5</title>
        <cusip>3133C5UN9</cusip>
        <identifiers>
          <isin value="US3133C5UN92"/>
        </identifiers>
        <balance>252959.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>252243.940000</valUSD>
        <pctVal>0.018032</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>
        </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 AS9646 FN 05/37 FIXED 4</title>
        <cusip>3138WKWG6</cusip>
        <identifiers>
          <isin value="US3138WKWG60"/>
        </identifiers>
        <balance>3422894.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3344458.980000</valUSD>
        <pctVal>0.239084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q01226 FG 06/41 FIXED 5</title>
        <cusip>3132GELF5</cusip>
        <identifiers>
          <isin value="US3132GELF50"/>
        </identifiers>
        <balance>5111.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5197.730000</valUSD>
        <pctVal>0.0003716</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>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>01F032625</cusip>
        <identifiers>
          <isin value="US01F0326250"/>
        </identifiers>
        <balance>49800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45738187.500000</valUSD>
        <pctVal>3.26966</pctVal>
        <payoffProfile>Long</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 674740 FN 01/33 FIXED 6</title>
        <cusip>31391RS52</cusip>
        <identifiers>
          <isin value="US31391RS523"/>
        </identifiers>
        <balance>69337.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71543.190000</valUSD>
        <pctVal>0.0051144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 991086 FN 11/38 FIXED 6.5</title>
        <cusip>31415V6X8</cusip>
        <identifiers>
          <isin value="US31415V6X88"/>
        </identifiers>
        <balance>38251.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39819.350000</valUSD>
        <pctVal>0.0028465</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</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 POOL 688088 GN 11/38 FIXED 6.5</title>
        <cusip>36296DND6</cusip>
        <identifiers>
          <isin value="US36296DND65"/>
        </identifiers>
        <balance>14261.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14715.390000</valUSD>
        <pctVal>0.001052</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>EATON VANCE CLO 2020-1 LTD</name>
        <lei>N/A</lei>
        <title>EATON VANCE CDO LTD EATON 2020 1A AR 144A</title>
        <cusip>278300AJ7</cusip>
        <identifiers>
          <isin value="US278300AJ73"/>
        </identifiers>
        <balance>3200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3193412.060000</valUSD>
        <pctVal>0.228286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.82548</annualizedRt>
          <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 003918 G2 11/36 FIXED 5</title>
        <cusip>36202EK73</cusip>
        <identifiers>
          <isin value="US36202EK738"/>
        </identifiers>
        <balance>20194.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20582.160000</valUSD>
        <pctVal>0.0014713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BK3275 G2 11/48 FIXED 4.5</title>
        <cusip>3617J3T84</cusip>
        <identifiers>
          <isin value="US3617J3T847"/>
        </identifiers>
        <balance>42620.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41410.590000</valUSD>
        <pctVal>0.0029603</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-20</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>FANNIE MAE 2002-21</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 21 FC</title>
        <cusip>31392CRC0</cusip>
        <identifiers>
          <isin value="US31392CRC00"/>
        </identifiers>
        <balance>4210.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4237.860000</valUSD>
        <pctVal>0.0003029</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>6.35191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERT 2006-20E</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2006 20E 1</title>
        <cusip>83162CQG1</cusip>
        <identifiers>
          <isin value="US83162CQG14"/>
        </identifiers>
        <balance>34618.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34372.090000</valUSD>
        <pctVal>0.0024571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-2206</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2206 Z</title>
        <cusip>3133TN4S0</cusip>
        <identifiers>
          <isin value="US3133TN4S09"/>
        </identifiers>
        <balance>27367.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28665.180000</valUSD>
        <pctVal>0.0020492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0644 FN 12/25 FIXED 4.5</title>
        <cusip>31417YWE3</cusip>
        <identifiers>
          <isin value="US31417YWE30"/>
        </identifiers>
        <balance>5522.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5495.490000</valUSD>
        <pctVal>0.0003929</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847709 FH 07/35 FLOATING VAR</title>
        <cusip>3128JRR65</cusip>
        <identifiers>
          <isin value="US3128JRR653"/>
        </identifiers>
        <balance>93018.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94642.460000</valUSD>
        <pctVal>0.0067657</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>5.967</annualizedRt>
          <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 410987 GN 02/39 FIXED 5.5</title>
        <cusip>36206GRG7</cusip>
        <identifiers>
          <isin value="US36206GRG72"/>
        </identifiers>
        <balance>6703.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6759.180000</valUSD>
        <pctVal>0.0004832</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>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>BLUEMOUNTAIN CLO LTD 2013-2A</name>
        <lei>N/A</lei>
        <title>BLUEMOUNTAIN CLO LTD BLUEM 2013 2A A1R 144A</title>
        <cusip>09626YAN0</cusip>
        <identifiers>
          <isin value="US09626YAN04"/>
        </identifiers>
        <balance>2762343.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2763634.650000</valUSD>
        <pctVal>0.197562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.85354</annualizedRt>
          <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 303744 FN 02/31 FLOATING VAR</title>
        <cusip>31373ULZ8</cusip>
        <identifiers>
          <isin value="US31373ULZ83"/>
        </identifiers>
        <balance>19922.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19506.830000</valUSD>
        <pctVal>0.0013945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <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 490213 GN 07/29 FIXED 6.5</title>
        <cusip>36210ESA8</cusip>
        <identifiers>
          <isin value="US36210ESA81"/>
        </identifiers>
        <balance>1173.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1212.160000</valUSD>
        <pctVal>0.0000867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-15</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 698060 GN 02/39 FIXED 5.5</title>
        <cusip>36296QQM4</cusip>
        <identifiers>
          <isin value="US36296QQM41"/>
        </identifiers>
        <balance>30974.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31322.380000</valUSD>
        <pctVal>0.0022391</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AB7792 GN 11/42 FIXED 3.5</title>
        <cusip>36178UUR2</cusip>
        <identifiers>
          <isin value="US36178UUR21"/>
        </identifiers>
        <balance>7459.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7048.690000</valUSD>
        <pctVal>0.0005039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-15</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 623611 FN 02/32 FIXED 6</title>
        <cusip>31389EYG4</cusip>
        <identifiers>
          <isin value="US31389EYG42"/>
        </identifiers>
        <balance>77026.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79056.820000</valUSD>
        <pctVal>0.0056515</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>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 716768 GN 04/39 FIXED 5</title>
        <cusip>3620A2JM9</cusip>
        <identifiers>
          <isin value="US3620A2JM91"/>
        </identifiers>
        <balance>35487.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35332.010000</valUSD>
        <pctVal>0.0025258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 722785 GN 10/39 FIXED 6</title>
        <cusip>3620A86W8</cusip>
        <identifiers>
          <isin value="US3620A86W86"/>
        </identifiers>
        <balance>4543.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4621.400000</valUSD>
        <pctVal>0.0003304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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 782560 GN 02/39 FIXED 5.5</title>
        <cusip>36241KZZ4</cusip>
        <identifiers>
          <isin value="US36241KZZ47"/>
        </identifiers>
        <balance>54449.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55056.350000</valUSD>
        <pctVal>0.0039358</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 716305 GN 06/39 FIXED 5</title>
        <cusip>3620A1YA0</cusip>
        <identifiers>
          <isin value="US3620A1YA06"/>
        </identifiers>
        <balance>5223.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5278.730000</valUSD>
        <pctVal>0.0003774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 732484 GN 02/40 FIXED 6</title>
        <cusip>3620AKXM3</cusip>
        <identifiers>
          <isin value="US3620AKXM39"/>
        </identifiers>
        <balance>21960.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22283.860000</valUSD>
        <pctVal>0.001593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</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 486844 GN 01/29 FIXED 6.5</title>
        <cusip>36210AZH3</cusip>
        <identifiers>
          <isin value="US36210AZH30"/>
        </identifiers>
        <balance>1852.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1906.360000</valUSD>
        <pctVal>0.0001363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</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>JP MORGAN MORTGAGE TRUST 2021-LTV6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A</title>
        <cusip>46654FAD0</cusip>
        <identifiers>
          <isin value="US46654FAD06"/>
        </identifiers>
        <balance>5962897.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5120951.650000</valUSD>
        <pctVal>0.366079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080047 G2 02/27 FLOATING VAR</title>
        <cusip>36225CBR6</cusip>
        <identifiers>
          <isin value="US36225CBR60"/>
        </identifiers>
        <balance>8711.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8532.330000</valUSD>
        <pctVal>0.0006099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 782156 G2 05/37 FIXED 5</title>
        <cusip>36241KMD7</cusip>
        <identifiers>
          <isin value="US36241KMD71"/>
        </identifiers>
        <balance>23562.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24007.610000</valUSD>
        <pctVal>0.0017162</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004015 G2 08/37 FIXED 5</title>
        <cusip>36202EN88</cusip>
        <identifiers>
          <isin value="US36202EN880"/>
        </identifiers>
        <balance>29500.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30058.240000</valUSD>
        <pctVal>0.0021488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-20</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 764229 FN 01/34 FIXED 6.5</title>
        <cusip>31404CA67</cusip>
        <identifiers>
          <isin value="US31404CA672"/>
        </identifiers>
        <balance>2946.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3062.250000</valUSD>
        <pctVal>0.0002189</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>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 BG9709 GN 07/48 FIXED 4</title>
        <cusip>3617GUYE8</cusip>
        <identifiers>
          <isin value="US3617GUYE84"/>
        </identifiers>
        <balance>112280.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110960.720000</valUSD>
        <pctVal>0.0079322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A37999 FG 10/35 FIXED 4.5</title>
        <cusip>31297T3G6</cusip>
        <identifiers>
          <isin value="US31297T3G62"/>
        </identifiers>
        <balance>268.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266.830000</valUSD>
        <pctVal>0.0000191</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AA3699 GN 08/42 FIXED 3.5</title>
        <cusip>36178BDC6</cusip>
        <identifiers>
          <isin value="US36178BDC63"/>
        </identifiers>
        <balance>306593.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>289697.180000</valUSD>
        <pctVal>0.0207094</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 IB</title>
        <cusip>38379FE39</cusip>
        <identifiers>
          <isin value="US38379FE393"/>
        </identifiers>
        <balance>2769301.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>281780.880000</valUSD>
        <pctVal>0.0201435</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02424 FG 12/36 FIXED 5.5</title>
        <cusip>3128M4AZ6</cusip>
        <identifiers>
          <isin value="US3128M4AZ68"/>
        </identifiers>
        <balance>128293.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132351.990000</valUSD>
        <pctVal>0.0094614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080113 G2 09/27 FLOATING VAR</title>
        <cusip>36225CDT0</cusip>
        <identifiers>
          <isin value="US36225CDT09"/>
        </identifiers>
        <balance>345.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342.510000</valUSD>
        <pctVal>0.0000245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-20</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>FANNIEMAE GRANTOR TRUST 2003-T4</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2003 T4 1A</title>
        <cusip>31393AU96</cusip>
        <identifiers>
          <isin value="US31393AU968"/>
        </identifiers>
        <balance>4025.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3897.840000</valUSD>
        <pctVal>0.0002786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.4513</annualizedRt>
          <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 U63001 FG 07/43 FIXED 3</title>
        <cusip>3132JRKN7</cusip>
        <identifiers>
          <isin value="US3132JRKN79"/>
        </identifiers>
        <balance>1185613.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1075180.680000</valUSD>
        <pctVal>0.0768609</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>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>317U4J8A7 PIMCO SWAPTION 5.5 PUT USD 20240514</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002YFC1"/>
        </identifiers>
        <balance>63300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4810.800000</valUSD>
        <pctVal>0.0003439</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/5.50000 05/16/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01Z520"/>
                    </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/5.50000 05/16/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01Z520"/>
                      </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="5.500000"/>
                  <terminationDt>2025-05-16</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-05-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-28105.200000</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 BS8097 FN 04/33 FIXED 4.7</title>
        <cusip>3140LJ7K6</cusip>
        <identifiers>
          <isin value="US3140LJ7K61"/>
        </identifiers>
        <balance>1467000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1480113.030000</valUSD>
        <pctVal>0.105808</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>MELLON RESIDENTIAL FUNDING CO 2001-TBC1</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 B1</title>
        <cusip>585525FE3</cusip>
        <identifiers>
          <isin value="US585525FE39"/>
        </identifiers>
        <balance>9116.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8207.880000</valUSD>
        <pctVal>0.0005868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.35629</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-6</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A</title>
        <cusip>41161UAJ1</cusip>
        <identifiers>
          <isin value="US41161UAJ16"/>
        </identifiers>
        <balance>20339.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19295.980000</valUSD>
        <pctVal>0.0013794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.72455</annualizedRt>
          <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 682904 GN 10/40 FIXED 6</title>
        <cusip>36295WU54</cusip>
        <identifiers>
          <isin value="US36295WU543"/>
        </identifiers>
        <balance>37459.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37969.430000</valUSD>
        <pctVal>0.0027143</pctVal>
        <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>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 658394 FN 06/33 FIXED 6</title>
        <cusip>31390WNK4</cusip>
        <identifiers>
          <isin value="US31390WNK44"/>
        </identifiers>
        <balance>138.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143.070000</valUSD>
        <pctVal>0.0000102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</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 711090 FN 07/33 FIXED 5.5</title>
        <cusip>31401K7B5</cusip>
        <identifiers>
          <isin value="US31401K7B52"/>
        </identifiers>
        <balance>8326.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8579.940000</valUSD>
        <pctVal>0.0006133</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>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 G04613 FG 10/37 FIXED 6</title>
        <cusip>3128M6N61</cusip>
        <identifiers>
          <isin value="US3128M6N618"/>
        </identifiers>
        <balance>2451.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2564.410000</valUSD>
        <pctVal>0.0001833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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 008682 G2 08/25 FLOATING VAR</title>
        <cusip>36202KUF0</cusip>
        <identifiers>
          <isin value="US36202KUF01"/>
        </identifiers>
        <balance>265.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>262.210000</valUSD>
        <pctVal>0.0000187</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 313343 FN 02/27 FLOATING VAR</title>
        <cusip>31374GBL0</cusip>
        <identifiers>
          <isin value="US31374GBL05"/>
        </identifiers>
        <balance>2926.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2894.940000</valUSD>
        <pctVal>0.0002069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.301</annualizedRt>
          <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 008619 G2 04/25 FLOATING VAR</title>
        <cusip>36202KSG1</cusip>
        <identifiers>
          <isin value="US36202KSG12"/>
        </identifiers>
        <balance>136.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135.140000</valUSD>
        <pctVal>0.0000097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 BB8329 G2 08/47 FIXED 3.5</title>
        <cusip>3617B0HE8</cusip>
        <identifiers>
          <isin value="US3617B0HE81"/>
        </identifiers>
        <balance>755523.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>712799.930000</valUSD>
        <pctVal>0.0509555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A56993 FG 02/37 FIXED 5</title>
        <cusip>3128KKXW4</cusip>
        <identifiers>
          <isin value="US3128KKXW40"/>
        </identifiers>
        <balance>68664.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69529.820000</valUSD>
        <pctVal>0.0049704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>INDYMAC INDX MTGE LOAN TRUST 2006-AR19</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR19 3A1</title>
        <cusip>45660GAG5</cusip>
        <identifiers>
          <isin value="US45660GAG55"/>
        </identifiers>
        <balance>6920425.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5967417.870000</valUSD>
        <pctVal>0.42659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.90446</annualizedRt>
          <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 323835 FN 05/29 FIXED VAR</title>
        <cusip>31374TV48</cusip>
        <identifiers>
          <isin value="US31374TV487"/>
        </identifiers>
        <balance>293.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>301.340000</valUSD>
        <pctVal>0.0000215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM5034 FN 12/33 FIXED VAR</title>
        <cusip>3140J9SY8</cusip>
        <identifiers>
          <isin value="US3140J9SY81"/>
        </identifiers>
        <balance>2401693.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2385314.360000</valUSD>
        <pctVal>0.170518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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 G06729 FG 08/40 FIXED 5.5</title>
        <cusip>3128M8Y24</cusip>
        <identifiers>
          <isin value="US3128M8Y249"/>
        </identifiers>
        <balance>79354.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81867.650000</valUSD>
        <pctVal>0.0058524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 5 JUMBOS</title>
        <cusip>21H050615</cusip>
        <identifiers>
          <isin value="US21H0506152"/>
        </identifiers>
        <balance>32300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32077977.880000</valUSD>
        <pctVal>2.29314</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>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 618650 GN 09/36 FIXED 6.5</title>
        <cusip>36290VH31</cusip>
        <identifiers>
          <isin value="US36290VH311"/>
        </identifiers>
        <balance>581.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>602.110000</valUSD>
        <pctVal>0.000043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</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>CHEVY CHASE MTGE FUNDING CORP 2004-3A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A</title>
        <cusip>16678RBU0</cusip>
        <identifiers>
          <isin value="US16678RBU05"/>
        </identifiers>
        <balance>80113.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74917.810000</valUSD>
        <pctVal>0.0053556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.72043</annualizedRt>
          <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 080201 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGK6</cusip>
        <identifiers>
          <isin value="US36225CGK62"/>
        </identifiers>
        <balance>5169.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5106.640000</valUSD>
        <pctVal>0.0003651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BC9901 G2 11/47 FIXED 3.5</title>
        <cusip>3617BEAA3</cusip>
        <identifiers>
          <isin value="US3617BEAA32"/>
        </identifiers>
        <balance>696212.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>657924.680000</valUSD>
        <pctVal>0.0470327</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS1073 FN 03/52 FIXED VAR</title>
        <cusip>3140XGFP9</cusip>
        <identifiers>
          <isin value="US3140XGFP95"/>
        </identifiers>
        <balance>4068930.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3600457.030000</valUSD>
        <pctVal>0.257384</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>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>WASHINGTON MUTUAL 2005-AR15</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1</title>
        <cusip>92922F5T1</cusip>
        <identifiers>
          <isin value="US92922F5T14"/>
        </identifiers>
        <balance>422730.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>384753.700000</valUSD>
        <pctVal>0.0275047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE6619 FN 10/25 FIXED 3.5</title>
        <cusip>31419HK92</cusip>
        <identifiers>
          <isin value="US31419HK926"/>
        </identifiers>
        <balance>53012.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51701.320000</valUSD>
        <pctVal>0.0036959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE</title>
        <cusip>38380AUU9</cusip>
        <identifiers>
          <isin value="US38380AUU95"/>
        </identifiers>
        <balance>241232.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40884.380000</valUSD>
        <pctVal>0.0029227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-20</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 692176 GN 07/39 FIXED 6.5</title>
        <cusip>36296H6M6</cusip>
        <identifiers>
          <isin value="US36296H6M63"/>
        </identifiers>
        <balance>391.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414.380000</valUSD>
        <pctVal>0.0000296</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>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 937896 FN 07/37 FIXED 6</title>
        <cusip>31412XNM2</cusip>
        <identifiers>
          <isin value="US31412XNM29"/>
        </identifiers>
        <balance>20939.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21882.160000</valUSD>
        <pctVal>0.0015643</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</annualizedRt>
          <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 MTG 2142</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2142 Z</title>
        <cusip>3133TKDP2</cusip>
        <identifiers>
          <isin value="US3133TKDP21"/>
        </identifiers>
        <balance>11900.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11936.020000</valUSD>
        <pctVal>0.0008533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</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 449010 GN 08/27 FIXED 8.5</title>
        <cusip>36208EYF4</cusip>
        <identifiers>
          <isin value="US36208EYF41"/>
        </identifiers>
        <balance>28589.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28722.070000</valUSD>
        <pctVal>0.0020532</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>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 942912 FN 08/37 FIXED 6</title>
        <cusip>31413EAM7</cusip>
        <identifiers>
          <isin value="US31413EAM75"/>
        </identifiers>
        <balance>26009.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26790.960000</valUSD>
        <pctVal>0.0019152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 751965 FN 11/33 FIXED 6.5</title>
        <cusip>31403LMN8</cusip>
        <identifiers>
          <isin value="US31403LMN81"/>
        </identifiers>
        <balance>1071.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1106.910000</valUSD>
        <pctVal>0.0000791</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 702849 FN 04/33 FIXED 6</title>
        <cusip>31401AZN0</cusip>
        <identifiers>
          <isin value="US31401AZN08"/>
        </identifiers>
        <balance>3622.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3742.500000</valUSD>
        <pctVal>0.0002675</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04624 FG 02/33 FIXED 6</title>
        <cusip>3128M6PH5</cusip>
        <identifiers>
          <isin value="US3128M6PH53"/>
        </identifiers>
        <balance>15367.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15894.580000</valUSD>
        <pctVal>0.0011362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 844610 FN 12/35 FIXED 6</title>
        <cusip>31407YKX6</cusip>
        <identifiers>
          <isin value="US31407YKX66"/>
        </identifiers>
        <balance>6827.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7094.410000</valUSD>
        <pctVal>0.0005072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008880 G2 06/26 FLOATING VAR</title>
        <cusip>36202K2M6</cusip>
        <identifiers>
          <isin value="US36202K2M69"/>
        </identifiers>
        <balance>5479.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5417.740000</valUSD>
        <pctVal>0.0003873</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 G03290 FG 08/36 FIXED 5.5</title>
        <cusip>3128M47B3</cusip>
        <identifiers>
          <isin value="US3128M47B33"/>
        </identifiers>
        <balance>8603.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8875.630000</valUSD>
        <pctVal>0.0006345</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 892558 FN 07/36 FIXED 6</title>
        <cusip>31410NTP3</cusip>
        <identifiers>
          <isin value="US31410NTP32"/>
        </identifiers>
        <balance>8940.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9316.340000</valUSD>
        <pctVal>0.000666</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</annualizedRt>
          <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 456455 FN 01/29 FIXED 6.5</title>
        <cusip>31381CBY2</cusip>
        <identifiers>
          <isin value="US31381CBY21"/>
        </identifiers>
        <balance>326.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>339.600000</valUSD>
        <pctVal>0.0000243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</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>317U2FSA5 PIMCO SWAPTION 2.4325 CALL USD 20240</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0029834"/>
        </identifiers>
        <balance>12100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6118.970000</valUSD>
        <pctVal>0.0004374</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>Call</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/2.43250 02/29/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01P7U8"/>
                    </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/2.43250 02/29/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01P7U8"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.432500"/>
                  <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>2034-02-28</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>2.430000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-83421.030000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A45408 FG 06/35 FIXED 6.5</title>
        <cusip>3128K6AH3</cusip>
        <identifiers>
          <isin value="US3128K6AH39"/>
        </identifiers>
        <balance>6860.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7181.010000</valUSD>
        <pctVal>0.0005133</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>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 456276 FN 12/28 FIXED 6</title>
        <cusip>31381B2H1</cusip>
        <identifiers>
          <isin value="US31381B2H13"/>
        </identifiers>
        <balance>184.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190.400000</valUSD>
        <pctVal>0.0000136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A</title>
        <cusip>126671ZD1</cusip>
        <identifiers>
          <isin value="US126671ZD15"/>
        </identifiers>
        <balance>888350.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>878272.630000</valUSD>
        <pctVal>0.0627846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.47043</annualizedRt>
          <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 BS8724 FN 07/33 FIXED 4.63</title>
        <cusip>3140LKVS9</cusip>
        <identifiers>
          <isin value="US3140LKVS90"/>
        </identifiers>
        <balance>3491568.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3535010.050000</valUSD>
        <pctVal>0.252705</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>4.63</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1</title>
        <cusip>07386UAM4</cusip>
        <identifiers>
          <isin value="US07386UAM45"/>
        </identifiers>
        <balance>501426.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>475550.440000</valUSD>
        <pctVal>0.0339954</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>6.27043</annualizedRt>
          <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 008387 G2 03/24 FLOATING VAR</title>
        <cusip>36202KJ89</cusip>
        <identifiers>
          <isin value="US36202KJ893"/>
        </identifiers>
        <balance>127.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>126.750000</valUSD>
        <pctVal>0.0000091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU0485 FN 06/43 FIXED 4</title>
        <cusip>3138WZRF1</cusip>
        <identifiers>
          <isin value="US3138WZRF12"/>
        </identifiers>
        <balance>784136.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>763054.060000</valUSD>
        <pctVal>0.054548</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>
        </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 C91149 FG 01/28 FIXED 6</title>
        <cusip>3128P7H22</cusip>
        <identifiers>
          <isin value="US3128P7H227"/>
        </identifiers>
        <balance>8647.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8793.160000</valUSD>
        <pctVal>0.0006286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-ACES 2020-M33</name>
        <lei>N/A</lei>
        <title>FANNIEMAE ACES FNA 2020 M33 X2</title>
        <cusip>3136BBAR3</cusip>
        <identifiers>
          <isin value="US3136BBAR38"/>
        </identifiers>
        <balance>6654973.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>529590.440000</valUSD>
        <pctVal>0.0378585</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>Variable</couponKind>
          <annualizedRt>2.24166</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1</title>
        <cusip>07384YPX8</cusip>
        <identifiers>
          <isin value="US07384YPX84"/>
        </identifiers>
        <balance>361950.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>353710.440000</valUSD>
        <pctVal>0.0252855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.44543</annualizedRt>
          <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 902851 FN 12/36 FIXED 6.5</title>
        <cusip>31411BBU6</cusip>
        <identifiers>
          <isin value="US31411BBU61"/>
        </identifiers>
        <balance>78276.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81760.010000</valUSD>
        <pctVal>0.0058447</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5166 FR 07/42 FIXED 3</title>
        <cusip>3133KYW39</cusip>
        <identifiers>
          <isin value="US3133KYW392"/>
        </identifiers>
        <balance>689200.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>629061.440000</valUSD>
        <pctVal>0.0449694</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>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 POOL 782365 GN 07/38 FIXED 6</title>
        <cusip>36241KTW8</cusip>
        <identifiers>
          <isin value="US36241KTW89"/>
        </identifiers>
        <balance>17666.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18293.980000</valUSD>
        <pctVal>0.0013078</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</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>SOUND POINT CLO XV LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A</title>
        <cusip>83609RAL5</cusip>
        <identifiers>
          <isin value="US83609RAL50"/>
        </identifiers>
        <balance>909880.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910526.850000</valUSD>
        <pctVal>0.0650903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.57354</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCM 30 LTD</name>
        <lei>N/A</lei>
        <title>LCM LTD PARTNERSHIP LCM 30A AR 144A</title>
        <cusip>50200YAQ1</cusip>
        <identifiers>
          <isin value="US50200YAQ17"/>
        </identifiers>
        <balance>5800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5784271.150000</valUSD>
        <pctVal>0.413497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75743</annualizedRt>
          <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 1L0183 FH 08/35 FLOATING VAR</title>
        <cusip>3128Q2FY4</cusip>
        <identifiers>
          <isin value="US3128Q2FY42"/>
        </identifiers>
        <balance>4047.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4015.420000</valUSD>
        <pctVal>0.000287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.394</annualizedRt>
          <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 452329 FN 12/28 FIXED 6</title>
        <cusip>31380WPN8</cusip>
        <identifiers>
          <isin value="US31380WPN82"/>
        </identifiers>
        <balance>1580.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1629.420000</valUSD>
        <pctVal>0.0001165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>INDYMAC INDX MORTGAGE LOAN TR 2006-AR4</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A</title>
        <cusip>45661EAV6</cusip>
        <identifiers>
          <isin value="US45661EAV65"/>
        </identifiers>
        <balance>500230.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>438511.960000</valUSD>
        <pctVal>0.0313477</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>5.89043</annualizedRt>
          <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 698330 GN 05/39 FIXED 5</title>
        <cusip>36296QY37</cusip>
        <identifiers>
          <isin value="US36296QY370"/>
        </identifiers>
        <balance>118077.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>119161.260000</valUSD>
        <pctVal>0.0085184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080053 G2 03/27 FLOATING VAR</title>
        <cusip>36225CBX3</cusip>
        <identifiers>
          <isin value="US36225CBX39"/>
        </identifiers>
        <balance>887.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>869.410000</valUSD>
        <pctVal>0.0000622</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>PALMER SQUARE CLO 2023-4A LTD</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE CLO LTD PLMRS 2023 4A A 144A</title>
        <cusip>696924AA7</cusip>
        <identifiers>
          <isin value="US696924AA71"/>
        </identifiers>
        <balance>4600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4604797.290000</valUSD>
        <pctVal>0.329181</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.96251</annualizedRt>
          <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 750518 FN 12/33 FIXED 5.5</title>
        <cusip>31403JYP5</cusip>
        <identifiers>
          <isin value="US31403JYP55"/>
        </identifiers>
        <balance>7650.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7810.850000</valUSD>
        <pctVal>0.0005584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 682911 GN 12/40 FIXED 6</title>
        <cusip>36295WVC8</cusip>
        <identifiers>
          <isin value="US36295WVC80"/>
        </identifiers>
        <balance>54158.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55123.590000</valUSD>
        <pctVal>0.0039406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1694</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1694 Z</title>
        <cusip>3133T4NZ5</cusip>
        <identifiers>
          <isin value="US3133T4NZ50"/>
        </identifiers>
        <balance>825.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>823.380000</valUSD>
        <pctVal>0.0000589</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02162 FG 05/36 FIXED 5.5</title>
        <cusip>3128LXMK3</cusip>
        <identifiers>
          <isin value="US3128LXMK33"/>
        </identifiers>
        <balance>11751.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12122.730000</valUSD>
        <pctVal>0.0008666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH4090 FN 02/26 FIXED 3.5</title>
        <cusip>3138A5RL8</cusip>
        <identifiers>
          <isin value="US3138A5RL84"/>
        </identifiers>
        <balance>21573.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21030.340000</valUSD>
        <pctVal>0.0015034</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</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 783313 GN 02/41 FIXED 5.5</title>
        <cusip>36241LVE3</cusip>
        <identifiers>
          <isin value="US36241LVE37"/>
        </identifiers>
        <balance>9307.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9412.290000</valUSD>
        <pctVal>0.0006729</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 607658 GN 02/33 FIXED 5.5</title>
        <cusip>36202SB31</cusip>
        <identifiers>
          <isin value="US36202SB315"/>
        </identifiers>
        <balance>4342.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4390.630000</valUSD>
        <pctVal>0.0003139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080444 G2 08/30 FLOATING VAR</title>
        <cusip>36225CP67</cusip>
        <identifiers>
          <isin value="US36225CP674"/>
        </identifiers>
        <balance>9237.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9223.820000</valUSD>
        <pctVal>0.0006594</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 641859 FN 04/32 FIXED 6.5</title>
        <cusip>31390CB47</cusip>
        <identifiers>
          <isin value="US31390CB473"/>
        </identifiers>
        <balance>2721.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2825.970000</valUSD>
        <pctVal>0.000202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</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>FANNIE MAE REMICS 2012-57</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 57 SC</title>
        <cusip>3136A6HS6</cusip>
        <identifiers>
          <isin value="US3136A6HS66"/>
        </identifiers>
        <balance>378503.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>337801.010000</valUSD>
        <pctVal>0.0241482</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-25</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>NEUBERGER BERMAN LOAN ADVISERS NBLA CLO 53 LTD</name>
        <lei>N/A</lei>
        <title>NEUBERGER BERMAN CLO LTD NEUB 2023 53A A 144A</title>
        <cusip>64135WAA1</cusip>
        <identifiers>
          <isin value="US64135WAA18"/>
        </identifiers>
        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2699258.390000</valUSD>
        <pctVal>0.19296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.95695</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDB MTGE LOAN TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1</title>
        <cusip>45660LYW3</cusip>
        <identifiers>
          <isin value="US45660LYW35"/>
        </identifiers>
        <balance>86069.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51799.690000</valUSD>
        <pctVal>0.003703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <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 1B0806 FH 03/33 FLOATING VAR</title>
        <cusip>31336SNX2</cusip>
        <identifiers>
          <isin value="US31336SNX26"/>
        </identifiers>
        <balance>15259.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15172.290000</valUSD>
        <pctVal>0.0010846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.125</annualizedRt>
          <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 BS7102 FN 11/32 FIXED 4.5</title>
        <cusip>3140LH3L2</cusip>
        <identifiers>
          <isin value="US3140LH3L27"/>
        </identifiers>
        <balance>7000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7018525.850000</valUSD>
        <pctVal>0.50173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 784167 FN 06/34 FIXED 5.5</title>
        <cusip>31405BFG1</cusip>
        <identifiers>
          <isin value="US31405BFG14"/>
        </identifiers>
        <balance>6735.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6869.760000</valUSD>
        <pctVal>0.0004911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 479529 GN 08/30 FIXED 8.5</title>
        <cusip>36209RVW0</cusip>
        <identifiers>
          <isin value="US36209RVW05"/>
        </identifiers>
        <balance>6665.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6756.930000</valUSD>
        <pctVal>0.000483</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA3975 FN 04/38 FIXED 5.5</title>
        <cusip>31416MMZ4</cusip>
        <identifiers>
          <isin value="US31416MMZ40"/>
        </identifiers>
        <balance>31477.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32426.590000</valUSD>
        <pctVal>0.0023181</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>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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020612</cusip>
        <identifiers>
          <isin value="US01F0206122"/>
        </identifiers>
        <balance>-260900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-213285750.000000</valUSD>
        <pctVal>-15.247</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 658219 GN 12/36 FIXED 6.5</title>
        <cusip>36294SG43</cusip>
        <identifiers>
          <isin value="US36294SG436"/>
        </identifiers>
        <balance>2198.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2310.150000</valUSD>
        <pctVal>0.0001651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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 848408 FN 12/35 FIXED 6</title>
        <cusip>31408DR55</cusip>
        <identifiers>
          <isin value="US31408DR550"/>
        </identifiers>
        <balance>2916.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3039.440000</valUSD>
        <pctVal>0.0002173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>COUNTRYWIDE HOME LOANS 2005-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2</title>
        <cusip>12669GTQ4</cusip>
        <identifiers>
          <isin value="US12669GTQ46"/>
        </identifiers>
        <balance>229094.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209526.850000</valUSD>
        <pctVal>0.0149783</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>6.05043</annualizedRt>
          <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 MA1160 G2 07/43 FIXED 5</title>
        <cusip>36179NJD1</cusip>
        <identifiers>
          <isin value="US36179NJD12"/>
        </identifiers>
        <balance>241892.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246469.280000</valUSD>
        <pctVal>0.0176192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2000-36</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2000 36 F</title>
        <cusip>31358SVL2</cusip>
        <identifiers>
          <isin value="US31358SVL23"/>
        </identifiers>
        <balance>21247.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21224.790000</valUSD>
        <pctVal>0.0015173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 804644 FN 12/34 FIXED 5.5</title>
        <cusip>31406A5D0</cusip>
        <identifiers>
          <isin value="US31406A5D03"/>
        </identifiers>
        <balance>846.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>871.890000</valUSD>
        <pctVal>0.0000623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 901607 FN 11/36 FIXED 6.5</title>
        <cusip>31410YU85</cusip>
        <identifiers>
          <isin value="US31410YU853"/>
        </identifiers>
        <balance>6484.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6746.860000</valUSD>
        <pctVal>0.0004823</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>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 781936 GN 06/35 FIXED 4.5</title>
        <cusip>36241KEH7</cusip>
        <identifiers>
          <isin value="US36241KEH77"/>
        </identifiers>
        <balance>3844.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3805.030000</valUSD>
        <pctVal>0.000272</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809297 FN 02/35 FIXED 5.5</title>
        <cusip>31406GDA4</cusip>
        <identifiers>
          <isin value="US31406GDA40"/>
        </identifiers>
        <balance>14154.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14582.520000</valUSD>
        <pctVal>0.0010425</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>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>MERRILL LYNCH ALTERNATIVE NT 2007-A2</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C</title>
        <cusip>59024FAF1</cusip>
        <identifiers>
          <isin value="US59024FAF18"/>
        </identifiers>
        <balance>875471.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217020.960000</valUSD>
        <pctVal>0.0155141</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <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 CB3360 FN 04/52 FIXED 3</title>
        <cusip>3140QNWW8</cusip>
        <identifiers>
          <isin value="US3140QNWW87"/>
        </identifiers>
        <balance>2284667.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2022622.140000</valUSD>
        <pctVal>0.14459</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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>RFR USD SOFR/3.56000 05/08/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01UQN2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-176333.410000</valUSD>
        <pctVal>-0.0126055</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01UQN2-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.560000"/>
            <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>2030-05-08</terminationDt>
            <upfrontPmnt>175261.500000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>22910000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-351594.910000</unrealizedAppr>
          </swapDeriv>
        </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 II POOL 080102 G2 08/27 FLOATING VAR</title>
        <cusip>36225CDG8</cusip>
        <identifiers>
          <isin value="US36225CDG87"/>
        </identifiers>
        <balance>1894.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1857.380000</valUSD>
        <pctVal>0.0001328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM4583 FN 09/42 FIXED VAR</title>
        <cusip>3140J9CV1</cusip>
        <identifiers>
          <isin value="US3140J9CV17"/>
        </identifiers>
        <balance>277167.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>262036.700000</valUSD>
        <pctVal>0.0187321</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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 15 YR 5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F050411</cusip>
        <identifiers>
          <isin value="US01F0504112"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>402437.500000</valUSD>
        <pctVal>0.0287688</pctVal>
        <payoffProfile>Long</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>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 799689 FN 11/34 FIXED 5.5</title>
        <cusip>31405UNE5</cusip>
        <identifiers>
          <isin value="US31405UNE54"/>
        </identifiers>
        <balance>171.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175.400000</valUSD>
        <pctVal>0.0000125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5193 G2 05/48 FIXED 4.5</title>
        <cusip>36179TXW0</cusip>
        <identifiers>
          <isin value="US36179TXW07"/>
        </identifiers>
        <balance>621685.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>614771.210000</valUSD>
        <pctVal>0.0439478</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A49539 FG 06/36 FIXED 5.5</title>
        <cusip>3128KAS44</cusip>
        <identifiers>
          <isin value="US3128KAS440"/>
        </identifiers>
        <balance>40979.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42065.870000</valUSD>
        <pctVal>0.0030071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 676842 GN 05/38 FIXED 5.5</title>
        <cusip>36295P5B4</cusip>
        <identifiers>
          <isin value="US36295P5B47"/>
        </identifiers>
        <balance>30611.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30950.530000</valUSD>
        <pctVal>0.0022125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 832445 FN 08/35 FIXED 5</title>
        <cusip>31407JZJ4</cusip>
        <identifiers>
          <isin value="US31407JZJ41"/>
        </identifiers>
        <balance>70226.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71387.470000</valUSD>
        <pctVal>0.0051032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 689889 GN 09/38 FIXED 6</title>
        <cusip>36296FNE9</cusip>
        <identifiers>
          <isin value="US36296FNE96"/>
        </identifiers>
        <balance>1046.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1065.340000</valUSD>
        <pctVal>0.0000762</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 849803 FN 05/35 FIXED 6.5</title>
        <cusip>31408FDG1</cusip>
        <identifiers>
          <isin value="US31408FDG19"/>
        </identifiers>
        <balance>6012.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6300.400000</valUSD>
        <pctVal>0.0004504</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5162 FR 06/42 FIXED 3</title>
        <cusip>3133KYWX3</cusip>
        <identifiers>
          <isin value="US3133KYWX39"/>
        </identifiers>
        <balance>7032600.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6421131.370000</valUSD>
        <pctVal>0.459024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 BJ4616 FN 02/48 FIXED 4</title>
        <cusip>3140H6DW6</cusip>
        <identifiers>
          <isin value="US3140H6DW61"/>
        </identifiers>
        <balance>1475658.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1421520.460000</valUSD>
        <pctVal>0.10162</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 800412 FN 12/34 FIXED 5.5</title>
        <cusip>31405VGV3</cusip>
        <identifiers>
          <isin value="US31405VGV36"/>
        </identifiers>
        <balance>193946.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199803.550000</valUSD>
        <pctVal>0.0142832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>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"/>
        </identifiers>
        <balance>6100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6092797.120000</valUSD>
        <pctVal>0.435553</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>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2</name>
        <lei>N/A</lei>
        <title>ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A</title>
        <cusip>67114WAA9</cusip>
        <identifiers>
          <isin value="US67114WAA99"/>
        </identifiers>
        <balance>2826012.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2423468.390000</valUSD>
        <pctVal>0.173245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-01-25</maturityDt>
          <couponKind>Variable</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>GS MORTGAGE SECURITIES CORP TRUST 2018-TWR</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A</title>
        <cusip>36251SAA6</cusip>
        <identifiers>
          <isin value="US36251SAA69"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1667547.800000</valUSD>
        <pctVal>0.119207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.559</annualizedRt>
          <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"/>
        </identifiers>
        <balance>221044.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218688.660000</valUSD>
        <pctVal>0.0156333</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 A14805 FG 10/33 FIXED 5</title>
        <cusip>31296PKS0</cusip>
        <identifiers>
          <isin value="US31296PKS01"/>
        </identifiers>
        <balance>7015.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7141.610000</valUSD>
        <pctVal>0.0005105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 532706 GN 07/30 FIXED 8.5</title>
        <cusip>36212FYB4</cusip>
        <identifiers>
          <isin value="US36212FYB48"/>
        </identifiers>
        <balance>3254.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3382.290000</valUSD>
        <pctVal>0.0002418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A37900 FG 09/35 FIXED 4.5</title>
        <cusip>31297TX57</cusip>
        <identifiers>
          <isin value="US31297TX577"/>
        </identifiers>
        <balance>10271.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10315.090000</valUSD>
        <pctVal>0.0007374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 768089 GN 06/41 FIXED 4.5</title>
        <cusip>36176KC21</cusip>
        <identifiers>
          <isin value="US36176KC217"/>
        </identifiers>
        <balance>219918.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217829.790000</valUSD>
        <pctVal>0.0155719</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS1910 FN 01/44 FIXED VAR</title>
        <cusip>3140XHDQ7</cusip>
        <identifiers>
          <isin value="US3140XHDQ79"/>
        </identifiers>
        <balance>376587.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>356654.170000</valUSD>
        <pctVal>0.0254959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.56000 04/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01R9C2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-276185.010000</valUSD>
        <pctVal>-0.0197435</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01R9C2-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.560000"/>
            <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>2030-04-10</terminationDt>
            <upfrontPmnt>154035.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>30900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-430220.010000</unrealizedAppr>
          </swapDeriv>
        </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 AS0574 FN 09/43 FIXED 5</title>
        <cusip>3138W9T83</cusip>
        <identifiers>
          <isin value="US3138W9T839"/>
        </identifiers>
        <balance>89864.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91154.090000</valUSD>
        <pctVal>0.0065163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01953 FG 10/35 FIXED 4.5</title>
        <cusip>3128LXE22</cusip>
        <identifiers>
          <isin value="US3128LXE226"/>
        </identifiers>
        <balance>170958.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>171608.600000</valUSD>
        <pctVal>0.0122677</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NA30 OTC ECAL FN 6.0 MAR24 102.1875 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50057"/>
        </identifiers>
        <balance>-28500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-119788.350000</valUSD>
        <pctVal>-0.0085632</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 6.0% MAR 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606347"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.190000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-66350.850000</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>US ULTRA BOND CBT MAR24 XCBT 20240319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNH4"/>
        </identifiers>
        <balance>-51.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-551517.570000</valUSD>
        <pctVal>-0.039426</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI2K0FZ3-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-03-19</expDate>
            <notionalAmt>-6786984.380000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-551517.570000</unrealizedAppr>
          </futrDeriv>
        </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 A35938 FG 07/35 FIXED 5</title>
        <cusip>31297RS32</cusip>
        <identifiers>
          <isin value="US31297RS324"/>
        </identifiers>
        <balance>38586.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39280.050000</valUSD>
        <pctVal>0.002808</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080045 G2 02/27 FLOATING VAR</title>
        <cusip>36225CBP0</cusip>
        <identifiers>
          <isin value="US36225CBP05"/>
        </identifiers>
        <balance>13772.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13540.840000</valUSD>
        <pctVal>0.000968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-20</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>FREDDIE MAC 2118</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2118 PE</title>
        <cusip>3133THS81</cusip>
        <identifiers>
          <isin value="US3133THS818"/>
        </identifiers>
        <balance>24250.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24813.420000</valUSD>
        <pctVal>0.0017738</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</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 782619 GN 04/39 FIXED 5</title>
        <cusip>36241K4C9</cusip>
        <identifiers>
          <isin value="US36241K4C91"/>
        </identifiers>
        <balance>4784.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4835.360000</valUSD>
        <pctVal>0.0003457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080387 G2 03/30 FLOATING VAR</title>
        <cusip>36225CND4</cusip>
        <identifiers>
          <isin value="US36225CND47"/>
        </identifiers>
        <balance>6152.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5959.660000</valUSD>
        <pctVal>0.000426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS8686 FN 01/47 FIXED 3</title>
        <cusip>3138WJUL0</cusip>
        <identifiers>
          <isin value="US3138WJUL01"/>
        </identifiers>
        <balance>543701.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>492523.910000</valUSD>
        <pctVal>0.0352088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-42</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 42 SA</title>
        <cusip>3136AKPR8</cusip>
        <identifiers>
          <isin value="US3136AKPR80"/>
        </identifiers>
        <balance>468047.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21266.960000</valUSD>
        <pctVal>0.0015203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 904864 FN 01/37 FIXED 6</title>
        <cusip>31411DJH3</cusip>
        <identifiers>
          <isin value="US31411DJH35"/>
        </identifiers>
        <balance>1763.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1816.120000</valUSD>
        <pctVal>0.0001298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 002231 G2 06/26 FIXED 7</title>
        <cusip>36202CPQ0</cusip>
        <identifiers>
          <isin value="US36202CPQ05"/>
        </identifiers>
        <balance>75.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77.620000</valUSD>
        <pctVal>0.0000055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 897472 FN 11/36 FIXED 6</title>
        <cusip>31410UCH3</cusip>
        <identifiers>
          <isin value="US31410UCH32"/>
        </identifiers>
        <balance>2713.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2802.900000</valUSD>
        <pctVal>0.0002004</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>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 677081 GN 07/38 FIXED 6.5</title>
        <cusip>36295QFW5</cusip>
        <identifiers>
          <isin value="US36295QFW50"/>
        </identifiers>
        <balance>8640.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8935.380000</valUSD>
        <pctVal>0.0006388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</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 CB0200 FN 04/51 FIXED 3</title>
        <cusip>3140QKGJ1</cusip>
        <identifiers>
          <isin value="US3140QKGJ12"/>
        </identifiers>
        <balance>12723329.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11262422.560000</valUSD>
        <pctVal>0.805111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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 POOL 617710 GN 09/37 FIXED 6.5</title>
        <cusip>36290UGT7</cusip>
        <identifiers>
          <isin value="US36290UGT79"/>
        </identifiers>
        <balance>5216.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5338.640000</valUSD>
        <pctVal>0.0003816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</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 BM3638 FN 08/44 FIXED VAR</title>
        <cusip>3140J8BG7</cusip>
        <identifiers>
          <isin value="US3140J8BG75"/>
        </identifiers>
        <balance>1779741.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1734106.410000</valUSD>
        <pctVal>0.123965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922439 FN 01/37 FIXED 6</title>
        <cusip>31412DZC5</cusip>
        <identifiers>
          <isin value="US31412DZC54"/>
        </identifiers>
        <balance>14706.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15324.300000</valUSD>
        <pctVal>0.0010955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 303463 FN 06/29 FLOATING VAR</title>
        <cusip>31373UB89</cusip>
        <identifiers>
          <isin value="US31373UB893"/>
        </identifiers>
        <balance>216.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211.390000</valUSD>
        <pctVal>0.0000151</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>Floating</couponKind>
          <annualizedRt>4.512</annualizedRt>
          <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 AE0715 FN 12/40 FIXED VAR</title>
        <cusip>31419AYM3</cusip>
        <identifiers>
          <isin value="US31419AYM34"/>
        </identifiers>
        <balance>4972757.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4851417.370000</valUSD>
        <pctVal>0.346811</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>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 A57663 FG 12/36 FIXED 5.5</title>
        <cusip>3128KLQQ3</cusip>
        <identifiers>
          <isin value="US3128KLQQ38"/>
        </identifiers>
        <balance>1540.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1589.420000</valUSD>
        <pctVal>0.0001136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 946731 FN 09/37 FIXED 6.5</title>
        <cusip>31413JHG2</cusip>
        <identifiers>
          <isin value="US31413JHG22"/>
        </identifiers>
        <balance>305.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321.370000</valUSD>
        <pctVal>0.000023</pctVal>
        <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>
          <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 606116 FN 09/31 FLOATING VAR</title>
        <cusip>31388JK53</cusip>
        <identifiers>
          <isin value="US31388JK531"/>
        </identifiers>
        <balance>3929.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3902.440000</valUSD>
        <pctVal>0.000279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.108</annualizedRt>
          <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 Q01304 FG 06/41 FIXED 5</title>
        <cusip>3132GENV8</cusip>
        <identifiers>
          <isin value="US3132GENV82"/>
        </identifiers>
        <balance>115803.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117752.520000</valUSD>
        <pctVal>0.0084177</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>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 783575 GN 03/40 FIXED 5.5</title>
        <cusip>36241L6L5</cusip>
        <identifiers>
          <isin value="US36241L6L54"/>
        </identifiers>
        <balance>36662.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37071.300000</valUSD>
        <pctVal>0.0026501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-15</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 G03458 FG 11/37 FIXED 5.5</title>
        <cusip>3128M5E71</cusip>
        <identifiers>
          <isin value="US3128M5E718"/>
        </identifiers>
        <balance>1374.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1418.140000</valUSD>
        <pctVal>0.0001014</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>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 QD9605 FR 04/52 FIXED 3</title>
        <cusip>3133B7U63</cusip>
        <identifiers>
          <isin value="US3133B7U633"/>
        </identifiers>
        <balance>251389.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>222959.260000</valUSD>
        <pctVal>0.0159386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 POOL 782729 GN 06/39 FIXED 6</title>
        <cusip>36241LA63</cusip>
        <identifiers>
          <isin value="US36241LA633"/>
        </identifiers>
        <balance>1101.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1140.770000</valUSD>
        <pctVal>0.0000815</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02700 FG 01/37 FIXED 6.5</title>
        <cusip>3128M4KM4</cusip>
        <identifiers>
          <isin value="US3128M4KM46"/>
        </identifiers>
        <balance>1223.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1280.300000</valUSD>
        <pctVal>0.0000915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5</title>
        <cusip>3133KNX57</cusip>
        <identifiers>
          <isin value="US3133KNX575"/>
        </identifiers>
        <balance>917389.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>784523.980000</valUSD>
        <pctVal>0.0560828</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 771778 FN 03/34 FIXED 5.5</title>
        <cusip>31404LM31</cusip>
        <identifiers>
          <isin value="US31404LM314"/>
        </identifiers>
        <balance>1794.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1848.320000</valUSD>
        <pctVal>0.0001321</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0465 G2 10/42 FIXED 5</title>
        <cusip>36179MQS2</cusip>
        <identifiers>
          <isin value="US36179MQS25"/>
        </identifiers>
        <balance>26425.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26925.810000</valUSD>
        <pctVal>0.0019248</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-20</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 751193 FN 02/34 FIXED 5.5</title>
        <cusip>31403KRN5</cusip>
        <identifiers>
          <isin value="US31403KRN53"/>
        </identifiers>
        <balance>10060.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10364.420000</valUSD>
        <pctVal>0.0007409</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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 G04585 FG 02/38 FIXED 5.5</title>
        <cusip>3128M6NA2</cusip>
        <identifiers>
          <isin value="US3128M6NA29"/>
        </identifiers>
        <balance>6033.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6224.350000</valUSD>
        <pctVal>0.000445</pctVal>
        <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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782889 GN 02/40 FIXED 5</title>
        <cusip>36241LF68</cusip>
        <identifiers>
          <isin value="US36241LF681"/>
        </identifiers>
        <balance>71987.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72692.720000</valUSD>
        <pctVal>0.0051965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA4543 FN 11/49 FIXED 3</title>
        <cusip>3140QCBM7</cusip>
        <identifiers>
          <isin value="US3140QCBM79"/>
        </identifiers>
        <balance>1800831.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1632697.890000</valUSD>
        <pctVal>0.116716</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A46669 FG 08/35 FIXED 4.5</title>
        <cusip>3128K7MS4</cusip>
        <identifiers>
          <isin value="US3128K7MS49"/>
        </identifiers>
        <balance>1930.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1932.190000</valUSD>
        <pctVal>0.0001381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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 POOL 604897 GN 12/33 FIXED 5</title>
        <cusip>36200M7J6</cusip>
        <identifiers>
          <isin value="US36200M7J69"/>
        </identifiers>
        <balance>622.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>626.060000</valUSD>
        <pctVal>0.0000448</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 781042 FN 06/34 FIXED 5.5</title>
        <cusip>31404WWB8</cusip>
        <identifiers>
          <isin value="US31404WWB89"/>
        </identifiers>
        <balance>24749.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25368.610000</valUSD>
        <pctVal>0.0018135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781205 GN 07/30 FIXED 8.5</title>
        <cusip>36225BKS6</cusip>
        <identifiers>
          <isin value="US36225BKS69"/>
        </identifiers>
        <balance>3248.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3457.170000</valUSD>
        <pctVal>0.0002471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>827254.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43113.550000</valUSD>
        <pctVal>0.003082</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>
        </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 782754 GN 09/39 FIXED 6</title>
        <cusip>36241LBX3</cusip>
        <identifiers>
          <isin value="US36241LBX38"/>
        </identifiers>
        <balance>2775.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2874.260000</valUSD>
        <pctVal>0.0002055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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 809203 FN 01/35 FIXED 6.5</title>
        <cusip>31406GAC3</cusip>
        <identifiers>
          <isin value="US31406GAC33"/>
        </identifiers>
        <balance>26098.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27203.990000</valUSD>
        <pctVal>0.0019447</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QD8810 FR 03/52 FIXED 3</title>
        <cusip>3133B6YF1</cusip>
        <identifiers>
          <isin value="US3133B6YF16"/>
        </identifiers>
        <balance>616445.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545476.030000</valUSD>
        <pctVal>0.0389941</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>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 800929 FN 10/34 FIXED 5.5</title>
        <cusip>31405VY27</cusip>
        <identifiers>
          <isin value="US31405VY273"/>
        </identifiers>
        <balance>8773.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8995.520000</valUSD>
        <pctVal>0.0006431</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 031848 FN 08/26 FLOATING VAR</title>
        <cusip>31361HL57</cusip>
        <identifiers>
          <isin value="US31361HL571"/>
        </identifiers>
        <balance>534.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>528.430000</valUSD>
        <pctVal>0.0000378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.268</annualizedRt>
          <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 955224 FN 12/37 FIXED 6.5</title>
        <cusip>31413TVR0</cusip>
        <identifiers>
          <isin value="US31413TVR03"/>
        </identifiers>
        <balance>70682.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73644.800000</valUSD>
        <pctVal>0.0052646</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>6.5</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 BM1222 G2 05/49 FIXED 3.5</title>
        <cusip>3617JRLB2</cusip>
        <identifiers>
          <isin value="US3617JRLB27"/>
        </identifiers>
        <balance>419580.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>386515.030000</valUSD>
        <pctVal>0.0276306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 886048 FN 07/36 FIXED 6</title>
        <cusip>31410DL57</cusip>
        <identifiers>
          <isin value="US31410DL575"/>
        </identifiers>
        <balance>21406.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22368.930000</valUSD>
        <pctVal>0.0015991</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</annualizedRt>
          <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 535126 FN 12/28 FIXED VAR</title>
        <cusip>31384VPK2</cusip>
        <identifiers>
          <isin value="US31384VPK25"/>
        </identifiers>
        <balance>15134.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15659.680000</valUSD>
        <pctVal>0.0011195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>STRUCTURED ASSET MTG INV INC 2005-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2</title>
        <cusip>86359LPE3</cusip>
        <identifiers>
          <isin value="US86359LPE38"/>
        </identifiers>
        <balance>180968.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>173165.770000</valUSD>
        <pctVal>0.012379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97023</annualizedRt>
          <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 008480 G2 08/24 FLOATING VAR</title>
        <cusip>36202KM51</cusip>
        <identifiers>
          <isin value="US36202KM517"/>
        </identifiers>
        <balance>694.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>692.040000</valUSD>
        <pctVal>0.0000495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD0935 FR 04/52 FIXED 3</title>
        <cusip>3132DNBC6</cusip>
        <identifiers>
          <isin value="US3132DNBC65"/>
        </identifiers>
        <balance>3619047.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3205099.870000</valUSD>
        <pctVal>0.229121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 896032 FN 08/36 FIXED 6</title>
        <cusip>31410SPR2</cusip>
        <identifiers>
          <isin value="US31410SPR21"/>
        </identifiers>
        <balance>6145.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6378.550000</valUSD>
        <pctVal>0.000456</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>
        </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 AS0379 FN 09/43 FIXED 4</title>
        <cusip>3138W9M56</cusip>
        <identifiers>
          <isin value="US3138W9M560"/>
        </identifiers>
        <balance>151974.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147737.150000</valUSD>
        <pctVal>0.0105612</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-09-01</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 G03870 FG 02/38 FIXED 5</title>
        <cusip>3128M5T34</cusip>
        <identifiers>
          <isin value="US3128M5T344"/>
        </identifiers>
        <balance>14495.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14757.100000</valUSD>
        <pctVal>0.0010549</pctVal>
        <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>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 A35283 FG 06/35 FIXED 5.5</title>
        <cusip>31297Q2Q1</cusip>
        <identifiers>
          <isin value="US31297Q2Q18"/>
        </identifiers>
        <balance>6748.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6961.650000</valUSD>
        <pctVal>0.0004977</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002960 G2 08/30 FIXED 9</title>
        <cusip>36202DJD4</cusip>
        <identifiers>
          <isin value="US36202DJD49"/>
        </identifiers>
        <balance>2360.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2360.630000</valUSD>
        <pctVal>0.0001688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91237 FG 02/29 FIXED 5</title>
        <cusip>3128P7LS0</cusip>
        <identifiers>
          <isin value="US3128P7LS07"/>
        </identifiers>
        <balance>12473.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12412.490000</valUSD>
        <pctVal>0.0008873</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</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 918407 FN 05/37 FIXED 6</title>
        <cusip>31411YKU6</cusip>
        <identifiers>
          <isin value="US31411YKU63"/>
        </identifiers>
        <balance>104817.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108913.400000</valUSD>
        <pctVal>0.0077858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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 303959 FN 05/26 FLOATING VAR</title>
        <cusip>31373UTQ0</cusip>
        <identifiers>
          <isin value="US31373UTQ03"/>
        </identifiers>
        <balance>255.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>254.700000</valUSD>
        <pctVal>0.0000182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.35</annualizedRt>
          <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 BG2455 G2 05/48 FIXED 4</title>
        <cusip>3617GLWQ3</cusip>
        <identifiers>
          <isin value="US3617GLWQ34"/>
        </identifiers>
        <balance>203310.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195079.670000</valUSD>
        <pctVal>0.0139456</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-20</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 G03204 FG 11/35 FIXED 5.5</title>
        <cusip>3128M43M3</cusip>
        <identifiers>
          <isin value="US3128M43M34"/>
        </identifiers>
        <balance>50905.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52514.660000</valUSD>
        <pctVal>0.0037541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BW3079 FN 06/42 FIXED 3</title>
        <cusip>3140MUM56</cusip>
        <identifiers>
          <isin value="US3140MUM566"/>
        </identifiers>
        <balance>62713.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56960.180000</valUSD>
        <pctVal>0.0040719</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 080708 G2 07/33 FLOATING VAR</title>
        <cusip>36225CYE0</cusip>
        <identifiers>
          <isin value="US36225CYE01"/>
        </identifiers>
        <balance>404935.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400503.930000</valUSD>
        <pctVal>0.0286306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 052597 FN 07/27 FLOATING VAR</title>
        <cusip>313617NN8</cusip>
        <identifiers>
          <isin value="US313617NN83"/>
        </identifiers>
        <balance>585.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>576.310000</valUSD>
        <pctVal>0.0000412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EQUIFIRST MORTGAGE LOAN TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1</title>
        <cusip>29445FAR9</cusip>
        <identifiers>
          <isin value="US29445FAR91"/>
        </identifiers>
        <balance>64718.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60800.420000</valUSD>
        <pctVal>0.0043464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <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>31750NCM6 OTC EPUT FN 5.0 FEB24 98.125 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH51709"/>
        </identifiers>
        <balance>-36500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-163833.900000</valUSD>
        <pctVal>-0.0117119</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>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506273"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.130000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-15552.650000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A81278 FG 08/38 FIXED 5</title>
        <cusip>312927M37</cusip>
        <identifiers>
          <isin value="US312927M371"/>
        </identifiers>
        <balance>3908.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3987.360000</valUSD>
        <pctVal>0.000285</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>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 080115 G2 09/27 FLOATING VAR</title>
        <cusip>36225CDV5</cusip>
        <identifiers>
          <isin value="US36225CDV54"/>
        </identifiers>
        <balance>3696.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3621.980000</valUSD>
        <pctVal>0.0002589</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3241 FN 03/50 FIXED VAR</title>
        <cusip>3140X6S77</cusip>
        <identifiers>
          <isin value="US3140X6S774"/>
        </identifiers>
        <balance>15875322.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14229675.980000</valUSD>
        <pctVal>1.01723</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AU4789 G2 11/46 FIXED 3.5</title>
        <cusip>36194SKA5</cusip>
        <identifiers>
          <isin value="US36194SKA59"/>
        </identifiers>
        <balance>167367.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>158165.190000</valUSD>
        <pctVal>0.0113067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-20</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>STRUCTURED ASSET MTG INV INC 2004-AR1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2</title>
        <cusip>86359LAQ2</cusip>
        <identifiers>
          <isin value="US86359LAQ23"/>
        </identifiers>
        <balance>181584.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>169184.700000</valUSD>
        <pctVal>0.0120944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-19</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 776273 FN 05/34 FIXED 5.5</title>
        <cusip>31404RMW4</cusip>
        <identifiers>
          <isin value="US31404RMW42"/>
        </identifiers>
        <balance>11836.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12132.710000</valUSD>
        <pctVal>0.0008673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 QG5279 FR 06/53 FIXED 5</title>
        <cusip>3133C52L4</cusip>
        <identifiers>
          <isin value="US3133C52L46"/>
        </identifiers>
        <balance>153573.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153447.950000</valUSD>
        <pctVal>0.0109694</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>
        </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 942569 FN 08/37 FIXED 6</title>
        <cusip>31413DT23</cusip>
        <identifiers>
          <isin value="US31413DT234"/>
        </identifiers>
        <balance>2052.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2130.860000</valUSD>
        <pctVal>0.0001523</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 008580 G2 01/25 FLOATING VAR</title>
        <cusip>36202KQ99</cusip>
        <identifiers>
          <isin value="US36202KQ997"/>
        </identifiers>
        <balance>7472.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7380.400000</valUSD>
        <pctVal>0.0005276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-20</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>BANC OF AMERICA FUNDING CORP 2007-1</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10</title>
        <cusip>05951FAM6</cusip>
        <identifiers>
          <isin value="US05951FAM68"/>
        </identifiers>
        <balance>439420.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>397472.660000</valUSD>
        <pctVal>0.0284139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.3368</annualizedRt>
          <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 080059 G2 04/27 FLOATING VAR</title>
        <cusip>36225CB54</cusip>
        <identifiers>
          <isin value="US36225CB542"/>
        </identifiers>
        <balance>1241.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1226.130000</valUSD>
        <pctVal>0.0000877</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 G00509 FG 08/26 FIXED 8.5</title>
        <cusip>31283GR66</cusip>
        <identifiers>
          <isin value="US31283GR667"/>
        </identifiers>
        <balance>114.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114.830000</valUSD>
        <pctVal>0.0000082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003929 G2 12/36 FIXED 5</title>
        <cusip>36202ELJ6</cusip>
        <identifiers>
          <isin value="US36202ELJ63"/>
        </identifiers>
        <balance>11583.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11799.410000</valUSD>
        <pctVal>0.0008435</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-20</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 4165</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4165 TI</title>
        <cusip>3137AYSK8</cusip>
        <identifiers>
          <isin value="US3137AYSK87"/>
        </identifiers>
        <balance>1975759.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132050.660000</valUSD>
        <pctVal>0.0094398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 764322 GN 11/41 FIXED 3.5</title>
        <cusip>36176E4F5</cusip>
        <identifiers>
          <isin value="US36176E4F57"/>
        </identifiers>
        <balance>2926.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2774.730000</valUSD>
        <pctVal>0.0001984</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</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 940642 FN 08/37 FIXED 6</title>
        <cusip>31413BP39</cusip>
        <identifiers>
          <isin value="US31413BP392"/>
        </identifiers>
        <balance>5004.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5229.760000</valUSD>
        <pctVal>0.0003739</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>MORGAN STANLEY MTGE LN TR 2007-6XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 1A1</title>
        <cusip>61751JAA9</cusip>
        <identifiers>
          <isin value="US61751JAA97"/>
        </identifiers>
        <balance>787534.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>315816.730000</valUSD>
        <pctVal>0.0225766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.98043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-15</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1</title>
        <cusip>863579UU0</cusip>
        <identifiers>
          <isin value="US863579UU02"/>
        </identifiers>
        <balance>17751.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15103.680000</valUSD>
        <pctVal>0.0010797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.56201</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A</title>
        <cusip>76112B2D1</cusip>
        <identifiers>
          <isin value="US76112B2D12"/>
        </identifiers>
        <balance>51033.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49819.390000</valUSD>
        <pctVal>0.0035614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MF1 2021-FL7 LTD</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A</title>
        <cusip>55284AAA6</cusip>
        <identifiers>
          <isin value="US55284AAA60"/>
        </identifiers>
        <balance>5255083.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5174936.800000</valUSD>
        <pctVal>0.369938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.55273</annualizedRt>
          <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 FM3493 FN 05/35 FIXED VAR</title>
        <cusip>3140X63B5</cusip>
        <identifiers>
          <isin value="US3140X63B58"/>
        </identifiers>
        <balance>2661069.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2606958.220000</valUSD>
        <pctVal>0.186362</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>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 802005 FN 11/34 FIXED 5.5</title>
        <cusip>31405XAE3</cusip>
        <identifiers>
          <isin value="US31405XAE31"/>
        </identifiers>
        <balance>26707.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27376.050000</valUSD>
        <pctVal>0.001957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02683 FG 02/37 FIXED 6.5</title>
        <cusip>3128M4J46</cusip>
        <identifiers>
          <isin value="US3128M4J462"/>
        </identifiers>
        <balance>12497.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12929.250000</valUSD>
        <pctVal>0.0009243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 791585 FN 09/34 FIXED 6</title>
        <cusip>31405KNA5</cusip>
        <identifiers>
          <isin value="US31405KNA50"/>
        </identifiers>
        <balance>768.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>796.480000</valUSD>
        <pctVal>0.0000569</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A36258 FG 07/35 FIXED 5</title>
        <cusip>31297R5T0</cusip>
        <identifiers>
          <isin value="US31297R5T02"/>
        </identifiers>
        <balance>82343.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83827.020000</valUSD>
        <pctVal>0.0059925</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>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 888695 FN 08/37 FIXED VAR</title>
        <cusip>31410GKG7</cusip>
        <identifiers>
          <isin value="US31410GKG72"/>
        </identifiers>
        <balance>691.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702.520000</valUSD>
        <pctVal>0.0000502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 AS6513 FN 01/36 FIXED 4</title>
        <cusip>3138WGGX6</cusip>
        <identifiers>
          <isin value="US3138WGGX65"/>
        </identifiers>
        <balance>827875.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808084.370000</valUSD>
        <pctVal>0.0577671</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>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 G05852 FG 03/39 FIXED 5.5</title>
        <cusip>3128M7ZR0</cusip>
        <identifiers>
          <isin value="US3128M7ZR09"/>
        </identifiers>
        <balance>124512.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128455.890000</valUSD>
        <pctVal>0.0091829</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</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>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"/>
        </identifiers>
        <balance>158003.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144182.220000</valUSD>
        <pctVal>0.0103071</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>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>AFC HOME EQUITY LOAN TRUST 1999-2</name>
        <lei>N/A</lei>
        <title>AFC HOME EQUITY LOAN TRUST AFC 1999 2 1A</title>
        <cusip>00105HDZ6</cusip>
        <identifiers>
          <isin value="US00105HDZ64"/>
        </identifiers>
        <balance>128288.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74244.250000</valUSD>
        <pctVal>0.0053075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.28043</annualizedRt>
          <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 617153 GN 07/36 FIXED 6.5</title>
        <cusip>36290TTJ8</cusip>
        <identifiers>
          <isin value="US36290TTJ87"/>
        </identifiers>
        <balance>816.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>842.300000</valUSD>
        <pctVal>0.0000602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-15</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 782775 GN 10/39 FIXED 6</title>
        <cusip>36241LCL8</cusip>
        <identifiers>
          <isin value="US36241LCL80"/>
        </identifiers>
        <balance>8837.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9148.170000</valUSD>
        <pctVal>0.000654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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 940639 FN 08/37 FIXED 6</title>
        <cusip>31413BPY1</cusip>
        <identifiers>
          <isin value="US31413BPY10"/>
        </identifiers>
        <balance>16716.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17586.240000</valUSD>
        <pctVal>0.0012572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 733677 GN 05/40 FIXED 5.5</title>
        <cusip>3620AMCN0</cusip>
        <identifiers>
          <isin value="US3620AMCN07"/>
        </identifiers>
        <balance>14148.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14482.320000</valUSD>
        <pctVal>0.0010353</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008578 G2 01/25 FLOATING VAR</title>
        <cusip>36202KQ73</cusip>
        <identifiers>
          <isin value="US36202KQ732"/>
        </identifiers>
        <balance>121.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>119.230000</valUSD>
        <pctVal>0.0000085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-20</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH</title>
        <cusip>38380QJA1</cusip>
        <identifiers>
          <isin value="US38380QJA13"/>
        </identifiers>
        <balance>7192806.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7154602.910000</valUSD>
        <pctVal>0.511457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.48719</annualizedRt>
          <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 C91251 FG 06/29 FIXED 4.5</title>
        <cusip>3128P7L84</cusip>
        <identifiers>
          <isin value="US3128P7L849"/>
        </identifiers>
        <balance>48208.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47883.090000</valUSD>
        <pctVal>0.003423</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>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 G06091 FG 05/40 FIXED 5.5</title>
        <cusip>3128M8C44</cusip>
        <identifiers>
          <isin value="US3128M8C443"/>
        </identifiers>
        <balance>29057.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29977.690000</valUSD>
        <pctVal>0.002143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 323621 FN 01/29 FIXED VAR</title>
        <cusip>31374TPE3</cusip>
        <identifiers>
          <isin value="US31374TPE37"/>
        </identifiers>
        <balance>511.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>528.480000</valUSD>
        <pctVal>0.0000378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</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 POOL 711479 GN 12/39 FIXED 5</title>
        <cusip>36297GM49</cusip>
        <identifiers>
          <isin value="US36297GM499"/>
        </identifiers>
        <balance>126699.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130221.880000</valUSD>
        <pctVal>0.0093091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697489 GN 09/38 FIXED 6</title>
        <cusip>36296P2W0</cusip>
        <identifiers>
          <isin value="US36296P2W01"/>
        </identifiers>
        <balance>1572.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1603.800000</valUSD>
        <pctVal>0.0001146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 838927 FN 08/35 FIXED 6</title>
        <cusip>31407SA44</cusip>
        <identifiers>
          <isin value="US31407SA440"/>
        </identifiers>
        <balance>48381.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50556.140000</valUSD>
        <pctVal>0.0036141</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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>N/A</name>
        <lei>N/A</lei>
        <title>317U28MA7 PIMCO SWAPTION 4.6 PUT USD 20240201</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027C33"/>
        </identifiers>
        <balance>-136000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-180580.800000</valUSD>
        <pctVal>-0.0129091</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>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/4.60000 02/05/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OKA0"/>
                    </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/4.60000 02/05/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OKA0"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.600000"/>
                  <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>2025-02-05</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>4.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-54100.800000</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>RFR USD SOFR/4.11750 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1L5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1194878.910000</valUSD>
        <pctVal>0.0854177</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1L5-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.117500"/>
            <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>2030-10-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-193230.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>33900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1388108.910000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI</title>
        <cusip>38376MCQ8</cusip>
        <identifiers>
          <isin value="US38376MCQ87"/>
        </identifiers>
        <balance>264589.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6384.040000</valUSD>
        <pctVal>0.0004564</pctVal>
        <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>
        </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 776396 FN 04/34 FIXED 5.5</title>
        <cusip>31404RRR0</cusip>
        <identifiers>
          <isin value="US31404RRR02"/>
        </identifiers>
        <balance>3986.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4067.070000</valUSD>
        <pctVal>0.0002907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 A88843 FG 11/37 FIXED 5.5</title>
        <cusip>312935ZG7</cusip>
        <identifiers>
          <isin value="US312935ZG77"/>
        </identifiers>
        <balance>10278.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10604.130000</valUSD>
        <pctVal>0.0007581</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 068530 FN 09/27 FLOATING VAR</title>
        <cusip>31362REB9</cusip>
        <identifiers>
          <isin value="US31362REB96"/>
        </identifiers>
        <balance>84.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83.000000</valUSD>
        <pctVal>0.0000059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.268</annualizedRt>
          <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 783177 GN 09/40 FIXED 4.5</title>
        <cusip>36241LQ66</cusip>
        <identifiers>
          <isin value="US36241LQ662"/>
        </identifiers>
        <balance>24728.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24654.280000</valUSD>
        <pctVal>0.0017624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK7974 FN 11/33 FIXED 4</title>
        <cusip>3140HM2G8</cusip>
        <identifiers>
          <isin value="US3140HM2G80"/>
        </identifiers>
        <balance>3018705.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2998123.070000</valUSD>
        <pctVal>0.214325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.36750 11/28/22-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01N360"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>49667.110000</valUSD>
        <pctVal>0.0035505</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01N360-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.367500"/>
            <terminationDt>2032-11-28</terminationDt>
            <upfrontPmnt>39723.500000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9943.610000</unrealizedAppr>
          </swapDeriv>
        </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 C03458 FG 02/40 FIXED 5</title>
        <cusip>31292KZX8</cusip>
        <identifiers>
          <isin value="US31292KZX89"/>
        </identifiers>
        <balance>52222.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53165.340000</valUSD>
        <pctVal>0.0038006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-01</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 844000 FN 11/35 FLOATING VAR</title>
        <cusip>31407XUZ2</cusip>
        <identifiers>
          <isin value="US31407XUZ22"/>
        </identifiers>
        <balance>3494.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3452.550000</valUSD>
        <pctVal>0.0002468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.522</annualizedRt>
          <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 2013-34</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 34 PS</title>
        <cusip>3136ADQR3</cusip>
        <identifiers>
          <isin value="US3136ADQR39"/>
        </identifiers>
        <balance>2892392.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202833.980000</valUSD>
        <pctVal>0.0144999</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.69809</annualizedRt>
          <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 902164 FN 11/36 FIXED 6</title>
        <cusip>31411AJH9</cusip>
        <identifiers>
          <isin value="US31411AJH95"/>
        </identifiers>
        <balance>22169.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23166.310000</valUSD>
        <pctVal>0.0016561</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>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 781885 GN 03/35 FIXED 5</title>
        <cusip>36241KCW6</cusip>
        <identifiers>
          <isin value="US36241KCW62"/>
        </identifiers>
        <balance>587.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>591.680000</valUSD>
        <pctVal>0.0000423</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 544781 FN 02/30 FLOATING VAR</title>
        <cusip>31385HFW7</cusip>
        <identifiers>
          <isin value="US31385HFW79"/>
        </identifiers>
        <balance>25061.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25048.940000</valUSD>
        <pctVal>0.0017907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.756</annualizedRt>
          <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 4142</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4142 KI</title>
        <cusip>3137AX5M1</cusip>
        <identifiers>
          <isin value="US3137AX5M12"/>
        </identifiers>
        <balance>1054125.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36067.530000</valUSD>
        <pctVal>0.0025783</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-15</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 373182 FN 05/36 FLOATING VAR</title>
        <cusip>31377CRB1</cusip>
        <identifiers>
          <isin value="US31377CRB18"/>
        </identifiers>
        <balance>1325.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1283.860000</valUSD>
        <pctVal>0.0000918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.621</annualizedRt>
          <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 AA8715 FN 06/39 FIXED 4</title>
        <cusip>31416SVH1</cusip>
        <identifiers>
          <isin value="US31416SVH11"/>
        </identifiers>
        <balance>36714.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35818.590000</valUSD>
        <pctVal>0.0025605</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 780992 GN 12/28 FIXED 8</title>
        <cusip>36225BC55</cusip>
        <identifiers>
          <isin value="US36225BC559"/>
        </identifiers>
        <balance>991.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1015.160000</valUSD>
        <pctVal>0.0000726</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G1796 FH 12/35 FLOATING VAR</title>
        <cusip>3128QJ7H3</cusip>
        <identifiers>
          <isin value="US3128QJ7H37"/>
        </identifiers>
        <balance>213587.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217911.100000</valUSD>
        <pctVal>0.0155777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 415389 GN 09/29 FIXED 8.5</title>
        <cusip>36206MNE3</cusip>
        <identifiers>
          <isin value="US36206MNE39"/>
        </identifiers>
        <balance>2015.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2017.750000</valUSD>
        <pctVal>0.0001442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 655187 FN 05/32 FIXED 8</title>
        <cusip>31390S2U4</cusip>
        <identifiers>
          <isin value="US31390S2U45"/>
        </identifiers>
        <balance>1121.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1123.160000</valUSD>
        <pctVal>0.0000803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1997-89</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 89 ZA</title>
        <cusip>31359RPS5</cusip>
        <identifiers>
          <isin value="US31359RPS57"/>
        </identifiers>
        <balance>14089.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14300.470000</valUSD>
        <pctVal>0.0010223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889466 FN 05/38 FIXED VAR</title>
        <cusip>31410KFF6</cusip>
        <identifiers>
          <isin value="US31410KFF66"/>
        </identifiers>
        <balance>5876.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6139.220000</valUSD>
        <pctVal>0.0004389</pctVal>
        <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>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 974965 FN 04/38 FIXED 5</title>
        <cusip>31414STW3</cusip>
        <identifiers>
          <isin value="US31414STW34"/>
        </identifiers>
        <balance>1188.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1207.800000</valUSD>
        <pctVal>0.0000863</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>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>CIFC FUNDING LTD 2017-4A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2017 4A A1R 144A</title>
        <cusip>12551JAL0</cusip>
        <identifiers>
          <isin value="US12551JAL08"/>
        </identifiers>
        <balance>5821702.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5817336.670000</valUSD>
        <pctVal>0.415861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.61008</annualizedRt>
          <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 003829 G2 03/36 FIXED 5</title>
        <cusip>36202EHE2</cusip>
        <identifiers>
          <isin value="US36202EHE23"/>
        </identifiers>
        <balance>48825.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49743.120000</valUSD>
        <pctVal>0.003556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-20</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 678137 FN 01/33 FIXED 6</title>
        <cusip>31391VLS0</cusip>
        <identifiers>
          <isin value="US31391VLS06"/>
        </identifiers>
        <balance>85099.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87348.280000</valUSD>
        <pctVal>0.0062442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 MA0606 FN 12/30 FIXED 4.5</title>
        <cusip>31417YU88</cusip>
        <identifiers>
          <isin value="US31417YU882"/>
        </identifiers>
        <balance>10202.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10146.260000</valUSD>
        <pctVal>0.0007253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5</title>
        <cusip>3128M4ZV8</cusip>
        <identifiers>
          <isin value="US3128M4ZV89"/>
        </identifiers>
        <balance>3835.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3956.570000</valUSD>
        <pctVal>0.0002828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>MASTR ASSET BACKED SEC TR 2005-NC1</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2</title>
        <cusip>57643LGG5</cusip>
        <identifiers>
          <isin value="US57643LGG59"/>
        </identifiers>
        <balance>423026.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414616.020000</valUSD>
        <pctVal>0.0296394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.22043</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890151 FN 06/24 FIXED VAR</title>
        <cusip>31410K5L4</cusip>
        <identifiers>
          <isin value="US31410K5L46"/>
        </identifiers>
        <balance>36.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36.550000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-01</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>THORNBURG MORTGAGE SECURITIES TR 2003-3</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2003 3 A4</title>
        <cusip>885220DR1</cusip>
        <identifiers>
          <isin value="US885220DR12"/>
        </identifiers>
        <balance>128828.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117838.100000</valUSD>
        <pctVal>0.0084238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.01476</annualizedRt>
          <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 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040610</cusip>
        <identifiers>
          <isin value="US01F0406102"/>
        </identifiers>
        <balance>96240000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91033265.870000</valUSD>
        <pctVal>6.50765</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>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 970643 FN 10/38 FIXED 6.5</title>
        <cusip>31414MZG4</cusip>
        <identifiers>
          <isin value="US31414MZG40"/>
        </identifiers>
        <balance>340.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>359.370000</valUSD>
        <pctVal>0.0000257</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 655687 FN 08/32 FIXED 6.5</title>
        <cusip>31390TNC9</cusip>
        <identifiers>
          <isin value="US31390TNC98"/>
        </identifiers>
        <balance>34636.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36330.100000</valUSD>
        <pctVal>0.0025971</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>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 TBA 30 YR 2.5 JUMBOS</title>
        <cusip>21H022614</cusip>
        <identifiers>
          <isin value="US21H0226140"/>
        </identifiers>
        <balance>65050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56913830.920000</valUSD>
        <pctVal>4.06857</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>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 759098 FN 01/34 FIXED 5.5</title>
        <cusip>31403VKK4</cusip>
        <identifiers>
          <isin value="US31403VKK43"/>
        </identifiers>
        <balance>147.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>151.780000</valUSD>
        <pctVal>0.0000109</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 799982 FN 12/34 FIXED 5.5</title>
        <cusip>31405UXK0</cusip>
        <identifiers>
          <isin value="US31405UXK05"/>
        </identifiers>
        <balance>103.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106.840000</valUSD>
        <pctVal>0.0000076</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 440657 FN 10/28 FIXED 6.5</title>
        <cusip>31380HQJ9</cusip>
        <identifiers>
          <isin value="US31380HQJ94"/>
        </identifiers>
        <balance>57.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59.430000</valUSD>
        <pctVal>0.0000042</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>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 648540 FN 06/32 FIXED 6</title>
        <cusip>31390KPZ5</cusip>
        <identifiers>
          <isin value="US31390KPZ56"/>
        </identifiers>
        <balance>7027.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7214.970000</valUSD>
        <pctVal>0.0005158</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-01</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>NASSAU LTD 2017-IIA</name>
        <lei>N/A</lei>
        <title>NASSAU 2017 II LTD NCC 2017 IIA AL 144A</title>
        <cusip>631709AA0</cusip>
        <identifiers>
          <isin value="US631709AA04"/>
        </identifiers>
        <balance>1398533.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1400473.600000</valUSD>
        <pctVal>0.100115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.90548</annualizedRt>
          <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 713866 GN 09/39 FIXED 5</title>
        <cusip>36297KCB5</cusip>
        <identifiers>
          <isin value="US36297KCB52"/>
        </identifiers>
        <balance>5575.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5567.110000</valUSD>
        <pctVal>0.000398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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>FREDDIE MAC 2452</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2452 FG</title>
        <cusip>31392K6W1</cusip>
        <identifiers>
          <isin value="US31392K6W18"/>
        </identifiers>
        <balance>325.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325.330000</valUSD>
        <pctVal>0.0000233</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.00292</annualizedRt>
          <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 735362 FN 03/35 FLOATING VAR</title>
        <cusip>31402Q5X5</cusip>
        <identifiers>
          <isin value="US31402Q5X53"/>
        </identifiers>
        <balance>13674.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13646.780000</valUSD>
        <pctVal>0.0009756</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>4.894</annualizedRt>
          <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 CA8528 FN 01/51 FIXED 2.5</title>
        <cusip>3140QGPN1</cusip>
        <identifiers>
          <isin value="US3140QGPN11"/>
        </identifiers>
        <balance>4868189.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4162791.410000</valUSD>
        <pctVal>0.297583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 798412 FN 10/34 FIXED 5.5</title>
        <cusip>31405TAM4</cusip>
        <identifiers>
          <isin value="US31405TAM45"/>
        </identifiers>
        <balance>1379.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1406.610000</valUSD>
        <pctVal>0.0001006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782425 GN 10/38 FIXED 5.5</title>
        <cusip>36241KVS4</cusip>
        <identifiers>
          <isin value="US36241KVS40"/>
        </identifiers>
        <balance>32358.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32717.590000</valUSD>
        <pctVal>0.0023389</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 G30412 FG 03/28 FIXED 6</title>
        <cusip>3128CUN51</cusip>
        <identifiers>
          <isin value="US3128CUN511"/>
        </identifiers>
        <balance>14699.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14946.740000</valUSD>
        <pctVal>0.0010685</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</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 555528 FN 04/33 FIXED VAR</title>
        <cusip>31385XD95</cusip>
        <identifiers>
          <isin value="US31385XD954"/>
        </identifiers>
        <balance>60016.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62117.370000</valUSD>
        <pctVal>0.0044406</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>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>N/A</name>
        <lei>N/A</lei>
        <title>317U3ORA6 PIMCO SWAPTION 5.25 PUT USD 20240221</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002PLR0"/>
        </identifiers>
        <balance>77000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2748.900000</valUSD>
        <pctVal>0.0001965</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.25000 02/23/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01WV51"/>
                    </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/5.25000 02/23/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01WV51"/>
                      </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="5.250000"/>
                  <terminationDt>2025-02-23</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>5.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-75213.600000</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 723748 GN 05/40 FIXED 4.5</title>
        <cusip>3620AABR8</cusip>
        <identifiers>
          <isin value="US3620AABR81"/>
        </identifiers>
        <balance>142550.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142471.690000</valUSD>
        <pctVal>0.0101848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 898810 FN 11/36 FIXED 6</title>
        <cusip>31410VR77</cusip>
        <identifiers>
          <isin value="US31410VR772"/>
        </identifiers>
        <balance>6021.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6235.650000</valUSD>
        <pctVal>0.0004458</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>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>PRIME MORTGAGE TRUST 2004-CL1</name>
        <lei>N/A</lei>
        <title>PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2</title>
        <cusip>74160MDL3</cusip>
        <identifiers>
          <isin value="US74160MDL37"/>
        </identifiers>
        <balance>7790.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7270.000000</valUSD>
        <pctVal>0.0005197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>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 BY4799 FN 06/53 FIXED 5</title>
        <cusip>3140NMKM8</cusip>
        <identifiers>
          <isin value="US3140NMKM87"/>
        </identifiers>
        <balance>1112929.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1113159.550000</valUSD>
        <pctVal>0.0795758</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>
        </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 008909 G2 07/26 FLOATING VAR</title>
        <cusip>36202K3S2</cusip>
        <identifiers>
          <isin value="US36202K3S21"/>
        </identifiers>
        <balance>1649.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1624.240000</valUSD>
        <pctVal>0.0001161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01507 FG 12/32 FIXED 7</title>
        <cusip>31283HU86</cusip>
        <identifiers>
          <isin value="US31283HU867"/>
        </identifiers>
        <balance>12034.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12436.730000</valUSD>
        <pctVal>0.0008891</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AN5728 GN 06/45 FIXED 3</title>
        <cusip>36186NLH0</cusip>
        <identifiers>
          <isin value="US36186NLH07"/>
        </identifiers>
        <balance>42315.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38635.170000</valUSD>
        <pctVal>0.0027619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-15</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 949542 FN 10/37 FIXED 6</title>
        <cusip>31413MLX3</cusip>
        <identifiers>
          <isin value="US31413MLX38"/>
        </identifiers>
        <balance>68443.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70613.790000</valUSD>
        <pctVal>0.0050479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</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>N/A</name>
        <lei>N/A</lei>
        <title>317U2OGA9 PIMCO SWAPTION 3.0125 PUT USD 202404</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002CV72"/>
        </identifiers>
        <balance>14000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>415419.200000</valUSD>
        <pctVal>0.0296968</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/3.01250 04/09/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01QYE2"/>
                    </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/3.01250 04/09/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01QYE2"/>
                      </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="3.012500"/>
                  <terminationDt>2031-04-09</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>3.010000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>114419.200000</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 662065 GN 12/36 FIXED 6.5</title>
        <cusip>36294WQS0</cusip>
        <identifiers>
          <isin value="US36294WQS07"/>
        </identifiers>
        <balance>17422.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17830.800000</valUSD>
        <pctVal>0.0012747</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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 604801 GN 11/33 FIXED 5</title>
        <cusip>36200M3J0</cusip>
        <identifiers>
          <isin value="US36200M3J06"/>
        </identifiers>
        <balance>60429.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60618.370000</valUSD>
        <pctVal>0.0043334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-15</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 D97932 FG 07/28 FIXED 5</title>
        <cusip>3128E4Y55</cusip>
        <identifiers>
          <isin value="US3128E4Y552"/>
        </identifiers>
        <balance>10237.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10214.570000</valUSD>
        <pctVal>0.0007302</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>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 080555 G2 11/31 FLOATING VAR</title>
        <cusip>36225CTM8</cusip>
        <identifiers>
          <isin value="US36225CTM81"/>
        </identifiers>
        <balance>148260.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144751.460000</valUSD>
        <pctVal>0.0103478</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MAGNETITE CLO LTD 2023-39A</name>
        <lei>N/A</lei>
        <title>MAGNETITE CLO LTD MAGNE 2023 39A A 144A</title>
        <cusip>559924AA3</cusip>
        <identifiers>
          <isin value="US559924AA30"/>
        </identifiers>
        <balance>4000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4005383.360000</valUSD>
        <pctVal>0.286331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.93481</annualizedRt>
          <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 782920 GN 03/40 FIXED 5.5</title>
        <cusip>36241LG59</cusip>
        <identifiers>
          <isin value="US36241LG598"/>
        </identifiers>
        <balance>24229.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24501.370000</valUSD>
        <pctVal>0.0017515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 448355 GN 04/31 FIXED 7.5</title>
        <cusip>36208EBY8</cusip>
        <identifiers>
          <isin value="US36208EBY86"/>
        </identifiers>
        <balance>1053.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1065.030000</valUSD>
        <pctVal>0.0000761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 724247 GN 08/39 FIXED 5</title>
        <cusip>3620AATC2</cusip>
        <identifiers>
          <isin value="US3620AATC21"/>
        </identifiers>
        <balance>4367.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4348.860000</valUSD>
        <pctVal>0.0003109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809953 FN 03/35 FIXED 6</title>
        <cusip>31406GZS1</cusip>
        <identifiers>
          <isin value="US31406GZS10"/>
        </identifiers>
        <balance>28789.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29685.730000</valUSD>
        <pctVal>0.0021221</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A84179 FG 01/37 FIXED 4</title>
        <cusip>312930UC2</cusip>
        <identifiers>
          <isin value="US312930UC22"/>
        </identifiers>
        <balance>123075.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>121155.450000</valUSD>
        <pctVal>0.008661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A</name>
        <lei>N/A</lei>
        <title>GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A</title>
        <cusip>36361UAL4</cusip>
        <identifiers>
          <isin value="US36361UAL44"/>
        </identifiers>
        <balance>4075518.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4069138.950000</valUSD>
        <pctVal>0.290888</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74548</annualizedRt>
          <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 745257 FN 01/36 FIXED VAR</title>
        <cusip>31403C5S6</cusip>
        <identifiers>
          <isin value="US31403C5S66"/>
        </identifiers>
        <balance>3459.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3614.810000</valUSD>
        <pctVal>0.0002584</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>
        </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 357515 FN 03/34 FIXED 5.5</title>
        <cusip>31376KDU7</cusip>
        <identifiers>
          <isin value="US31376KDU79"/>
        </identifiers>
        <balance>6574.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6772.920000</valUSD>
        <pctVal>0.0004842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928362 FN 06/27 FIXED 6.5</title>
        <cusip>31412LMK3</cusip>
        <identifiers>
          <isin value="US31412LMK34"/>
        </identifiers>
        <balance>5899.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6047.010000</valUSD>
        <pctVal>0.0004323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 785867 FH 12/26 FLOATING VAR</title>
        <cusip>31348SQU1</cusip>
        <identifiers>
          <isin value="US31348SQU14"/>
        </identifiers>
        <balance>2197.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2181.910000</valUSD>
        <pctVal>0.000156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.46</annualizedRt>
          <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 LN TR 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2</title>
        <cusip>12667GCC5</cusip>
        <identifiers>
          <isin value="US12667GCC50"/>
        </identifiers>
        <balance>111910.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79586.920000</valUSD>
        <pctVal>0.0056894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</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 A35819 FG 07/35 FIXED 5</title>
        <cusip>31297RPC5</cusip>
        <identifiers>
          <isin value="US31297RPC50"/>
        </identifiers>
        <balance>19072.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19415.560000</valUSD>
        <pctVal>0.0013879</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>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 G03052 FG 06/37 FIXED 5.5</title>
        <cusip>3128M4WM1</cusip>
        <identifiers>
          <isin value="US3128M4WM18"/>
        </identifiers>
        <balance>2888.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2979.400000</valUSD>
        <pctVal>0.000213</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>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>FANNIE MAE REMICS 2002-77</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 77 WF</title>
        <cusip>31392F6W2</cusip>
        <identifiers>
          <isin value="US31392F6W26"/>
        </identifiers>
        <balance>11936.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11915.100000</valUSD>
        <pctVal>0.0008518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.85258</annualizedRt>
          <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 CA6424 FN 07/50 FIXED 3</title>
        <cusip>3140QED66</cusip>
        <identifiers>
          <isin value="US3140QED669"/>
        </identifiers>
        <balance>4856449.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4339966.230000</valUSD>
        <pctVal>0.310249</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>
          <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 C91389 FG 08/31 FIXED 4</title>
        <cusip>3128P7RJ4</cusip>
        <identifiers>
          <isin value="US3128P7RJ44"/>
        </identifiers>
        <balance>8992.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8845.850000</valUSD>
        <pctVal>0.0006324</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0006 G2 04/27 FIXED 2.5</title>
        <cusip>36179MAF7</cusip>
        <identifiers>
          <isin value="US36179MAF77"/>
        </identifiers>
        <balance>50468.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48743.320000</valUSD>
        <pctVal>0.0034845</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</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 452875 FN 12/28 FIXED 6</title>
        <cusip>31380XCL4</cusip>
        <identifiers>
          <isin value="US31380XCL47"/>
        </identifiers>
        <balance>7358.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7578.190000</valUSD>
        <pctVal>0.0005417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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>RAD CLO 21 LTD 2023-21A</name>
        <lei>N/A</lei>
        <title>RAD CLO LTD RAD 2023 21A A 144A</title>
        <cusip>750099AA1</cusip>
        <identifiers>
          <isin value="US750099AA18"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2488378.130000</valUSD>
        <pctVal>0.177885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.96433</annualizedRt>
          <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 008633 G2 05/25 FLOATING VAR</title>
        <cusip>36202KSW6</cusip>
        <identifiers>
          <isin value="US36202KSW61"/>
        </identifiers>
        <balance>1561.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1548.370000</valUSD>
        <pctVal>0.0001107</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 896344 FN 10/36 FIXED 6</title>
        <cusip>31410SZH3</cusip>
        <identifiers>
          <isin value="US31410SZH39"/>
        </identifiers>
        <balance>20418.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21337.910000</valUSD>
        <pctVal>0.0015254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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 811801 FN 02/35 FLOATING VAR</title>
        <cusip>31406J3J0</cusip>
        <identifiers>
          <isin value="US31406J3J00"/>
        </identifiers>
        <balance>13376.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13329.230000</valUSD>
        <pctVal>0.0009529</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>4.175</annualizedRt>
          <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 BG5675 G2 07/48 FIXED 4</title>
        <cusip>3617GQJU8</cusip>
        <identifiers>
          <isin value="US3617GQJU89"/>
        </identifiers>
        <balance>372399.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>367445.170000</valUSD>
        <pctVal>0.0262674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-20</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 A55204 FG 12/36 FIXED 5.5</title>
        <cusip>3128KHX92</cusip>
        <identifiers>
          <isin value="US3128KHX924"/>
        </identifiers>
        <balance>251.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>258.430000</valUSD>
        <pctVal>0.0000185</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>HARBORVIEW MORTGAGE LOAN TRUST 2004-6</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A2A</title>
        <cusip>41161PFS7</cusip>
        <identifiers>
          <isin value="US41161PFS74"/>
        </identifiers>
        <balance>537798.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>498548.240000</valUSD>
        <pctVal>0.0356394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.30169</annualizedRt>
          <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 HOME LOANS 2005-HY10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 HY10 5A1</title>
        <cusip>126694VR6</cusip>
        <identifiers>
          <isin value="US126694VR65"/>
        </identifiers>
        <balance>976.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7139.870000</valUSD>
        <pctVal>0.0005104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.7026</annualizedRt>
          <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 A83772 FG 01/39 FIXED 5.5</title>
        <cusip>312930FM7</cusip>
        <identifiers>
          <isin value="US312930FM78"/>
        </identifiers>
        <balance>1632.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1684.680000</valUSD>
        <pctVal>0.0001204</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>
        </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 FM7441 FN 05/51 FIXED VAR</title>
        <cusip>3140XBHT0</cusip>
        <identifiers>
          <isin value="US3140XBHT03"/>
        </identifiers>
        <balance>3420121.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3026419.150000</valUSD>
        <pctVal>0.216348</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-05-01</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 547428 FN 06/30 FLOATING VAR</title>
        <cusip>31385ND97</cusip>
        <identifiers>
          <isin value="US31385ND971"/>
        </identifiers>
        <balance>19071.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18404.070000</valUSD>
        <pctVal>0.0013156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.037</annualizedRt>
          <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 680512 GN 01/40 FIXED 6</title>
        <cusip>36295UAM3</cusip>
        <identifiers>
          <isin value="US36295UAM36"/>
        </identifiers>
        <balance>65395.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66604.960000</valUSD>
        <pctVal>0.0047614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</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 AT8165 FN 06/43 FIXED 4</title>
        <cusip>3138WWCB3</cusip>
        <identifiers>
          <isin value="US3138WWCB32"/>
        </identifiers>
        <balance>1702330.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1654092.850000</valUSD>
        <pctVal>0.118245</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SILVER ROCK CLO LTD 2020-1A</name>
        <lei>N/A</lei>
        <title>SILVER ROCK CLO LTD SLVRK 2020 1A AR 144A</title>
        <cusip>82811RAJ6</cusip>
        <identifiers>
          <isin value="US82811RAJ68"/>
        </identifiers>
        <balance>1820000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1815444.780000</valUSD>
        <pctVal>0.12978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.13773</annualizedRt>
          <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 655605 GN 09/36 FIXED 6.5</title>
        <cusip>36294PKS1</cusip>
        <identifiers>
          <isin value="US36294PKS10"/>
        </identifiers>
        <balance>1868.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1932.170000</valUSD>
        <pctVal>0.0001381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</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 CB0613 FN 05/51 FIXED 3</title>
        <cusip>3140QKVF2</cusip>
        <identifiers>
          <isin value="US3140QKVF25"/>
        </identifiers>
        <balance>4266855.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3775656.880000</valUSD>
        <pctVal>0.269908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-05-01</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>CITIGROUP MTGE LOAN TRUST INC 2005-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A</title>
        <cusip>17307GW53</cusip>
        <identifiers>
          <isin value="US17307GW530"/>
        </identifiers>
        <balance>671.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>658.090000</valUSD>
        <pctVal>0.000047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.98</annualizedRt>
          <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 A14440 FG 10/33 FIXED 5.5</title>
        <cusip>31296N4Z7</cusip>
        <identifiers>
          <isin value="US31296N4Z71"/>
        </identifiers>
        <balance>1702.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1756.380000</valUSD>
        <pctVal>0.0001256</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 689635 FN 02/33 FIXED 6</title>
        <cusip>31400KEG7</cusip>
        <identifiers>
          <isin value="US31400KEG76"/>
        </identifiers>
        <balance>394.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>407.700000</valUSD>
        <pctVal>0.0000291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01772 FG 02/35 FIXED 5</title>
        <cusip>31283H6H3</cusip>
        <identifiers>
          <isin value="US31283H6H30"/>
        </identifiers>
        <balance>265.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270.570000</valUSD>
        <pctVal>0.0000193</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>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 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030611</cusip>
        <identifiers>
          <isin value="US01F0306112"/>
        </identifiers>
        <balance>178000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>157481329.460000</valUSD>
        <pctVal>11.2578</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>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 003908 G2 10/36 FIXED 5</title>
        <cusip>36202EKV0</cusip>
        <identifiers>
          <isin value="US36202EKV01"/>
        </identifiers>
        <balance>31792.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32392.930000</valUSD>
        <pctVal>0.0023157</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 716206 GN 05/39 FIXED 5</title>
        <cusip>3620A1U71</cusip>
        <identifiers>
          <isin value="US3620A1U710"/>
        </identifiers>
        <balance>2145.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2164.520000</valUSD>
        <pctVal>0.0001547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 685049 FN 03/34 FIXED 5.5</title>
        <cusip>31400EBS8</cusip>
        <identifiers>
          <isin value="US31400EBS81"/>
        </identifiers>
        <balance>2509.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2585.500000</valUSD>
        <pctVal>0.0001848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>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>230087.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>222265.360000</valUSD>
        <pctVal>0.015889</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>GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A</title>
        <cusip>36265LAB3</cusip>
        <identifiers>
          <isin value="US36265LAB36"/>
        </identifiers>
        <balance>15870534.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13590135.440000</valUSD>
        <pctVal>0.971511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-09-25</maturityDt>
          <couponKind>Variable</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 080292 G2 06/29 FLOATING VAR</title>
        <cusip>36225CKE5</cusip>
        <identifiers>
          <isin value="US36225CKE56"/>
        </identifiers>
        <balance>945.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>933.040000</valUSD>
        <pctVal>0.0000667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 417463 GN 09/25 FIXED 7</title>
        <cusip>36206PWY2</cusip>
        <identifiers>
          <isin value="US36206PWY23"/>
        </identifiers>
        <balance>510.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>509.210000</valUSD>
        <pctVal>0.0000364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 766044 FN 02/34 FIXED 6.5</title>
        <cusip>31404EBM7</cusip>
        <identifiers>
          <isin value="US31404EBM75"/>
        </identifiers>
        <balance>907.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>941.100000</valUSD>
        <pctVal>0.0000673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 689545 FN 01/33 FIXED 6</title>
        <cusip>31400KBN5</cusip>
        <identifiers>
          <isin value="US31400KBN54"/>
        </identifiers>
        <balance>503.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>520.010000</valUSD>
        <pctVal>0.0000372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/2.99750 09/16/22-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01LJS9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>461748.490000</valUSD>
        <pctVal>0.0330088</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01LJS9-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="2.997500"/>
            <terminationDt>2032-09-16</terminationDt>
            <upfrontPmnt>98725.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>11000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>363023.490000</unrealizedAppr>
          </swapDeriv>
        </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 782399 GN 09/38 FIXED 5.5</title>
        <cusip>36241KUY2</cusip>
        <identifiers>
          <isin value="US36241KUY27"/>
        </identifiers>
        <balance>49910.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50466.180000</valUSD>
        <pctVal>0.0036076</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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 A71523 FG 01/38 FIXED 5.5</title>
        <cusip>3128L4VQ4</cusip>
        <identifiers>
          <isin value="US3128L4VQ41"/>
        </identifiers>
        <balance>16802.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17248.170000</valUSD>
        <pctVal>0.001233</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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 G06872 FG 09/39 FIXED 5.5</title>
        <cusip>3128M86H2</cusip>
        <identifiers>
          <isin value="US3128M86H21"/>
        </identifiers>
        <balance>139944.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144374.150000</valUSD>
        <pctVal>0.0103208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 476245 GN 10/28 FIXED 6.5</title>
        <cusip>36209NBN1</cusip>
        <identifiers>
          <isin value="US36209NBN12"/>
        </identifiers>
        <balance>794.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>825.530000</valUSD>
        <pctVal>0.000059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-15</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 FM4862 FN 11/50 FIXED VAR</title>
        <cusip>3140X8ML8</cusip>
        <identifiers>
          <isin value="US3140X8ML84"/>
        </identifiers>
        <balance>2080876.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1781947.000000</valUSD>
        <pctVal>0.127385</pctVal>
        <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>
          <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 754803 FN 01/34 FIXED 5.5</title>
        <cusip>31403QRY8</cusip>
        <identifiers>
          <isin value="US31403QRY88"/>
        </identifiers>
        <balance>4315.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4445.320000</valUSD>
        <pctVal>0.0003178</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 686876 GN 05/38 FIXED 6</title>
        <cusip>36296CCM0</cusip>
        <identifiers>
          <isin value="US36296CCM01"/>
        </identifiers>
        <balance>22596.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22998.950000</valUSD>
        <pctVal>0.0016441</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</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>ANCHORAGE CAPITAL CLO LTD 2015-6A</name>
        <lei>N/A</lei>
        <title>ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A</title>
        <cusip>03328QAY7</cusip>
        <identifiers>
          <isin value="US03328QAY70"/>
        </identifiers>
        <balance>2740406.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2738873.000000</valUSD>
        <pctVal>0.195792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.70548</annualizedRt>
          <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 AT9182 FN 07/43 FIXED 4</title>
        <cusip>3138WXFY8</cusip>
        <identifiers>
          <isin value="US3138WXFY80"/>
        </identifiers>
        <balance>505469.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>491877.550000</valUSD>
        <pctVal>0.0351626</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 846597 FN 12/35 FIXED 6.5</title>
        <cusip>31408BRS9</cusip>
        <identifiers>
          <isin value="US31408BRS96"/>
        </identifiers>
        <balance>4771.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4978.190000</valUSD>
        <pctVal>0.0003559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F042624</cusip>
        <identifiers>
          <isin value="US01F0426241"/>
        </identifiers>
        <balance>-3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3395136.750000</valUSD>
        <pctVal>-0.242706</pctVal>
        <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>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>INDYMAC INDX MTGE LOAN TRUST 2005-AR11</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6</title>
        <cusip>45660LQL6</cusip>
        <identifiers>
          <isin value="US45660LQL61"/>
        </identifiers>
        <balance>419572.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310598.070000</valUSD>
        <pctVal>0.0222036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.67376</annualizedRt>
          <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 AL4287 FN 11/40 FIXED VAR</title>
        <cusip>3138ELXR9</cusip>
        <identifiers>
          <isin value="US3138ELXR91"/>
        </identifiers>
        <balance>2190292.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2277839.820000</valUSD>
        <pctVal>0.162835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-01</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 757044 GN 12/40 FIXED 4</title>
        <cusip>36230RZH2</cusip>
        <identifiers>
          <isin value="US36230RZH29"/>
        </identifiers>
        <balance>25230.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24548.400000</valUSD>
        <pctVal>0.0017549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 725773 FN 09/34 FIXED VAR</title>
        <cusip>31402DJS0</cusip>
        <identifiers>
          <isin value="US31402DJS09"/>
        </identifiers>
        <balance>22549.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23229.890000</valUSD>
        <pctVal>0.0016606</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002826 G2 10/29 FIXED 8</title>
        <cusip>36202DD73</cusip>
        <identifiers>
          <isin value="US36202DD735"/>
        </identifiers>
        <balance>5435.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5671.100000</valUSD>
        <pctVal>0.0004054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 560551 FN 11/30 FIXED 6.5</title>
        <cusip>31386DWL0</cusip>
        <identifiers>
          <isin value="US31386DWL09"/>
        </identifiers>
        <balance>6462.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6754.190000</valUSD>
        <pctVal>0.0004828</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>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>FIRST NATIONWIDE TRUST 2001-3</name>
        <lei>N/A</lei>
        <title>FIRST NATIONWIDE TRUST FNT 2001 3 1A1</title>
        <cusip>22540A3S5</cusip>
        <identifiers>
          <isin value="US22540A3S54"/>
        </identifiers>
        <balance>4268.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4015.180000</valUSD>
        <pctVal>0.000287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KKR CLO LTD 21</name>
        <lei>N/A</lei>
        <title>KKR FINANCIAL CLO LTD KKR 21 A 144A</title>
        <cusip>48252KAA7</cusip>
        <identifiers>
          <isin value="US48252KAA79"/>
        </identifiers>
        <balance>950932.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>949545.780000</valUSD>
        <pctVal>0.0678797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.65548</annualizedRt>
          <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 Q35988 FG 09/45 FIXED 4</title>
        <cusip>3132QSUN6</cusip>
        <identifiers>
          <isin value="US3132QSUN69"/>
        </identifiers>
        <balance>300524.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291223.180000</valUSD>
        <pctVal>0.0208185</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-01</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 ZN1091 FR 11/33 FIXED 3.5</title>
        <cusip>3131Y7F85</cusip>
        <identifiers>
          <isin value="US3131Y7F852"/>
        </identifiers>
        <balance>195288.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188661.720000</valUSD>
        <pctVal>0.0134868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773696 FN 04/34 FIXED 5.5</title>
        <cusip>31404NRR9</cusip>
        <identifiers>
          <isin value="US31404NRR97"/>
        </identifiers>
        <balance>12461.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12837.450000</valUSD>
        <pctVal>0.0009177</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 190880 FN 11/28 FLOATING VAR</title>
        <cusip>31368H6R9</cusip>
        <identifiers>
          <isin value="US31368H6R94"/>
        </identifiers>
        <balance>9269.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9165.980000</valUSD>
        <pctVal>0.0006552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.54</annualizedRt>
          <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 781083 FN 05/34 FIXED 5.5</title>
        <cusip>31404WXL5</cusip>
        <identifiers>
          <isin value="US31404WXL52"/>
        </identifiers>
        <balance>3822.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3902.660000</valUSD>
        <pctVal>0.000279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT9697 FN 06/43 FIXED 4</title>
        <cusip>3138WXX36</cusip>
        <identifiers>
          <isin value="US3138WXX362"/>
        </identifiers>
        <balance>329615.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>320751.710000</valUSD>
        <pctVal>0.0229294</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>
        </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 679495 GN 01/38 FIXED 5.5</title>
        <cusip>36295S3C8</cusip>
        <identifiers>
          <isin value="US36295S3C83"/>
        </identifiers>
        <balance>21311.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21446.240000</valUSD>
        <pctVal>0.0015331</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-15</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>JP MORGAN MORTGAGE TRUST 2019-6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A</title>
        <cusip>46651BAL4</cusip>
        <identifiers>
          <isin value="US46651BAL45"/>
        </identifiers>
        <balance>1812267.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1744963.730000</valUSD>
        <pctVal>0.124741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.37043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTG SEC CORP 2002-HE1</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 A2</title>
        <cusip>22540VUG5</cusip>
        <identifiers>
          <isin value="US22540VUG57"/>
        </identifiers>
        <balance>98766.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93653.160000</valUSD>
        <pctVal>0.0066949</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.21043</annualizedRt>
          <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"/>
        </identifiers>
        <balance>6142.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6141.480000</valUSD>
        <pctVal>0.000439</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 732933 GN 01/40 FIXED 5</title>
        <cusip>3620ALHJ6</cusip>
        <identifiers>
          <isin value="US3620ALHJ66"/>
        </identifiers>
        <balance>33765.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33720.860000</valUSD>
        <pctVal>0.0024106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</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>SYMPHONY CLO XVII LTD 2016-17A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2016 17A AR 144A</title>
        <cusip>87165UAN1</cusip>
        <identifiers>
          <isin value="US87165UAN19"/>
        </identifiers>
        <balance>134314.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134462.350000</valUSD>
        <pctVal>0.0096122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.53548</annualizedRt>
          <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 BR6606 GN 02/50 FIXED 3</title>
        <cusip>3617M5KT8</cusip>
        <identifiers>
          <isin value="US3617M5KT81"/>
        </identifiers>
        <balance>300090.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>267974.060000</valUSD>
        <pctVal>0.0191565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A75437 FG 03/38 FIXED 5.5</title>
        <cusip>3128L9BE2</cusip>
        <identifiers>
          <isin value="US3128L9BE28"/>
        </identifiers>
        <balance>3821.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3942.000000</valUSD>
        <pctVal>0.0002818</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>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN TRUST 2006-OA16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C</title>
        <cusip>23242GAZ7</cusip>
        <identifiers>
          <isin value="US23242GAZ72"/>
        </identifiers>
        <balance>1461869.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1051291.330000</valUSD>
        <pctVal>0.0751531</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>6.15043</annualizedRt>
          <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 004143 G2 05/38 FIXED 5</title>
        <cusip>36202ES83</cusip>
        <identifiers>
          <isin value="US36202ES830"/>
        </identifiers>
        <balance>533473.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>542249.710000</valUSD>
        <pctVal>0.0387635</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-20</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>CSMC 2021-INV1 TRUST</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A</title>
        <cusip>12661XAC6</cusip>
        <identifiers>
          <isin value="US12661XAC65"/>
        </identifiers>
        <balance>1120175.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>924045.290000</valUSD>
        <pctVal>0.0660567</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2016-57</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 57 FN</title>
        <cusip>3136ATEK6</cusip>
        <identifiers>
          <isin value="US3136ATEK65"/>
        </identifiers>
        <balance>805680.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>786199.450000</valUSD>
        <pctVal>0.0562026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.90191</annualizedRt>
          <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 LN TR 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1</title>
        <cusip>12667GCH4</cusip>
        <identifiers>
          <isin value="US12667GCH48"/>
        </identifiers>
        <balance>57178.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52240.700000</valUSD>
        <pctVal>0.0037345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.91043</annualizedRt>
          <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 786064 FH 01/28 FLOATING VAR</title>
        <cusip>31348SWZ3</cusip>
        <identifiers>
          <isin value="US31348SWZ37"/>
        </identifiers>
        <balance>5333.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5271.010000</valUSD>
        <pctVal>0.0003768</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.262</annualizedRt>
          <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 AX4793 G2 03/47 FIXED 3.5</title>
        <cusip>36196GKE1</cusip>
        <identifiers>
          <isin value="US36196GKE16"/>
        </identifiers>
        <balance>159001.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150133.480000</valUSD>
        <pctVal>0.0107325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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>RFR USD SOFR/3.25000 12/20/23-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZG0TR609791"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>447466.030000</valUSD>
        <pctVal>0.0319878</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01VAM9-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.250000"/>
            <terminationDt>2053-12-20</terminationDt>
            <upfrontPmnt>3273069.050000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>53100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2825603.020000</unrealizedAppr>
          </swapDeriv>
        </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 807280 FN 10/34 FIXED 6.5</title>
        <cusip>31406D2M7</cusip>
        <identifiers>
          <isin value="US31406D2M74"/>
        </identifiers>
        <balance>82029.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85426.160000</valUSD>
        <pctVal>0.0061068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 BC1138 GN 08/47 FIXED 4</title>
        <cusip>3617B4HP5</cusip>
        <identifiers>
          <isin value="US3617B4HP50"/>
        </identifiers>
        <balance>307190.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296747.180000</valUSD>
        <pctVal>0.0212134</pctVal>
        <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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 777730 FN 05/34 FIXED 5.5</title>
        <cusip>31404TA78</cusip>
        <identifiers>
          <isin value="US31404TA783"/>
        </identifiers>
        <balance>22355.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22823.610000</valUSD>
        <pctVal>0.0016316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782539 GN 11/38 FIXED 5.5</title>
        <cusip>36241KZC5</cusip>
        <identifiers>
          <isin value="US36241KZC51"/>
        </identifiers>
        <balance>88333.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89326.700000</valUSD>
        <pctVal>0.0063856</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 986946 FN 09/38 FIXED 6</title>
        <cusip>31415RL36</cusip>
        <identifiers>
          <isin value="US31415RL368"/>
        </identifiers>
        <balance>1304.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1352.480000</valUSD>
        <pctVal>0.0000967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI8341 FN 07/26 FIXED 4</title>
        <cusip>3138ANHT3</cusip>
        <identifiers>
          <isin value="US3138ANHT34"/>
        </identifiers>
        <balance>188.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>184.800000</valUSD>
        <pctVal>0.0000132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 788825 FH 11/31 FLOATING VAR</title>
        <cusip>31295MYW4</cusip>
        <identifiers>
          <isin value="US31295MYW45"/>
        </identifiers>
        <balance>353.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>359.770000</valUSD>
        <pctVal>0.0000257</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>6.375</annualizedRt>
          <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 725162 FN 02/34 FIXED VAR</title>
        <cusip>31402CTT9</cusip>
        <identifiers>
          <isin value="US31402CTT98"/>
        </identifiers>
        <balance>2017.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2097.460000</valUSD>
        <pctVal>0.0001499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 750486 FN 12/33 FIXED 5.5</title>
        <cusip>31403JXP6</cusip>
        <identifiers>
          <isin value="US31403JXP64"/>
        </identifiers>
        <balance>12120.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12486.450000</valUSD>
        <pctVal>0.0008926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 602285 FN 08/31 FIXED 6.5</title>
        <cusip>31388ECW4</cusip>
        <identifiers>
          <isin value="US31388ECW49"/>
        </identifiers>
        <balance>7737.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8040.510000</valUSD>
        <pctVal>0.0005748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3862 FN 01/38 FIXED 3</title>
        <cusip>3140H5JG7</cusip>
        <identifiers>
          <isin value="US3140H5JG74"/>
        </identifiers>
        <balance>3359889.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3105092.690000</valUSD>
        <pctVal>0.221972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256821 FN 07/27 FIXED 6.5</title>
        <cusip>31371NG66</cusip>
        <identifiers>
          <isin value="US31371NG669"/>
        </identifiers>
        <balance>16114.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16517.760000</valUSD>
        <pctVal>0.0011808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 778066 FN 05/34 FIXED 5.5</title>
        <cusip>31404TMP5</cusip>
        <identifiers>
          <isin value="US31404TMP56"/>
        </identifiers>
        <balance>3984.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4085.630000</valUSD>
        <pctVal>0.0002921</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 G00811 FG 08/27 FIXED 8.5</title>
        <cusip>31283G3U9</cusip>
        <identifiers>
          <isin value="US31283G3U95"/>
        </identifiers>
        <balance>633.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>649.480000</valUSD>
        <pctVal>0.0000464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06249 FG 05/40 FIXED 6</title>
        <cusip>3128M8H23</cusip>
        <identifiers>
          <isin value="US3128M8H236"/>
        </identifiers>
        <balance>5852.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6121.430000</valUSD>
        <pctVal>0.0004376</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05651 FG 09/39 FIXED 5</title>
        <cusip>3128M7TG1</cusip>
        <identifiers>
          <isin value="US3128M7TG18"/>
        </identifiers>
        <balance>24570.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25013.660000</valUSD>
        <pctVal>0.0017881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</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 850616 FN 02/36 FLOATING VAR</title>
        <cusip>31408GAR8</cusip>
        <identifiers>
          <isin value="US31408GAR83"/>
        </identifiers>
        <balance>13106.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13072.710000</valUSD>
        <pctVal>0.0009345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.287</annualizedRt>
          <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 680222 GN 01/38 FIXED 6</title>
        <cusip>36295TVP6</cusip>
        <identifiers>
          <isin value="US36295TVP64"/>
        </identifiers>
        <balance>3706.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3816.510000</valUSD>
        <pctVal>0.0002728</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-15</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>MLCC MORTGAGE INVESTORS INC 2003-G</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2003 G A4B</title>
        <cusip>5899296K9</cusip>
        <identifiers>
          <isin value="US5899296K98"/>
        </identifiers>
        <balance>725859.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>653880.490000</valUSD>
        <pctVal>0.0467436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.76224</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3</title>
        <cusip>68400DAE4</cusip>
        <identifiers>
          <isin value="US68400DAE40"/>
        </identifiers>
        <balance>490876.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>278431.280000</valUSD>
        <pctVal>0.0199041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.61043</annualizedRt>
          <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 Q01708 FG 06/41 FIXED 5</title>
        <cusip>3132GE3R9</cusip>
        <identifiers>
          <isin value="US3132GE3R90"/>
        </identifiers>
        <balance>14860.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15047.270000</valUSD>
        <pctVal>0.0010757</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>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>DRYDEN CLO LTD 2018-64A</name>
        <lei>N/A</lei>
        <title>DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A</title>
        <cusip>26251LAC8</cusip>
        <identifiers>
          <isin value="US26251LAC81"/>
        </identifiers>
        <balance>3582980.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3576848.240000</valUSD>
        <pctVal>0.255696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.62665</annualizedRt>
          <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 A14624 FG 10/33 FIXED 5</title>
        <cusip>31296PD58</cusip>
        <identifiers>
          <isin value="US31296PD587"/>
        </identifiers>
        <balance>2332.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2374.440000</valUSD>
        <pctVal>0.0001697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>COUNTRYWIDE HOME LOANS 2006-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2</title>
        <cusip>126694YR3</cusip>
        <identifiers>
          <isin value="US126694YR39"/>
        </identifiers>
        <balance>6463.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1567.670000</valUSD>
        <pctVal>0.0001121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NASSAU LTD 2017-IA</name>
        <lei>N/A</lei>
        <title>NASSAU LTD NCC 2017 IA A1AS 144A</title>
        <cusip>631707AL0</cusip>
        <identifiers>
          <isin value="US631707AL03"/>
        </identifiers>
        <balance>1333839.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1333828.960000</valUSD>
        <pctVal>0.0953507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.80548</annualizedRt>
          <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 BD0549 G2 08/48 FIXED 5</title>
        <cusip>3617BFTE2</cusip>
        <identifiers>
          <isin value="US3617BFTE28"/>
        </identifiers>
        <balance>133486.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133874.550000</valUSD>
        <pctVal>0.0095702</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-20</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 MA1248 FN 11/42 FIXED 3</title>
        <cusip>31418AL63</cusip>
        <identifiers>
          <isin value="US31418AL632"/>
        </identifiers>
        <balance>965592.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>874409.510000</valUSD>
        <pctVal>0.0625084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A95755 FG 12/40 FIXED 5</title>
        <cusip>312944MC2</cusip>
        <identifiers>
          <isin value="US312944MC26"/>
        </identifiers>
        <balance>1280.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1295.230000</valUSD>
        <pctVal>0.0000926</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>MORGAN STANLEY MTGE LN TR 2007-8XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1</title>
        <cusip>61754PAA2</cusip>
        <identifiers>
          <isin value="US61754PAA21"/>
        </identifiers>
        <balance>483685.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235857.570000</valUSD>
        <pctVal>0.0168606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4338</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4338 SB</title>
        <cusip>3137BB7D6</cusip>
        <identifiers>
          <isin value="US3137BB7D64"/>
        </identifiers>
        <balance>232788.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10724.510000</valUSD>
        <pctVal>0.0007667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <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 669050 GN 05/37 FIXED 6.5</title>
        <cusip>36295FH31</cusip>
        <identifiers>
          <isin value="US36295FH313"/>
        </identifiers>
        <balance>3578.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3682.600000</valUSD>
        <pctVal>0.0002633</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>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>3175134V8 OTC ECAL FN 6.0 FEB24 101.226563 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH44852"/>
        </identifiers>
        <balance>-37000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-267580.300000</valUSD>
        <pctVal>-0.0191284</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606263"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-128830.300000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </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"/>
        </identifiers>
        <balance>924854.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>486328.450000</valUSD>
        <pctVal>0.0347659</pctVal>
        <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>
        </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 BL1296 FN 02/26 FIXED 3.575</title>
        <cusip>3140HSNN7</cusip>
        <identifiers>
          <isin value="US3140HSNN77"/>
        </identifiers>
        <balance>9000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8773177.140000</valUSD>
        <pctVal>0.627163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.575</annualizedRt>
          <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 A60612 FG 05/37 FIXED 5.5</title>
        <cusip>3128KQVD5</cusip>
        <identifiers>
          <isin value="US3128KQVD56"/>
        </identifiers>
        <balance>6592.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6784.360000</valUSD>
        <pctVal>0.000485</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>MASTR ASSET SECURIZATION TR 2007-3</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5</title>
        <cusip>57645NAT7</cusip>
        <identifiers>
          <isin value="US57645NAT72"/>
        </identifiers>
        <balance>3350000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2642601.610000</valUSD>
        <pctVal>0.18891</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15043</annualizedRt>
          <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 C73849 FG 12/32 FIXED 5</title>
        <cusip>31288CH20</cusip>
        <identifiers>
          <isin value="US31288CH203"/>
        </identifiers>
        <balance>202.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>206.580000</valUSD>
        <pctVal>0.0000148</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>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 G05860 FG 02/40 FIXED 5.5</title>
        <cusip>3128M7ZZ2</cusip>
        <identifiers>
          <isin value="US3128M7ZZ25"/>
        </identifiers>
        <balance>14934.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15407.830000</valUSD>
        <pctVal>0.0011015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 713696 FN 08/33 FIXED 5.5</title>
        <cusip>31401N3D9</cusip>
        <identifiers>
          <isin value="US31401N3D90"/>
        </identifiers>
        <balance>1000.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1025.740000</valUSD>
        <pctVal>0.0000733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 904015 FN 01/37 FIXED 6</title>
        <cusip>31411CK42</cusip>
        <identifiers>
          <isin value="US31411CK429"/>
        </identifiers>
        <balance>5830.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6067.860000</valUSD>
        <pctVal>0.0004338</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A59302 FG 04/37 FIXED 5.5</title>
        <cusip>3128KNKP7</cusip>
        <identifiers>
          <isin value="US3128KNKP74"/>
        </identifiers>
        <balance>226.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>234.090000</valUSD>
        <pctVal>0.0000167</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 766756 FN 03/34 FIXED 5.5</title>
        <cusip>31404EZV1</cusip>
        <identifiers>
          <isin value="US31404EZV19"/>
        </identifiers>
        <balance>11651.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12002.550000</valUSD>
        <pctVal>0.000858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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>FREDDIE MAC 4839</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4839 UO</title>
        <cusip>3137FJJY6</cusip>
        <identifiers>
          <isin value="US3137FJJY60"/>
        </identifiers>
        <balance>2996770.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2102989.040000</valUSD>
        <pctVal>0.150335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-15</maturityDt>
          <couponKind>None</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 BF0383 FN 04/59 FIXED 4.5</title>
        <cusip>3140FXM90</cusip>
        <identifiers>
          <isin value="US3140FXM903"/>
        </identifiers>
        <balance>10086509.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9836626.070000</valUSD>
        <pctVal>0.703186</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-04-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01469 FG 12/32 FIXED 5.5</title>
        <cusip>31283HT21</cusip>
        <identifiers>
          <isin value="US31283HT216"/>
        </identifiers>
        <balance>1189.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1227.000000</valUSD>
        <pctVal>0.0000877</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003013 G2 12/30 FIXED 8.5</title>
        <cusip>36202DK26</cusip>
        <identifiers>
          <isin value="US36202DK268"/>
        </identifiers>
        <balance>433.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>456.190000</valUSD>
        <pctVal>0.0000326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD5435 G2 12/47 FIXED 3.5</title>
        <cusip>3617BMBC0</cusip>
        <identifiers>
          <isin value="US3617BMBC05"/>
        </identifiers>
        <balance>587967.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555316.730000</valUSD>
        <pctVal>0.0396976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 793765 FN 10/34 FIXED 5.5</title>
        <cusip>31405MZ67</cusip>
        <identifiers>
          <isin value="US31405MZ675"/>
        </identifiers>
        <balance>59449.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61243.860000</valUSD>
        <pctVal>0.0043781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0169 FN 01/57 FIXED 3.5</title>
        <cusip>3140FXFK3</cusip>
        <identifiers>
          <isin value="US3140FXFK34"/>
        </identifiers>
        <balance>6890797.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6259568.660000</valUSD>
        <pctVal>0.447474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782780 GN 09/39 FIXED 5.5</title>
        <cusip>36241LCR5</cusip>
        <identifiers>
          <isin value="US36241LCR50"/>
        </identifiers>
        <balance>263065.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266016.810000</valUSD>
        <pctVal>0.0190166</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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>IMC HOME EQUITY LN TR 1997-3</name>
        <lei>N/A</lei>
        <title>IMC HOME EQUITY LOAN TRUST IMCHE 1997 3 A6</title>
        <cusip>449670CP1</cusip>
        <identifiers>
          <isin value="US449670CP15"/>
        </identifiers>
        <balance>1475.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1436.990000</valUSD>
        <pctVal>0.0001027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.52</annualizedRt>
          <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 AD0462 FN 10/24 FIXED VAR</title>
        <cusip>31418MQQ8</cusip>
        <identifiers>
          <isin value="US31418MQQ86"/>
        </identifiers>
        <balance>94.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95.630000</valUSD>
        <pctVal>0.0000068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</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>FREDDIE MAC 1885</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1885 FA</title>
        <cusip>3133T83D7</cusip>
        <identifiers>
          <isin value="US3133T83D73"/>
        </identifiers>
        <balance>6948.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6943.690000</valUSD>
        <pctVal>0.0004964</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-15</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 2080</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2080 Z</title>
        <cusip>3133TG3U1</cusip>
        <identifiers>
          <isin value="US3133TG3U18"/>
        </identifiers>
        <balance>4547.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4606.510000</valUSD>
        <pctVal>0.0003293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317U2J0A7 PIMCO SWAPTION 3.21 CALL USD 2024030</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0029V53"/>
        </identifiers>
        <balance>13800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>112595.580000</valUSD>
        <pctVal>0.0080491</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.21000 03/12/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01Q462"/>
                    </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/3.21000 03/12/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01Q462"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.210000"/>
                  <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>2031-03-12</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>3.210000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-177204.420000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 A75525 FG 04/38 FIXED 5</title>
        <cusip>3128L9D67</cusip>
        <identifiers>
          <isin value="US3128L9D671"/>
        </identifiers>
        <balance>835.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>850.440000</valUSD>
        <pctVal>0.0000608</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>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 A56911 FG 02/37 FIXED 5.5</title>
        <cusip>3128KKVC0</cusip>
        <identifiers>
          <isin value="US3128KKVC04"/>
        </identifiers>
        <balance>17160.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17703.810000</valUSD>
        <pctVal>0.0012656</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 C91218 FG 11/28 FIXED 6</title>
        <cusip>3128P7K77</cusip>
        <identifiers>
          <isin value="US3128P7K775"/>
        </identifiers>
        <balance>1058.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1075.890000</valUSD>
        <pctVal>0.0000769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD8329 FR 06/53 FIXED 5</title>
        <cusip>3132DWHE6</cusip>
        <identifiers>
          <isin value="US3132DWHE66"/>
        </identifiers>
        <balance>19472.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19269.350000</valUSD>
        <pctVal>0.0013775</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP</title>
        <cusip>38378MAC9</cusip>
        <identifiers>
          <isin value="US38378MAC91"/>
        </identifiers>
        <balance>2399773.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280762.720000</valUSD>
        <pctVal>0.0200707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-20</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 POOL BK3399 G2 11/48 FIXED 4.5</title>
        <cusip>3617J3X48</cusip>
        <identifiers>
          <isin value="US3617J3X484"/>
        </identifiers>
        <balance>18139.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17837.080000</valUSD>
        <pctVal>0.0012751</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256170 FN 03/26 FIXED 5</title>
        <cusip>31371MQX8</cusip>
        <identifiers>
          <isin value="US31371MQX82"/>
        </identifiers>
        <balance>31185.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30879.170000</valUSD>
        <pctVal>0.0022074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AZ7035 G2 04/47 FIXED 3.5</title>
        <cusip>36197KY89</cusip>
        <identifiers>
          <isin value="US36197KY894"/>
        </identifiers>
        <balance>505382.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>477714.340000</valUSD>
        <pctVal>0.0341501</pctVal>
        <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>
        </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 526030 GN 08/30 FIXED 8.5</title>
        <cusip>36211XLK0</cusip>
        <identifiers>
          <isin value="US36211XLK09"/>
        </identifiers>
        <balance>2973.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2969.740000</valUSD>
        <pctVal>0.0002123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4094</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4094 BZ</title>
        <cusip>3137ASV50</cusip>
        <identifiers>
          <isin value="US3137ASV505"/>
        </identifiers>
        <balance>3634111.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3380083.530000</valUSD>
        <pctVal>0.24163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1896</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1896 Z</title>
        <cusip>3133T82X4</cusip>
        <identifiers>
          <isin value="US3133T82X47"/>
        </identifiers>
        <balance>11267.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11236.160000</valUSD>
        <pctVal>0.0008032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317U3RLA5 PIMCO SWAPTION 5.25 PUT USD 20240819</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002Q4J5"/>
        </identifiers>
        <balance>68400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18967.320000</valUSD>
        <pctVal>0.0013559</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>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.25000 08/21/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01X1U7"/>
                    </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/5.25000 08/21/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01X1U7"/>
                      </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="5.250000"/>
                  <terminationDt>2025-08-21</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>5.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-118687.680000</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 II POOL 008830 G2 03/26 FLOATING VAR</title>
        <cusip>36202KY33</cusip>
        <identifiers>
          <isin value="US36202KY330"/>
        </identifiers>
        <balance>10771.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10566.610000</valUSD>
        <pctVal>0.0007554</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 840274 FN 11/35 FIXED 5.5</title>
        <cusip>31407TQ37</cusip>
        <identifiers>
          <isin value="US31407TQ378"/>
        </identifiers>
        <balance>489.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>504.670000</valUSD>
        <pctVal>0.0000361</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS9178 FN 10/28 FIXED 5.73</title>
        <cusip>3140LLFU0</cusip>
        <identifiers>
          <isin value="US3140LLFU04"/>
        </identifiers>
        <balance>1122000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1182596.430000</valUSD>
        <pctVal>0.0845396</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>Fixed</couponKind>
          <annualizedRt>5.73</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 886653 FN 08/36 FIXED 6</title>
        <cusip>31410EBW7</cusip>
        <identifiers>
          <isin value="US31410EBW75"/>
        </identifiers>
        <balance>1489.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1535.740000</valUSD>
        <pctVal>0.0001098</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>
        </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 BO5356 FN 12/49 FIXED 3</title>
        <cusip>3140K05S3</cusip>
        <identifiers>
          <isin value="US3140K05S30"/>
        </identifiers>
        <balance>1365353.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1227212.940000</valUSD>
        <pctVal>0.0877291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A29582 FG 01/35 FIXED 4.5</title>
        <cusip>31297HUF4</cusip>
        <identifiers>
          <isin value="US31297HUF45"/>
        </identifiers>
        <balance>17924.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17824.580000</valUSD>
        <pctVal>0.0012742</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>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 256086 FN 12/25 FIXED 5</title>
        <cusip>31371MNB9</cusip>
        <identifiers>
          <isin value="US31371MNB99"/>
        </identifiers>
        <balance>18759.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18638.870000</valUSD>
        <pctVal>0.0013324</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 787010 FH 12/29 FLOATING VAR</title>
        <cusip>31295KYF5</cusip>
        <identifiers>
          <isin value="US31295KYF55"/>
        </identifiers>
        <balance>6317.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6249.350000</valUSD>
        <pctVal>0.0004467</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 677215 GN 08/38 FIXED 6.5</title>
        <cusip>36295QK41</cusip>
        <identifiers>
          <isin value="US36295QK413"/>
        </identifiers>
        <balance>15088.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15885.690000</valUSD>
        <pctVal>0.0011356</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 683288 FN 02/33 FIXED 5.5</title>
        <cusip>31400CCZ5</cusip>
        <identifiers>
          <isin value="US31400CCZ59"/>
        </identifiers>
        <balance>581.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>599.280000</valUSD>
        <pctVal>0.0000428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</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>MORGAN STANLEY MTGE LN TR 2007-7AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3</title>
        <cusip>61754HAD4</cusip>
        <identifiers>
          <isin value="US61754HAD44"/>
        </identifiers>
        <balance>204716.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57308.060000</valUSD>
        <pctVal>0.0040968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.19043</annualizedRt>
          <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 678761 GN 11/37 FIXED 6</title>
        <cusip>36295SB62</cusip>
        <identifiers>
          <isin value="US36295SB624"/>
        </identifiers>
        <balance>54859.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56207.730000</valUSD>
        <pctVal>0.0040181</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-15</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 AO4769 FN 05/42 FIXED 4</title>
        <cusip>3138LVJP9</cusip>
        <identifiers>
          <isin value="US3138LVJP90"/>
        </identifiers>
        <balance>14356.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13970.670000</valUSD>
        <pctVal>0.0009987</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>152000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>793561.600000</valUSD>
        <pctVal>0.0567289</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/4.10000 02/05/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OJI5"/>
                    </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/4.10000 02/05/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OJI5"/>
                      </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="4.100000"/>
                  <terminationDt>2025-02-05</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>4.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>449661.600000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2005-QA9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21</title>
        <cusip>761118FJ2</cusip>
        <identifiers>
          <isin value="US761118FJ26"/>
        </identifiers>
        <balance>424122.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166610.230000</valUSD>
        <pctVal>0.0119104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.26146</annualizedRt>
          <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 P28000 FG 12/34 FIXED 5.5</title>
        <cusip>3128M2AA5</cusip>
        <identifiers>
          <isin value="US3128M2AA51"/>
        </identifiers>
        <balance>12844.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12915.870000</valUSD>
        <pctVal>0.0009233</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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 ZN1084 FR 11/33 FIXED 3.5</title>
        <cusip>3131Y7FZ5</cusip>
        <identifiers>
          <isin value="US3131Y7FZ51"/>
        </identifiers>
        <balance>19356.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19010.720000</valUSD>
        <pctVal>0.001359</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735883 FN 03/33 FIXED VAR</title>
        <cusip>31402RRC5</cusip>
        <identifiers>
          <isin value="US31402RRC50"/>
        </identifiers>
        <balance>16011.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16738.920000</valUSD>
        <pctVal>0.0011966</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</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 080106 G2 08/27 FLOATING VAR</title>
        <cusip>36225CDL7</cusip>
        <identifiers>
          <isin value="US36225CDL72"/>
        </identifiers>
        <balance>3374.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3322.650000</valUSD>
        <pctVal>0.0002375</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB3273 FN 07/41 FIXED 4.5</title>
        <cusip>31416YT73</cusip>
        <identifiers>
          <isin value="US31416YT738"/>
        </identifiers>
        <balance>3467159.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3464047.680000</valUSD>
        <pctVal>0.247633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2001-15</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 15 Z</title>
        <cusip>31359SPN4</cusip>
        <identifiers>
          <isin value="US31359SPN44"/>
        </identifiers>
        <balance>108135.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108758.000000</valUSD>
        <pctVal>0.0077747</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782888 GN 02/40 FIXED 5</title>
        <cusip>36241LF50</cusip>
        <identifiers>
          <isin value="US36241LF509"/>
        </identifiers>
        <balance>27730.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28002.640000</valUSD>
        <pctVal>0.0020018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831936 FN 11/36 FIXED 6</title>
        <cusip>31407JHM7</cusip>
        <identifiers>
          <isin value="US31407JHM71"/>
        </identifiers>
        <balance>21305.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22096.320000</valUSD>
        <pctVal>0.0015796</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>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 914048 FN 03/37 FIXED 6</title>
        <cusip>31411SP91</cusip>
        <identifiers>
          <isin value="US31411SP911"/>
        </identifiers>
        <balance>42625.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44218.180000</valUSD>
        <pctVal>0.003161</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>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 BB8813 G2 04/48 FIXED 4</title>
        <cusip>3617B0YJ8</cusip>
        <identifiers>
          <isin value="US3617B0YJ85"/>
        </identifiers>
        <balance>693069.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>668651.490000</valUSD>
        <pctVal>0.0477995</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</annualizedRt>
          <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 BE6527 G2 02/48 FIXED 3.5</title>
        <cusip>3617G1HC5</cusip>
        <identifiers>
          <isin value="US3617G1HC57"/>
        </identifiers>
        <balance>706000.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>665383.810000</valUSD>
        <pctVal>0.0475659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922005 FN 12/36 FIXED 6</title>
        <cusip>31412DKS6</cusip>
        <identifiers>
          <isin value="US31412DKS61"/>
        </identifiers>
        <balance>139668.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145102.810000</valUSD>
        <pctVal>0.0103729</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 AE0441 FN 05/40 FIXED VAR</title>
        <cusip>31419AP35</cusip>
        <identifiers>
          <isin value="US31419AP359"/>
        </identifiers>
        <balance>333948.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>352048.360000</valUSD>
        <pctVal>0.0251667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 566470 FN 02/31 FIXED 6</title>
        <cusip>31386LJP8</cusip>
        <identifiers>
          <isin value="US31386LJP85"/>
        </identifiers>
        <balance>3607.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3711.180000</valUSD>
        <pctVal>0.0002653</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AB2667 GN 12/42 FIXED 3</title>
        <cusip>36178M6C0</cusip>
        <identifiers>
          <isin value="US36178M6C08"/>
        </identifiers>
        <balance>13479.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12304.910000</valUSD>
        <pctVal>0.0008796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-12-15</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 MA3288 FN 12/32 FIXED 2</title>
        <cusip>31418CUN2</cusip>
        <identifiers>
          <isin value="US31418CUN28"/>
        </identifiers>
        <balance>452387.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410080.800000</valUSD>
        <pctVal>0.0293152</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</annualizedRt>
          <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 2019-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2019 62 SN</title>
        <cusip>3136B62S1</cusip>
        <identifiers>
          <isin value="US3136B62S11"/>
        </identifiers>
        <balance>2191813.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321951.350000</valUSD>
        <pctVal>0.0230152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.54809</annualizedRt>
          <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 G03780 FG 01/38 FIXED 5.5</title>
        <cusip>3128M5Q94</cusip>
        <identifiers>
          <isin value="US3128M5Q944"/>
        </identifiers>
        <balance>307.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>316.920000</valUSD>
        <pctVal>0.0000227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB0356 FN 05/51 FIXED 3</title>
        <cusip>3140QKME5</cusip>
        <identifiers>
          <isin value="US3140QKME50"/>
        </identifiers>
        <balance>6882430.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6104366.090000</valUSD>
        <pctVal>0.436379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-05-01</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 754324 FN 12/33 FIXED 5.5</title>
        <cusip>31403QAZ3</cusip>
        <identifiers>
          <isin value="US31403QAZ37"/>
        </identifiers>
        <balance>10947.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11277.400000</valUSD>
        <pctVal>0.0008062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 667454 GN 05/37 FIXED 6.5</title>
        <cusip>36295DQF9</cusip>
        <identifiers>
          <isin value="US36295DQF95"/>
        </identifiers>
        <balance>22138.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22897.910000</valUSD>
        <pctVal>0.0016369</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>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>OPTION ONE MORTGAGE LOAN TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2</title>
        <cusip>68389FJJ4</cusip>
        <identifiers>
          <isin value="US68389FJJ49"/>
        </identifiers>
        <balance>219448.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207054.360000</valUSD>
        <pctVal>0.0148016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.16043</annualizedRt>
          <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 FS1026 FN 02/52 FIXED VAR</title>
        <cusip>3140XGD89</cusip>
        <identifiers>
          <isin value="US3140XGD892"/>
        </identifiers>
        <balance>201975.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179794.470000</valUSD>
        <pctVal>0.0128529</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>
          <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 G04219 FG 04/38 FIXED 5.5</title>
        <cusip>3128M6AU2</cusip>
        <identifiers>
          <isin value="US3128M6AU20"/>
        </identifiers>
        <balance>367517.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>379166.750000</valUSD>
        <pctVal>0.0271053</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 700916 GN 11/38 FIXED 6</title>
        <cusip>36296TVH3</cusip>
        <identifiers>
          <isin value="US36296TVH30"/>
        </identifiers>
        <balance>11673.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11892.440000</valUSD>
        <pctVal>0.0008501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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 008503 G2 09/24 FLOATING VAR</title>
        <cusip>36202KNU5</cusip>
        <identifiers>
          <isin value="US36202KNU50"/>
        </identifiers>
        <balance>204.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203.710000</valUSD>
        <pctVal>0.0000146</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>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>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"/>
        </identifiers>
        <balance>1457718.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1370292.370000</valUSD>
        <pctVal>0.0979573</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>
        </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 Q01242 FG 06/41 FIXED 5.5</title>
        <cusip>3132GELX6</cusip>
        <identifiers>
          <isin value="US3132GELX66"/>
        </identifiers>
        <balance>19607.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20174.230000</valUSD>
        <pctVal>0.0014422</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080686 G2 04/33 FLOATING VAR</title>
        <cusip>36225CXQ4</cusip>
        <identifiers>
          <isin value="US36225CXQ40"/>
        </identifiers>
        <balance>461027.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>458905.320000</valUSD>
        <pctVal>0.0328055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 AB0259 FN 03/37 FIXED 6</title>
        <cusip>31416VJD7</cusip>
        <identifiers>
          <isin value="US31416VJD73"/>
        </identifiers>
        <balance>4286.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4479.400000</valUSD>
        <pctVal>0.0003202</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>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 716818 GN 04/39 FIXED 4.5</title>
        <cusip>3620A2K70</cusip>
        <identifiers>
          <isin value="US3620A2K701"/>
        </identifiers>
        <balance>5672.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5642.150000</valUSD>
        <pctVal>0.0004033</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 804320 FN 11/34 FIXED 5.5</title>
        <cusip>31406ASH6</cusip>
        <identifiers>
          <isin value="US31406ASH67"/>
        </identifiers>
        <balance>30550.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31472.340000</valUSD>
        <pctVal>0.0022498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>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>14831272.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14248821.910000</valUSD>
        <pctVal>1.0186</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04531 FG 01/38 FIXED 5.5</title>
        <cusip>3128M6LL0</cusip>
        <identifiers>
          <isin value="US3128M6LL02"/>
        </identifiers>
        <balance>16628.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17154.920000</valUSD>
        <pctVal>0.0012263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>CREDIT BASED ASSET SRVC &amp; SEC 2007-CB1</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A</title>
        <cusip>1248MGAJ3</cusip>
        <identifiers>
          <isin value="US1248MGAJ39"/>
        </identifiers>
        <balance>252807.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80398.980000</valUSD>
        <pctVal>0.0057474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.61043</annualizedRt>
          <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 751297 FN 03/34 FIXED 5.5</title>
        <cusip>31403KUW1</cusip>
        <identifiers>
          <isin value="US31403KUW16"/>
        </identifiers>
        <balance>6777.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6982.080000</valUSD>
        <pctVal>0.0004991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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 C91112 FG 10/27 FIXED 6</title>
        <cusip>3128P7GV9</cusip>
        <identifiers>
          <isin value="US3128P7GV90"/>
        </identifiers>
        <balance>5230.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5318.160000</valUSD>
        <pctVal>0.0003802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</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 080187 G2 04/28 FLOATING VAR</title>
        <cusip>36225CF50</cusip>
        <identifiers>
          <isin value="US36225CF501"/>
        </identifiers>
        <balance>2188.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2150.260000</valUSD>
        <pctVal>0.0001537</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 080727 G2 08/33 FLOATING VAR</title>
        <cusip>36225CYZ3</cusip>
        <identifiers>
          <isin value="US36225CYZ30"/>
        </identifiers>
        <balance>168524.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166700.930000</valUSD>
        <pctVal>0.0119169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08456 FG 07/41 FIXED 5</title>
        <cusip>3128MJQJ2</cusip>
        <identifiers>
          <isin value="US3128MJQJ21"/>
        </identifiers>
        <balance>9486.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9572.660000</valUSD>
        <pctVal>0.0006843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 803876 FN 12/34 FIXED 5.5</title>
        <cusip>31406ACM2</cusip>
        <identifiers>
          <isin value="US31406ACM27"/>
        </identifiers>
        <balance>7755.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7989.400000</valUSD>
        <pctVal>0.0005711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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 G08111 FG 02/36 FIXED 5.5</title>
        <cusip>3128MJDR8</cusip>
        <identifiers>
          <isin value="US3128MJDR83"/>
        </identifiers>
        <balance>19644.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20266.880000</valUSD>
        <pctVal>0.0014488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5711 G2 01/49 FIXED 4.5</title>
        <cusip>36179UKY7</cusip>
        <identifiers>
          <isin value="US36179UKY72"/>
        </identifiers>
        <balance>3034971.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2999494.870000</valUSD>
        <pctVal>0.214423</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB7673 FN 01/33 FIXED 2.5</title>
        <cusip>31417EQ38</cusip>
        <identifiers>
          <isin value="US31417EQ387"/>
        </identifiers>
        <balance>1986310.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1847954.900000</valUSD>
        <pctVal>0.132104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003840 G2 04/36 FIXED 5</title>
        <cusip>36202EHR3</cusip>
        <identifiers>
          <isin value="US36202EHR36"/>
        </identifiers>
        <balance>25930.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26355.960000</valUSD>
        <pctVal>0.0018841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080154 G2 01/28 FLOATING VAR</title>
        <cusip>36225CE44</cusip>
        <identifiers>
          <isin value="US36225CE447"/>
        </identifiers>
        <balance>2624.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2603.220000</valUSD>
        <pctVal>0.0001861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY1512 FN 06/53 FIXED 5</title>
        <cusip>3140NHVE5</cusip>
        <identifiers>
          <isin value="US3140NHVE57"/>
        </identifiers>
        <balance>203568.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203906.440000</valUSD>
        <pctVal>0.0145765</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>
        </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 443593 FN 10/28 FIXED 6</title>
        <cusip>31380LXW3</cusip>
        <identifiers>
          <isin value="US31380LXW35"/>
        </identifiers>
        <balance>172.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176.470000</valUSD>
        <pctVal>0.0000126</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>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 AV1885 FN 12/33 FIXED 4</title>
        <cusip>3138XDCX6</cusip>
        <identifiers>
          <isin value="US3138XDCX61"/>
        </identifiers>
        <balance>861289.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>841126.070000</valUSD>
        <pctVal>0.0601291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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 928184 FN 04/37 FIXED 5.5</title>
        <cusip>31412LFZ8</cusip>
        <identifiers>
          <isin value="US31412LFZ85"/>
        </identifiers>
        <balance>14204.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14633.500000</valUSD>
        <pctVal>0.0010461</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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>317U3OSA5 PIMCO SWAPTION 5.5 PUT USD 20240510</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002PLV1"/>
        </identifiers>
        <balance>81000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5823.900000</valUSD>
        <pctVal>0.0004163</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>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
              <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
                    <counterpartyLei>0Z3VO5H2G7GRS05BHJ91</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 05/14/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01WV69"/>
                    </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/5.50000 05/14/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01WV69"/>
                      </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="5.500000"/>
                  <terminationDt>2025-05-14</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-05-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-46826.100000</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 AD8789 GN 03/43 FIXED 3.5</title>
        <cusip>36180MXS1</cusip>
        <identifiers>
          <isin value="US36180MXS15"/>
        </identifiers>
        <balance>29068.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27321.380000</valUSD>
        <pctVal>0.0019531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-15</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 801462 FN 11/34 FIXED 5.5</title>
        <cusip>31405WMK8</cusip>
        <identifiers>
          <isin value="US31405WMK89"/>
        </identifiers>
        <balance>1214.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1251.480000</valUSD>
        <pctVal>0.0000895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 543845 FN 07/30 FIXED 8</title>
        <cusip>31385GES9</cusip>
        <identifiers>
          <isin value="US31385GES93"/>
        </identifiers>
        <balance>1625.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1682.390000</valUSD>
        <pctVal>0.0001203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008685 G2 08/25 FLOATING VAR</title>
        <cusip>36202KUJ2</cusip>
        <identifiers>
          <isin value="US36202KUJ23"/>
        </identifiers>
        <balance>295.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291.930000</valUSD>
        <pctVal>0.0000209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-20</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>INDYMAC INDX MORTGAGE LOAN TR 2007-AR7</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1</title>
        <cusip>45670CAA5</cusip>
        <identifiers>
          <isin value="US45670CAA53"/>
        </identifiers>
        <balance>289900.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105574.910000</valUSD>
        <pctVal>0.0075472</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.77043</annualizedRt>
          <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 781696 GN 04/33 FIXED 6.5</title>
        <cusip>36225B3D8</cusip>
        <identifiers>
          <isin value="US36225B3D85"/>
        </identifiers>
        <balance>35572.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36261.780000</valUSD>
        <pctVal>0.0025922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-15</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 678060 FN 01/33 FIXED 6</title>
        <cusip>31391VJD6</cusip>
        <identifiers>
          <isin value="US31391VJD64"/>
        </identifiers>
        <balance>24656.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25560.120000</valUSD>
        <pctVal>0.0018272</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>ELMWOOD CLO 24 LTD 2023-3A</name>
        <lei>N/A</lei>
        <title>ELMWOOD CLO 24 LTD ELM24 2023 3A A1 144A</title>
        <cusip>290020AA4</cusip>
        <identifiers>
          <isin value="US290020AA43"/>
        </identifiers>
        <balance>4100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4098079.400000</valUSD>
        <pctVal>0.292957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.04358</annualizedRt>
          <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 782716 GN 07/39 FIXED 5</title>
        <cusip>36241LAR7</cusip>
        <identifiers>
          <isin value="US36241LAR78"/>
        </identifiers>
        <balance>111066.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110485.690000</valUSD>
        <pctVal>0.0078982</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>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 080283 G2 05/29 FLOATING VAR</title>
        <cusip>36225CJ56</cusip>
        <identifiers>
          <isin value="US36225CJ560"/>
        </identifiers>
        <balance>12856.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12753.700000</valUSD>
        <pctVal>0.0009117</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 G04503 FG 11/35 FIXED 5.5</title>
        <cusip>3128M6KQ0</cusip>
        <identifiers>
          <isin value="US3128M6KQ08"/>
        </identifiers>
        <balance>22854.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23577.160000</valUSD>
        <pctVal>0.0016854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 559806 FN 10/30 FLOATING VAR</title>
        <cusip>31386C3P5</cusip>
        <identifiers>
          <isin value="US31386C3P50"/>
        </identifiers>
        <balance>50024.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48195.940000</valUSD>
        <pctVal>0.0034454</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.412</annualizedRt>
          <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 G05923 FG 02/40 FIXED 5.5</title>
        <cusip>3128M74G8</cusip>
        <identifiers>
          <isin value="US3128M74G83"/>
        </identifiers>
        <balance>4890.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5044.830000</valUSD>
        <pctVal>0.0003606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 693511 GN 07/38 FIXED 6.5</title>
        <cusip>36296KN40</cusip>
        <identifiers>
          <isin value="US36296KN400"/>
        </identifiers>
        <balance>21411.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22104.500000</valUSD>
        <pctVal>0.0015802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</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 080384 G2 03/30 FLOATING VAR</title>
        <cusip>36225CNA0</cusip>
        <identifiers>
          <isin value="US36225CNA08"/>
        </identifiers>
        <balance>35158.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34330.200000</valUSD>
        <pctVal>0.0024541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C90968 FG 05/26 FIXED 5</title>
        <cusip>3128P7CD3</cusip>
        <identifiers>
          <isin value="US3128P7CD39"/>
        </identifiers>
        <balance>4712.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4672.780000</valUSD>
        <pctVal>0.000334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</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 775548 FN 05/34 FIXED 5.5</title>
        <cusip>31404QTD1</cusip>
        <identifiers>
          <isin value="US31404QTD15"/>
        </identifiers>
        <balance>50961.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52500.030000</valUSD>
        <pctVal>0.003753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 799712 FN 11/34 FIXED 5.5</title>
        <cusip>31405UN54</cusip>
        <identifiers>
          <isin value="US31405UN542"/>
        </identifiers>
        <balance>24858.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25608.420000</valUSD>
        <pctVal>0.0018307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH6539 FN 02/41 FIXED 4</title>
        <cusip>3138A8HR0</cusip>
        <identifiers>
          <isin value="US3138A8HR04"/>
        </identifiers>
        <balance>1967.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1988.380000</valUSD>
        <pctVal>0.0001421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 503097 GN 04/29 FIXED 6.5</title>
        <cusip>36210U3E1</cusip>
        <identifiers>
          <isin value="US36210U3E11"/>
        </identifiers>
        <balance>6890.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7249.900000</valUSD>
        <pctVal>0.0005183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01883 FG 08/35 FIXED 5</title>
        <cusip>3128LXCU2</cusip>
        <identifiers>
          <isin value="US3128LXCU25"/>
        </identifiers>
        <balance>396.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>403.170000</valUSD>
        <pctVal>0.0000288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A68769 FG 10/32 FIXED 5.5</title>
        <cusip>3128L0W65</cusip>
        <identifiers>
          <isin value="US3128L0W654"/>
        </identifiers>
        <balance>33977.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34891.290000</valUSD>
        <pctVal>0.0024943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 482771 GN 10/28 FIXED 6.5</title>
        <cusip>36209VJQ8</cusip>
        <identifiers>
          <isin value="US36209VJQ86"/>
        </identifiers>
        <balance>93.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>96.350000</valUSD>
        <pctVal>0.0000069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-15</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 903816 FN 12/36 FIXED 6</title>
        <cusip>31411CDV0</cusip>
        <identifiers>
          <isin value="US31411CDV00"/>
        </identifiers>
        <balance>7515.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7853.240000</valUSD>
        <pctVal>0.0005614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 538722 GN 05/35 FIXED 6.5</title>
        <cusip>36212NPF8</cusip>
        <identifiers>
          <isin value="US36212NPF86"/>
        </identifiers>
        <balance>3480.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3607.570000</valUSD>
        <pctVal>0.0002579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-15</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 766667 FN 03/34 FIXED 5.5</title>
        <cusip>31404EW44</cusip>
        <identifiers>
          <isin value="US31404EW441"/>
        </identifiers>
        <balance>7261.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7480.130000</valUSD>
        <pctVal>0.0005347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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 A75879 FG 04/38 FIXED 5</title>
        <cusip>3128L9Q89</cusip>
        <identifiers>
          <isin value="US3128L9Q897"/>
        </identifiers>
        <balance>21035.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21415.280000</valUSD>
        <pctVal>0.0015309</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>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 G08378 FG 10/39 FIXED 6</title>
        <cusip>3128MJM49</cusip>
        <identifiers>
          <isin value="US3128MJM499"/>
        </identifiers>
        <balance>12297.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12795.760000</valUSD>
        <pctVal>0.0009147</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>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 767506 FN 03/34 FIXED 5.5</title>
        <cusip>31404FU76</cusip>
        <identifiers>
          <isin value="US31404FU764"/>
        </identifiers>
        <balance>29001.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29875.360000</valUSD>
        <pctVal>0.0021357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</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 G05605 FG 04/39 FIXED 5.5</title>
        <cusip>3128M7R24</cusip>
        <identifiers>
          <isin value="US3128M7R245"/>
        </identifiers>
        <balance>31737.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32742.280000</valUSD>
        <pctVal>0.0023406</pctVal>
        <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>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>317U4N3A3 PIMCO SWAPTION 5.0 PUT USD 20240528</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002ZSF7"/>
        </identifiers>
        <balance>64300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>22697.900000</valUSD>
        <pctVal>0.0016226</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/5.00000 05/30/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZKF4"/>
                    </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/5.00000 05/30/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01ZKF4"/>
                      </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="5.000000"/>
                  <terminationDt>2025-05-30</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>5.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-05-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-53819.100000</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 737532 GN 10/40 FIXED 4</title>
        <cusip>3620ARLM1</cusip>
        <identifiers>
          <isin value="US3620ARLM10"/>
        </identifiers>
        <balance>8841.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8585.420000</valUSD>
        <pctVal>0.0006137</pctVal>
        <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>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>MERRILL LYNCH MTGE INVESTORS 2004-OPT1</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 OPT1 A2A</title>
        <cusip>59020UKM6</cusip>
        <identifiers>
          <isin value="US59020UKM61"/>
        </identifiers>
        <balance>98504.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97475.730000</valUSD>
        <pctVal>0.0069682</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.19043</annualizedRt>
          <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 080397 G2 04/30 FLOATING VAR</title>
        <cusip>36225CNP7</cusip>
        <identifiers>
          <isin value="US36225CNP76"/>
        </identifiers>
        <balance>16762.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16549.630000</valUSD>
        <pctVal>0.0011831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256789 FN 06/27 FIXED 6.5</title>
        <cusip>31371NF67</cusip>
        <identifiers>
          <isin value="US31371NF679"/>
        </identifiers>
        <balance>11886.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12184.330000</valUSD>
        <pctVal>0.000871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888215 FN 12/36 FIXED VAR</title>
        <cusip>31410FYL3</cusip>
        <identifiers>
          <isin value="US31410FYL39"/>
        </identifiers>
        <balance>70251.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73902.830000</valUSD>
        <pctVal>0.0052831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06193 FG 05/40 FIXED 5.5</title>
        <cusip>3128M8GA6</cusip>
        <identifiers>
          <isin value="US3128M8GA67"/>
        </identifiers>
        <balance>53529.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55223.840000</valUSD>
        <pctVal>0.0039478</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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>FREDDIE MAC REMICS 4940</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4940 FE</title>
        <cusip>3137FQLW1</cusip>
        <identifiers>
          <isin value="US3137FQLW10"/>
        </identifiers>
        <balance>1552889.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1519835.280000</valUSD>
        <pctVal>0.108648</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.00191</annualizedRt>
          <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 948731 FN 08/37 FIXED 6.5</title>
        <cusip>31413LPQ6</cusip>
        <identifiers>
          <isin value="US31413LPQ67"/>
        </identifiers>
        <balance>29369.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30638.950000</valUSD>
        <pctVal>0.0021903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 POOL AB5640 GN 11/42 FIXED 3.5</title>
        <cusip>36178SHR2</cusip>
        <identifiers>
          <isin value="US36178SHR22"/>
        </identifiers>
        <balance>10450.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9847.890000</valUSD>
        <pctVal>0.000704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-15</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 MA4306 FN 04/51 FIXED 2.5</title>
        <cusip>31418DYC0</cusip>
        <identifiers>
          <isin value="US31418DYC00"/>
        </identifiers>
        <balance>7682289.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6578682.750000</valUSD>
        <pctVal>0.470287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782988 GN 04/40 FIXED 5.5</title>
        <cusip>36241LJ98</cusip>
        <identifiers>
          <isin value="US36241LJ980"/>
        </identifiers>
        <balance>3901.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3945.670000</valUSD>
        <pctVal>0.0002821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</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>317U4RLA4 PIMCO SWAPTION 3.1025 CALL USD 20240</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP00312B8"/>
        </identifiers>
        <balance>4600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>27279.380000</valUSD>
        <pctVal>0.0019501</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>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP PARIBAS</counterpartyName>
                    <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.10250 03/08/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU020AZ7"/>
                    </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/3.10250 03/08/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU020AZ7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.102500"/>
                  <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>2031-03-08</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>3.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2899.380000</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 765983 FN 02/34 FIXED 5.5</title>
        <cusip>31404D6U7</cusip>
        <identifiers>
          <isin value="US31404D6U75"/>
        </identifiers>
        <balance>98720.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101699.790000</valUSD>
        <pctVal>0.0072702</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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 G03526 FG 06/36 FIXED 5.5</title>
        <cusip>3128M5HB9</cusip>
        <identifiers>
          <isin value="US3128M5HB92"/>
        </identifiers>
        <balance>14969.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15442.960000</valUSD>
        <pctVal>0.001104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>ASSET BACKED SEC HOME EQTY LN 2007-HE2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2</title>
        <cusip>04544TAB7</cusip>
        <identifiers>
          <isin value="US04544TAB70"/>
        </identifiers>
        <balance>872.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>599.270000</valUSD>
        <pctVal>0.0000428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.55043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ELMWOOD CLO VII LTD 2020-4A</name>
        <lei>N/A</lei>
        <title>ELMWOOD CLO VII LTD. ELMW7 2020 4A AR 144A</title>
        <cusip>29002QAJ8</cusip>
        <identifiers>
          <isin value="US29002QAJ85"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2103662.020000</valUSD>
        <pctVal>0.150383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.05371</annualizedRt>
          <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 828064 FN 06/35 FIXED 6</title>
        <cusip>31407D5Z4</cusip>
        <identifiers>
          <isin value="US31407D5Z41"/>
        </identifiers>
        <balance>2442.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2552.230000</valUSD>
        <pctVal>0.0001824</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>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 008449 G2 06/24 FLOATING VAR</title>
        <cusip>36202KL60</cusip>
        <identifiers>
          <isin value="US36202KL600"/>
        </identifiers>
        <balance>103.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103.160000</valUSD>
        <pctVal>0.0000074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AX8328 G2 06/47 FIXED 3.5</title>
        <cusip>36196LHD6</cusip>
        <identifiers>
          <isin value="US36196LHD64"/>
        </identifiers>
        <balance>606281.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>572613.400000</valUSD>
        <pctVal>0.0409341</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>3.5</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 MA1227 G2 08/43 FIXED 5</title>
        <cusip>36179NLG1</cusip>
        <identifiers>
          <isin value="US36179NLG15"/>
        </identifiers>
        <balance>1698137.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1730266.880000</valUSD>
        <pctVal>0.123691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 782431 G2 10/38 FIXED 5</title>
        <cusip>36241KVY1</cusip>
        <identifiers>
          <isin value="US36241KVY18"/>
        </identifiers>
        <balance>80193.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81708.650000</valUSD>
        <pctVal>0.0058411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-20</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 C00785 FG 06/29 FIXED 6.5</title>
        <cusip>31292G2S4</cusip>
        <identifiers>
          <isin value="US31292G2S42"/>
        </identifiers>
        <balance>2201.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2261.370000</valUSD>
        <pctVal>0.0001617</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>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 781964 FN 06/34 FIXED 5.5</title>
        <cusip>31404XWZ3</cusip>
        <identifiers>
          <isin value="US31404XWZ31"/>
        </identifiers>
        <balance>2169.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2234.610000</valUSD>
        <pctVal>0.0001597</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 518691 GN 12/29 FIXED 8.5</title>
        <cusip>36211PF81</cusip>
        <identifiers>
          <isin value="US36211PF818"/>
        </identifiers>
        <balance>5003.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5006.440000</valUSD>
        <pctVal>0.0003579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0382 FN 04/30 FIXED 4</title>
        <cusip>31417YM87</cusip>
        <identifiers>
          <isin value="US31417YM871"/>
        </identifiers>
        <balance>1059.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1039.290000</valUSD>
        <pctVal>0.0000743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</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 472978 GN 06/29 FIXED 6.5</title>
        <cusip>36209JM32</cusip>
        <identifiers>
          <isin value="US36209JM324"/>
        </identifiers>
        <balance>1204.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1237.450000</valUSD>
        <pctVal>0.0000885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-15</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>FANNIEMAE GRANTOR TRUST 2002-T7</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2002 T7 A1</title>
        <cusip>31392DQH8</cusip>
        <identifiers>
          <isin value="US31392DQH88"/>
        </identifiers>
        <balance>53364.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52759.330000</valUSD>
        <pctVal>0.0037716</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.69043</annualizedRt>
          <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 898809 FN 11/36 FIXED 6</title>
        <cusip>31410VR69</cusip>
        <identifiers>
          <isin value="US31410VR699"/>
        </identifiers>
        <balance>3457.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3602.320000</valUSD>
        <pctVal>0.0002575</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>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 902551 FN 11/36 FIXED 6</title>
        <cusip>31411AWL5</cusip>
        <identifiers>
          <isin value="US31411AWL50"/>
        </identifiers>
        <balance>1706.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1783.600000</valUSD>
        <pctVal>0.0001275</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>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 MA0185 FN 08/39 FIXED 5.5</title>
        <cusip>31417YF36</cusip>
        <identifiers>
          <isin value="US31417YF362"/>
        </identifiers>
        <balance>742215.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>737528.850000</valUSD>
        <pctVal>0.0527233</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 2 JUMBOS</title>
        <cusip>21H020618</cusip>
        <identifiers>
          <isin value="US21H0206183"/>
        </identifiers>
        <balance>78600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66567445.120000</valUSD>
        <pctVal>4.75867</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AZ3493 G2 03/47 FIXED 3.5</title>
        <cusip>36197F3A9</cusip>
        <identifiers>
          <isin value="US36197F3A98"/>
        </identifiers>
        <balance>331185.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>313050.410000</valUSD>
        <pctVal>0.0223789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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 604945 GN 01/34 FIXED 5</title>
        <cusip>36200NBN0</cusip>
        <identifiers>
          <isin value="US36200NBN03"/>
        </identifiers>
        <balance>2440.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2454.450000</valUSD>
        <pctVal>0.0001755</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 779479 FN 06/34 FIXED 5.5</title>
        <cusip>31404U6Q8</cusip>
        <identifiers>
          <isin value="US31404U6Q83"/>
        </identifiers>
        <balance>16978.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17490.930000</valUSD>
        <pctVal>0.0012504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 779027 FN 06/34 FIXED 5.5</title>
        <cusip>31404UPL8</cusip>
        <identifiers>
          <isin value="US31404UPL88"/>
        </identifiers>
        <balance>37764.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38904.770000</valUSD>
        <pctVal>0.0027812</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>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>277558.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>260161.940000</valUSD>
        <pctVal>0.0185981</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 323439 FN 12/28 FIXED VAR</title>
        <cusip>31374THQ5</cusip>
        <identifiers>
          <isin value="US31374THQ58"/>
        </identifiers>
        <balance>304.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>315.270000</valUSD>
        <pctVal>0.0000225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</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 256639 FN 02/27 FIXED 5</title>
        <cusip>31371NBG9</cusip>
        <identifiers>
          <isin value="US31371NBG97"/>
        </identifiers>
        <balance>6843.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6777.320000</valUSD>
        <pctVal>0.0004845</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</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>N/A</name>
        <lei>N/A</lei>
        <title>31750NA89 OTC ECAL FN 6.5 MAR24 103.15625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH49919"/>
        </identifiers>
        <balance>28500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>79694.550000</valUSD>
        <pctVal>0.0056971</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 6.5% MAR 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0626303"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.160000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>57428.920000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-16N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 16N A322</title>
        <cusip>52522DAH4</cusip>
        <identifiers>
          <isin value="US52522DAH44"/>
        </identifiers>
        <balance>1567796.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1202590.990000</valUSD>
        <pctVal>0.085969</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 685321 FN 02/33 FIXED 6</title>
        <cusip>31400ELA6</cusip>
        <identifiers>
          <isin value="US31400ELA63"/>
        </identifiers>
        <balance>4143.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4296.760000</valUSD>
        <pctVal>0.0003072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008849 G2 04/26 FLOATING VAR</title>
        <cusip>36202KZN8</cusip>
        <identifiers>
          <isin value="US36202KZN89"/>
        </identifiers>
        <balance>6251.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6143.710000</valUSD>
        <pctVal>0.0004392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 955007 FN 09/37 FIXED 6.5</title>
        <cusip>31413TNY4</cusip>
        <identifiers>
          <isin value="US31413TNY46"/>
        </identifiers>
        <balance>1699.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1793.280000</valUSD>
        <pctVal>0.0001282</pctVal>
        <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>
          <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 AJ2293 FN 09/41 FIXED 4</title>
        <cusip>3138ATRP7</cusip>
        <identifiers>
          <isin value="US3138ATRP71"/>
        </identifiers>
        <balance>78899.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76795.630000</valUSD>
        <pctVal>0.0054898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002473 G2 08/27 FIXED 7.5</title>
        <cusip>36202CXA6</cusip>
        <identifiers>
          <isin value="US36202CXA60"/>
        </identifiers>
        <balance>557.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>565.530000</valUSD>
        <pctVal>0.0000404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 772029 GN 07/41 FIXED 4</title>
        <cusip>36176PPN0</cusip>
        <identifiers>
          <isin value="US36176PPN05"/>
        </identifiers>
        <balance>37518.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36625.060000</valUSD>
        <pctVal>0.0026182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 545944 FN 10/32 FIXED VAR</title>
        <cusip>31385JP51</cusip>
        <identifiers>
          <isin value="US31385JP510"/>
        </identifiers>
        <balance>541.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>560.610000</valUSD>
        <pctVal>0.0000401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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 778067 FN 04/34 FIXED 5.5</title>
        <cusip>31404TMQ3</cusip>
        <identifiers>
          <isin value="US31404TMQ30"/>
        </identifiers>
        <balance>7786.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8021.120000</valUSD>
        <pctVal>0.0005734</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD</name>
        <lei>N/A</lei>
        <title>NEUBERGER BERMAN CLO LTD NEUB 2019 31A AR 144A</title>
        <cusip>64132JAN5</cusip>
        <identifiers>
          <isin value="US64132JAN54"/>
        </identifiers>
        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1299060.530000</valUSD>
        <pctVal>0.0928652</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.71743</annualizedRt>
          <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 080095 G2 07/27 FLOATING VAR</title>
        <cusip>36225CC95</cusip>
        <identifiers>
          <isin value="US36225CC953"/>
        </identifiers>
        <balance>17225.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17096.680000</valUSD>
        <pctVal>0.0012222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 434239 GN 03/29 FIXED 6.5</title>
        <cusip>36207KLU2</cusip>
        <identifiers>
          <isin value="US36207KLU24"/>
        </identifiers>
        <balance>673.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>692.920000</valUSD>
        <pctVal>0.0000495</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>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>3871046.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3867571.370000</valUSD>
        <pctVal>0.276479</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 953930 FN 12/37 FIXED 6.5</title>
        <cusip>31413SHF4</cusip>
        <identifiers>
          <isin value="US31413SHF48"/>
        </identifiers>
        <balance>297.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310.280000</valUSD>
        <pctVal>0.0000222</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>6.5</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 AL0178 FN 03/30 FIXED VAR</title>
        <cusip>3138EGFU3</cusip>
        <identifiers>
          <isin value="US3138EGFU38"/>
        </identifiers>
        <balance>344306.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>341017.240000</valUSD>
        <pctVal>0.0243781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</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 922339 FN 02/37 FIXED 6.5</title>
        <cusip>31412DV88</cusip>
        <identifiers>
          <isin value="US31412DV885"/>
        </identifiers>
        <balance>21795.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22624.540000</valUSD>
        <pctVal>0.0016173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 BA7937 GN 06/47 FIXED 4</title>
        <cusip>3617ALZA1</cusip>
        <identifiers>
          <isin value="US3617ALZA19"/>
        </identifiers>
        <balance>174298.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>168372.820000</valUSD>
        <pctVal>0.0120364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-15</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>MIDOCEAN CREDIT CLO II 2013-2A</name>
        <lei>N/A</lei>
        <title>MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A</title>
        <cusip>59863KAS6</cusip>
        <identifiers>
          <isin value="US59863KAS69"/>
        </identifiers>
        <balance>1246636.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1247232.670000</valUSD>
        <pctVal>0.0891602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.68159</annualizedRt>
          <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 A84160 FG 01/39 FIXED 5.5</title>
        <cusip>312930TR1</cusip>
        <identifiers>
          <isin value="US312930TR10"/>
        </identifiers>
        <balance>68389.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70558.590000</valUSD>
        <pctVal>0.005044</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERTS 2008-20L</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1</title>
        <cusip>83162CSE4</cusip>
        <identifiers>
          <isin value="US83162CSE48"/>
        </identifiers>
        <balance>68855.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69444.060000</valUSD>
        <pctVal>0.0049643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.22</annualizedRt>
          <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 661333 FN 09/32 FIXED 6.5</title>
        <cusip>31391AV22</cusip>
        <identifiers>
          <isin value="US31391AV226"/>
        </identifiers>
        <balance>193.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203.010000</valUSD>
        <pctVal>0.0000145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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>WAMU MTGE P/T CERTIFICATES 2007-HY4</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1</title>
        <cusip>933636AA0</cusip>
        <identifiers>
          <isin value="US933636AA02"/>
        </identifiers>
        <balance>490155.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>426839.450000</valUSD>
        <pctVal>0.0305132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.32517</annualizedRt>
          <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 723631 GN 01/40 FIXED 5.5</title>
        <cusip>3620A94Q1</cusip>
        <identifiers>
          <isin value="US3620A94Q19"/>
        </identifiers>
        <balance>14409.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14702.110000</valUSD>
        <pctVal>0.001051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</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 A96095 FG 01/41 FIXED 5.5</title>
        <cusip>312944XY2</cusip>
        <identifiers>
          <isin value="US312944XY27"/>
        </identifiers>
        <balance>32655.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33691.800000</valUSD>
        <pctVal>0.0024085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ9327 FN 01/42 FIXED 3.5</title>
        <cusip>3138E2LH6</cusip>
        <identifiers>
          <isin value="US3138E2LH65"/>
        </identifiers>
        <balance>142152.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134717.490000</valUSD>
        <pctVal>0.0096305</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A29015 FG 12/34 FIXED 5</title>
        <cusip>31297HAQ2</cusip>
        <identifiers>
          <isin value="US31297HAQ20"/>
        </identifiers>
        <balance>18756.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19093.660000</valUSD>
        <pctVal>0.0013649</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FANNIE MAE 2007-73</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 73 A1</title>
        <cusip>31396V4Q8</cusip>
        <identifiers>
          <isin value="US31396V4Q81"/>
        </identifiers>
        <balance>252385.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245806.270000</valUSD>
        <pctVal>0.0175718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.69231</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MAGNETITE CLO LTD 2020-25A</name>
        <lei>N/A</lei>
        <title>MAGNETITE CLO LTD MAGNE 2020 25A A 144A</title>
        <cusip>55955GAA1</cusip>
        <identifiers>
          <isin value="US55955GAA13"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1001573.520000</valUSD>
        <pctVal>0.0715989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.83983</annualizedRt>
          <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 QB9007 FR 02/51 FIXED 1.5</title>
        <cusip>3133AGAG4</cusip>
        <identifiers>
          <isin value="US3133AGAG48"/>
        </identifiers>
        <balance>25823.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20209.540000</valUSD>
        <pctVal>0.0014447</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>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 AL8084 FN 01/36 FIXED VAR</title>
        <cusip>3138EQ6W7</cusip>
        <identifiers>
          <isin value="US3138EQ6W70"/>
        </identifiers>
        <balance>986725.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>965129.620000</valUSD>
        <pctVal>0.0689937</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>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 BA5882 G2 07/47 FIXED 3.5</title>
        <cusip>3617AJRB3</cusip>
        <identifiers>
          <isin value="US3617AJRB38"/>
        </identifiers>
        <balance>790789.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>746266.600000</valUSD>
        <pctVal>0.053348</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>RFR USD SOFR/4.15500 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1M3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1555773.310000</valUSD>
        <pctVal>0.111217</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1M3-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.155000"/>
            <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>2030-10-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-208035.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>41400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1763808.310000</unrealizedAppr>
          </swapDeriv>
        </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 II POOL 003876 G2 07/36 FIXED 5</title>
        <cusip>36202EJV2</cusip>
        <identifiers>
          <isin value="US36202EJV20"/>
        </identifiers>
        <balance>29945.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30511.470000</valUSD>
        <pctVal>0.0021812</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</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>CHASE FUNDING MTGE LN ASSET-BKD 2003-5</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2</title>
        <cusip>161546GR1</cusip>
        <identifiers>
          <isin value="US161546GR12"/>
        </identifiers>
        <balance>21065.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19978.110000</valUSD>
        <pctVal>0.0014282</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <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 AV1030 FN 11/43 FIXED 5</title>
        <cusip>3138XCEC2</cusip>
        <identifiers>
          <isin value="US3138XCEC24"/>
        </identifiers>
        <balance>47686.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47969.410000</valUSD>
        <pctVal>0.0034292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 002922 G2 05/30 FIXED 8</title>
        <cusip>36202DG70</cusip>
        <identifiers>
          <isin value="US36202DG704"/>
        </identifiers>
        <balance>8528.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8967.020000</valUSD>
        <pctVal>0.000641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 815117 FN 05/35 FLOATING VAR</title>
        <cusip>31406NSE5</cusip>
        <identifiers>
          <isin value="US31406NSE57"/>
        </identifiers>
        <balance>8516.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8402.720000</valUSD>
        <pctVal>0.0006007</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>4.247</annualizedRt>
          <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 A14359 FG 10/33 FIXED 5.5</title>
        <cusip>31296NZY6</cusip>
        <identifiers>
          <isin value="US31296NZY65"/>
        </identifiers>
        <balance>16577.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17099.770000</valUSD>
        <pctVal>0.0012224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254447 FN 09/32 FIXED 6</title>
        <cusip>31371KTC5</cusip>
        <identifiers>
          <isin value="US31371KTC52"/>
        </identifiers>
        <balance>4685.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4851.410000</valUSD>
        <pctVal>0.0003468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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 POOL AO0095 GN 07/45 FIXED 3</title>
        <cusip>3617A0C87</cusip>
        <identifiers>
          <isin value="US3617A0C871"/>
        </identifiers>
        <balance>271185.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>243597.900000</valUSD>
        <pctVal>0.017414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-15</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 872277 FN 05/36 FIXED 6</title>
        <cusip>31409JCN8</cusip>
        <identifiers>
          <isin value="US31409JCN81"/>
        </identifiers>
        <balance>878.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>904.200000</valUSD>
        <pctVal>0.0000646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</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>CHASE FUNDING MTGE LN ASSET-BKD 2003-1</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 1 2A2</title>
        <cusip>161546EF9</cusip>
        <identifiers>
          <isin value="US161546EF91"/>
        </identifiers>
        <balance>62642.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60393.030000</valUSD>
        <pctVal>0.0043173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13043</annualizedRt>
          <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 373145 FN 02/26 FLOATING VAR</title>
        <cusip>31377CP64</cusip>
        <identifiers>
          <isin value="US31377CP645"/>
        </identifiers>
        <balance>2462.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2448.770000</valUSD>
        <pctVal>0.0001751</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.344</annualizedRt>
          <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 256343 FN 06/26 FIXED 5</title>
        <cusip>31371MWC7</cusip>
        <identifiers>
          <isin value="US31371MWC71"/>
        </identifiers>
        <balance>25118.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24870.540000</valUSD>
        <pctVal>0.0017779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-01</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 831686 FN 07/36 FIXED 6.5</title>
        <cusip>31407H6X9</cusip>
        <identifiers>
          <isin value="US31407H6X92"/>
        </identifiers>
        <balance>28395.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29887.270000</valUSD>
        <pctVal>0.0021365</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>
        </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 G07386 FG 08/40 FIXED 5.5</title>
        <cusip>3128M9RF1</cusip>
        <identifiers>
          <isin value="US3128M9RF19"/>
        </identifiers>
        <balance>81039.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83603.620000</valUSD>
        <pctVal>0.0059765</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782808 GN 11/39 FIXED 5.5</title>
        <cusip>36241LDM5</cusip>
        <identifiers>
          <isin value="US36241LDM54"/>
        </identifiers>
        <balance>10008.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10120.370000</valUSD>
        <pctVal>0.0007235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 495830 GN 01/29 FIXED 6.5</title>
        <cusip>36210LY31</cusip>
        <identifiers>
          <isin value="US36210LY315"/>
        </identifiers>
        <balance>2536.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2611.680000</valUSD>
        <pctVal>0.0001867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</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 871232 FN 04/36 FIXED 6</title>
        <cusip>31409G4R4</cusip>
        <identifiers>
          <isin value="US31409G4R41"/>
        </identifiers>
        <balance>17721.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18224.200000</valUSD>
        <pctVal>0.0013028</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>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>SACO I TRUST 2005-10</name>
        <lei>N/A</lei>
        <title>SACO I TRUST SACO 2005 10 1A</title>
        <cusip>785778ND9</cusip>
        <identifiers>
          <isin value="US785778ND97"/>
        </identifiers>
        <balance>23480.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23077.670000</valUSD>
        <pctVal>0.0016497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</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 STRIPS 326</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 326 F2</title>
        <cusip>3132HT3R5</cusip>
        <identifiers>
          <isin value="US3132HT3R54"/>
        </identifiers>
        <balance>975844.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>958032.470000</valUSD>
        <pctVal>0.0684863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.00292</annualizedRt>
          <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 BS8211 FN 05/28 FIXED 4.55</title>
        <cusip>3140LKDR1</cusip>
        <identifiers>
          <isin value="US3140LKDR10"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201622.650000</valUSD>
        <pctVal>0.0144133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.55</annualizedRt>
          <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 782490 GN 12/38 FIXED 5</title>
        <cusip>36241KXT0</cusip>
        <identifiers>
          <isin value="US36241KXT05"/>
        </identifiers>
        <balance>11891.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11971.620000</valUSD>
        <pctVal>0.0008558</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 739739 FN 12/33 FIXED 5.5</title>
        <cusip>31402VZC7</cusip>
        <identifiers>
          <isin value="US31402VZC70"/>
        </identifiers>
        <balance>132.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135.750000</valUSD>
        <pctVal>0.0000097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB0810 FN 06/51 FIXED 1.5</title>
        <cusip>3140QK3U0</cusip>
        <identifiers>
          <isin value="US3140QK3U03"/>
        </identifiers>
        <balance>124621.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97459.970000</valUSD>
        <pctVal>0.0069671</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-06-01</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 AB0270 FN 11/38 FIXED 6</title>
        <cusip>31416VJQ8</cusip>
        <identifiers>
          <isin value="US31416VJQ86"/>
        </identifiers>
        <balance>11626.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12149.420000</valUSD>
        <pctVal>0.0008685</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3684</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3684 JI</title>
        <cusip>3137A06E0</cusip>
        <identifiers>
          <isin value="US3137A06E08"/>
        </identifiers>
        <balance>411068.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30142.450000</valUSD>
        <pctVal>0.0021548</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD9140 G2 01/48 FIXED 3.5</title>
        <cusip>3617BREM4</cusip>
        <identifiers>
          <isin value="US3617BREM47"/>
        </identifiers>
        <balance>2220585.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2095188.650000</valUSD>
        <pctVal>0.149778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q56894 FG 06/48 FIXED 4</title>
        <cusip>3132Y0UU2</cusip>
        <identifiers>
          <isin value="US3132Y0UU29"/>
        </identifiers>
        <balance>664295.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>640470.120000</valUSD>
        <pctVal>0.0457849</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <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 701993 GN 02/39 FIXED 4.5</title>
        <cusip>36296U3A6</cusip>
        <identifiers>
          <isin value="US36296U3A63"/>
        </identifiers>
        <balance>1680.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1677.770000</valUSD>
        <pctVal>0.0001199</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>
        </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 080395 G2 04/30 FLOATING VAR</title>
        <cusip>36225CNM4</cusip>
        <identifiers>
          <isin value="US36225CNM46"/>
        </identifiers>
        <balance>345546.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342558.460000</valUSD>
        <pctVal>0.0244883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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>6515997.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6316097.240000</valUSD>
        <pctVal>0.451515</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 AI3937 FN 09/41 FIXED 4</title>
        <cusip>3138AHLT1</cusip>
        <identifiers>
          <isin value="US3138AHLT10"/>
        </identifiers>
        <balance>262737.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>255674.090000</valUSD>
        <pctVal>0.0182772</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</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 QD9717 FR 04/52 FIXED 3</title>
        <cusip>3133B7YN2</cusip>
        <identifiers>
          <isin value="US3133B7YN23"/>
        </identifiers>
        <balance>407911.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>361085.600000</valUSD>
        <pctVal>0.0258127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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 POOL BC0600 G2 08/47 FIXED 3.5</title>
        <cusip>3617B3UZ0</cusip>
        <identifiers>
          <isin value="US3617B3UZ03"/>
        </identifiers>
        <balance>530522.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>500533.140000</valUSD>
        <pctVal>0.0357813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</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 POOL 008842 G2 03/26 FLOATING VAR</title>
        <cusip>36202KZF5</cusip>
        <identifiers>
          <isin value="US36202KZF55"/>
        </identifiers>
        <balance>365.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>358.940000</valUSD>
        <pctVal>0.0000257</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A35287 FG 06/35 FIXED 5.5</title>
        <cusip>31297Q2U2</cusip>
        <identifiers>
          <isin value="US31297Q2U20"/>
        </identifiers>
        <balance>32704.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33737.440000</valUSD>
        <pctVal>0.0024118</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 547823 GN 01/31 FIXED 7.5</title>
        <cusip>36212YSL8</cusip>
        <identifiers>
          <isin value="US36212YSL82"/>
        </identifiers>
        <balance>397.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>399.900000</valUSD>
        <pctVal>0.0000286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 620193 FN 01/32 FIXED 6</title>
        <cusip>31389A7E7</cusip>
        <identifiers>
          <isin value="US31389A7E73"/>
        </identifiers>
        <balance>14907.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15458.660000</valUSD>
        <pctVal>0.0011051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-01</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 913929 FN 02/37 FIXED 6.5</title>
        <cusip>31411SLJ3</cusip>
        <identifiers>
          <isin value="US31411SLJ32"/>
        </identifiers>
        <balance>2128.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2216.140000</valUSD>
        <pctVal>0.0001584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 2415</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2415 ZA</title>
        <cusip>31339DKU1</cusip>
        <identifiers>
          <isin value="US31339DKU18"/>
        </identifiers>
        <balance>5370.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5566.530000</valUSD>
        <pctVal>0.0003979</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-15</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>CHASE MORTGAGE FINANCE CORP 2007-S5</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A22</title>
        <cusip>161631AX4</cusip>
        <identifiers>
          <isin value="US161631AX40"/>
        </identifiers>
        <balance>1503804.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>704041.550000</valUSD>
        <pctVal>0.0503294</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE9298 FN 11/25 FIXED 3.5</title>
        <cusip>31419LKL6</cusip>
        <identifiers>
          <isin value="US31419LKL61"/>
        </identifiers>
        <balance>32104.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31310.110000</valUSD>
        <pctVal>0.0022382</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A89352 FG 10/39 FIXED 4.5</title>
        <cusip>312936L96</cusip>
        <identifiers>
          <isin value="US312936L960"/>
        </identifiers>
        <balance>102426.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102176.260000</valUSD>
        <pctVal>0.0073042</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>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 1J1219 FH 10/35 FLOATING VAR</title>
        <cusip>3128NHK85</cusip>
        <identifiers>
          <isin value="US3128NHK859"/>
        </identifiers>
        <balance>22892.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23345.520000</valUSD>
        <pctVal>0.0016689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <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 A51435 FG 08/36 FIXED 6.5</title>
        <cusip>3128KDSY2</cusip>
        <identifiers>
          <isin value="US3128KDSY28"/>
        </identifiers>
        <balance>18236.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19316.330000</valUSD>
        <pctVal>0.0013809</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>6.5</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 FM9166 FN 10/51 FIXED VAR</title>
        <cusip>3140XDFG6</cusip>
        <identifiers>
          <isin value="US3140XDFG65"/>
        </identifiers>
        <balance>2585087.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2288443.760000</valUSD>
        <pctVal>0.163593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1</title>
        <cusip>251513AR8</cusip>
        <identifiers>
          <isin value="US251513AR81"/>
        </identifiers>
        <balance>6238.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4859.210000</valUSD>
        <pctVal>0.0003474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.57043</annualizedRt>
          <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 A48438 FG 05/36 FIXED 6.5</title>
        <cusip>3128K9LT9</cusip>
        <identifiers>
          <isin value="US3128K9LT96"/>
        </identifiers>
        <balance>17572.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18635.230000</valUSD>
        <pctVal>0.0013322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01428 FG 11/32 FIXED 5.5</title>
        <cusip>31292HSR6</cusip>
        <identifiers>
          <isin value="US31292HSR65"/>
        </identifiers>
        <balance>646.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>667.330000</valUSD>
        <pctVal>0.0000477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB4106 FN 07/52 FIXED 3</title>
        <cusip>3140QPR41</cusip>
        <identifiers>
          <isin value="US3140QPR418"/>
        </identifiers>
        <balance>1900868.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1689079.500000</valUSD>
        <pctVal>0.120746</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>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 G02967 FG 05/37 FIXED 5.5</title>
        <cusip>3128M4TY9</cusip>
        <identifiers>
          <isin value="US3128M4TY92"/>
        </identifiers>
        <balance>98389.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101505.210000</valUSD>
        <pctVal>0.0072562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831804 FN 10/36 FIXED 6.5</title>
        <cusip>31407JDH2</cusip>
        <identifiers>
          <isin value="US31407JDH23"/>
        </identifiers>
        <balance>21151.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22312.970000</valUSD>
        <pctVal>0.0015951</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04891 FG 01/38 FIXED 5.5</title>
        <cusip>3128M6XU7</cusip>
        <identifiers>
          <isin value="US3128M6XU72"/>
        </identifiers>
        <balance>51259.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52880.470000</valUSD>
        <pctVal>0.0037802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080428 G2 07/30 FLOATING VAR</title>
        <cusip>36225CPN0</cusip>
        <identifiers>
          <isin value="US36225CPN01"/>
        </identifiers>
        <balance>106254.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105400.850000</valUSD>
        <pctVal>0.0075347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01443 FG 01/33 FIXED 5.5</title>
        <cusip>31292HS88</cusip>
        <identifiers>
          <isin value="US31292HS888"/>
        </identifiers>
        <balance>365047.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>376576.970000</valUSD>
        <pctVal>0.0269202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>WASHINGTON MUTUAL 2005-AR19</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1</title>
        <cusip>92925CBL5</cusip>
        <identifiers>
          <isin value="US92925CBL54"/>
        </identifiers>
        <balance>722204.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>601454.980000</valUSD>
        <pctVal>0.0429959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.52043</annualizedRt>
          <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 G03320 FG 09/37 FIXED 5.5</title>
        <cusip>3128M5AV2</cusip>
        <identifiers>
          <isin value="US3128M5AV20"/>
        </identifiers>
        <balance>9889.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10203.050000</valUSD>
        <pctVal>0.0007294</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE7074 FN 12/25 FIXED 3.5</title>
        <cusip>31419H2G6</cusip>
        <identifiers>
          <isin value="US31419H2G68"/>
        </identifiers>
        <balance>2928.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2856.380000</valUSD>
        <pctVal>0.0002042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 953433 FN 11/37 FIXED 6.5</title>
        <cusip>31413RV29</cusip>
        <identifiers>
          <isin value="US31413RV297"/>
        </identifiers>
        <balance>66538.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70359.450000</valUSD>
        <pctVal>0.0050297</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>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>5636000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5636000.000000</valUSD>
        <pctVal>0.402898</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>6190700.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5748791.990000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U29AA8 PIMCO SWAPTION 4.6 PUT USD 20240202</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0027FS5"/>
        </identifiers>
        <balance>272000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>362140.800000</valUSD>
        <pctVal>0.0258882</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/4.60000 02/06/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OL01"/>
                    </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/4.60000 02/06/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OL01"/>
                      </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="4.600000"/>
                  <terminationDt>2025-02-06</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>4.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>145900.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR15</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A</title>
        <cusip>93363QAA6</cusip>
        <identifiers>
          <isin value="US93363QAA67"/>
        </identifiers>
        <balance>123083.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104419.950000</valUSD>
        <pctVal>0.0074646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.8518</annualizedRt>
          <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 004582 FN 01/24 FLOATING VAR</title>
        <cusip>31360FCT0</cusip>
        <identifiers>
          <isin value="US31360FCT03"/>
        </identifiers>
        <balance>3.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3.170000</valUSD>
        <pctVal>0.0000002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002645 G2 09/28 FIXED 7</title>
        <cusip>36202C5E9</cusip>
        <identifiers>
          <isin value="US36202C5E97"/>
        </identifiers>
        <balance>1660.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1708.160000</valUSD>
        <pctVal>0.0001221</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL9982 FN 10/45 FIXED VAR</title>
        <cusip>3138ESCU0</cusip>
        <identifiers>
          <isin value="US3138ESCU03"/>
        </identifiers>
        <balance>232118.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235900.030000</valUSD>
        <pctVal>0.0168637</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>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 703036 GN 07/39 FIXED 4.5</title>
        <cusip>36296WBD7</cusip>
        <identifiers>
          <isin value="US36296WBD74"/>
        </identifiers>
        <balance>796052.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>795609.820000</valUSD>
        <pctVal>0.0568753</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 822615 FN 05/35 FIXED 6.5</title>
        <cusip>31406W3Y8</cusip>
        <identifiers>
          <isin value="US31406W3Y87"/>
        </identifiers>
        <balance>35614.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37197.850000</valUSD>
        <pctVal>0.0026591</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>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>INDYMAC INDX MORTGAGE LOAN TR 2005-AR31</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1</title>
        <cusip>45660LW70</cusip>
        <identifiers>
          <isin value="US45660LW702"/>
        </identifiers>
        <balance>204415.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>186011.240000</valUSD>
        <pctVal>0.0132973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.26535</annualizedRt>
          <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 2431</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2431 F</title>
        <cusip>31339NQ74</cusip>
        <identifiers>
          <isin value="US31339NQ749"/>
        </identifiers>
        <balance>117.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118.080000</valUSD>
        <pctVal>0.0000084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95292</annualizedRt>
          <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 678100 GN 01/39 FIXED 5.5</title>
        <cusip>36295RKM9</cusip>
        <identifiers>
          <isin value="US36295RKM96"/>
        </identifiers>
        <balance>21110.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21285.140000</valUSD>
        <pctVal>0.0015216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080457 G2 09/30 FLOATING VAR</title>
        <cusip>36225CQK5</cusip>
        <identifiers>
          <isin value="US36225CQK52"/>
        </identifiers>
        <balance>5325.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5306.040000</valUSD>
        <pctVal>0.0003793</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A</title>
        <cusip>92922FLD8</cusip>
        <identifiers>
          <isin value="US92922FLD86"/>
        </identifiers>
        <balance>2391.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2348.640000</valUSD>
        <pctVal>0.0001679</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.37878</annualizedRt>
          <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 080710 G2 07/33 FLOATING VAR</title>
        <cusip>36225CYG5</cusip>
        <identifiers>
          <isin value="US36225CYG58"/>
        </identifiers>
        <balance>329553.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325968.890000</valUSD>
        <pctVal>0.0233024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 810408 FN 01/35 FIXED 5.5</title>
        <cusip>31406HKV8</cusip>
        <identifiers>
          <isin value="US31406HKV86"/>
        </identifiers>
        <balance>729.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>751.530000</valUSD>
        <pctVal>0.0000537</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806313 FN 11/34 FIXED 6</title>
        <cusip>31406CYJ1</cusip>
        <identifiers>
          <isin value="US31406CYJ16"/>
        </identifiers>
        <balance>5235.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5421.840000</valUSD>
        <pctVal>0.0003876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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 780895 FN 05/34 FIXED 5.5</title>
        <cusip>31404WRQ1</cusip>
        <identifiers>
          <isin value="US31404WRQ14"/>
        </identifiers>
        <balance>21366.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22011.760000</valUSD>
        <pctVal>0.0015735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775641 FN 05/34 FIXED 5.5</title>
        <cusip>31404QWA3</cusip>
        <identifiers>
          <isin value="US31404QWA39"/>
        </identifiers>
        <balance>120909.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124554.000000</valUSD>
        <pctVal>0.0089039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 A43850 FG 03/36 FIXED 5</title>
        <cusip>3128K4H32</cusip>
        <identifiers>
          <isin value="US3128K4H328"/>
        </identifiers>
        <balance>12359.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12582.400000</valUSD>
        <pctVal>0.0008995</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782416 GN 10/38 FIXED 5.5</title>
        <cusip>36241KVH8</cusip>
        <identifiers>
          <isin value="US36241KVH84"/>
        </identifiers>
        <balance>30027.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30362.320000</valUSD>
        <pctVal>0.0021705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888882 FN 08/37 FIXED VAR</title>
        <cusip>31410GRB1</cusip>
        <identifiers>
          <isin value="US31410GRB13"/>
        </identifiers>
        <balance>4026.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4264.250000</valUSD>
        <pctVal>0.0003048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>RENAISSANCE HOME EQUITY LN TR 2003-2</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A</title>
        <cusip>759950AW8</cusip>
        <identifiers>
          <isin value="US759950AW86"/>
        </identifiers>
        <balance>178053.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>162496.750000</valUSD>
        <pctVal>0.0116163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.35043</annualizedRt>
          <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 C31320 FG 10/29 FIXED 7</title>
        <cusip>31293WPD6</cusip>
        <identifiers>
          <isin value="US31293WPD64"/>
        </identifiers>
        <balance>233.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>240.900000</valUSD>
        <pctVal>0.0000172</pctVal>
        <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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773752 FN 04/34 FIXED 5.5</title>
        <cusip>31404NTH9</cusip>
        <identifiers>
          <isin value="US31404NTH97"/>
        </identifiers>
        <balance>12430.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12805.000000</valUSD>
        <pctVal>0.0009154</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555203 FN 09/32 FIXED VAR</title>
        <cusip>31385WX87</cusip>
        <identifiers>
          <isin value="US31385WX871"/>
        </identifiers>
        <balance>5151.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5310.300000</valUSD>
        <pctVal>0.0003796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 690910 GN 06/38 FIXED 5.5</title>
        <cusip>36296GR78</cusip>
        <identifiers>
          <isin value="US36296GR789"/>
        </identifiers>
        <balance>13054.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13111.210000</valUSD>
        <pctVal>0.0009373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</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 G01974 FG 12/35 FIXED 5</title>
        <cusip>3128LXFP0</cusip>
        <identifiers>
          <isin value="US3128LXFP03"/>
        </identifiers>
        <balance>52118.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53056.240000</valUSD>
        <pctVal>0.0037928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</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>RESIDENTIAL ASSET MTGE PROD 2005-EFC4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5</title>
        <cusip>76112BC81</cusip>
        <identifiers>
          <isin value="US76112BC816"/>
        </identifiers>
        <balance>1829000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1751122.460000</valUSD>
        <pctVal>0.125182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.41543</annualizedRt>
          <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 ZT1339 FR 09/32 FIXED 3.5</title>
        <cusip>3132ADPY8</cusip>
        <identifiers>
          <isin value="US3132ADPY84"/>
        </identifiers>
        <balance>20830.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20287.890000</valUSD>
        <pctVal>0.0014503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A82423 FG 10/38 FIXED 5</title>
        <cusip>312928VQ4</cusip>
        <identifiers>
          <isin value="US312928VQ45"/>
        </identifiers>
        <balance>15328.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15604.630000</valUSD>
        <pctVal>0.0011155</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 724065 GN 07/39 FIXED 6.5</title>
        <cusip>3620AAMN5</cusip>
        <identifiers>
          <isin value="US3620AAMN58"/>
        </identifiers>
        <balance>106827.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109687.420000</valUSD>
        <pctVal>0.0078412</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>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 783609 GN 10/40 FIXED 4.5</title>
        <cusip>3622A2AJ1</cusip>
        <identifiers>
          <isin value="US3622A2AJ18"/>
        </identifiers>
        <balance>18083.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18012.690000</valUSD>
        <pctVal>0.0012877</pctVal>
        <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>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 BY2122 FN 06/53 FIXED 5</title>
        <cusip>3140NJLC6</cusip>
        <identifiers>
          <isin value="US3140NJLC67"/>
        </identifiers>
        <balance>287956.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>287276.550000</valUSD>
        <pctVal>0.0205364</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>
        </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 G06954 FG 05/40 FIXED 6</title>
        <cusip>3128M9BX9</cusip>
        <identifiers>
          <isin value="US3128M9BX98"/>
        </identifiers>
        <balance>34369.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35919.670000</valUSD>
        <pctVal>0.0025678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-01</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 434128 GN 12/28 FIXED 6.5</title>
        <cusip>36207KHD5</cusip>
        <identifiers>
          <isin value="US36207KHD54"/>
        </identifiers>
        <balance>194.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200.570000</valUSD>
        <pctVal>0.0000143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</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 891564 G2 10/58 FLOATING VAR</title>
        <cusip>36208AZ61</cusip>
        <identifiers>
          <isin value="US36208AZ616"/>
        </identifiers>
        <balance>82056.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82067.440000</valUSD>
        <pctVal>0.0058667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.531</annualizedRt>
          <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>355708.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19659.310000</valUSD>
        <pctVal>0.0014054</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8910 FN 03/31 FIXED 4.99</title>
        <cusip>3140LK3U5</cusip>
        <identifiers>
          <isin value="US3140LK3U53"/>
        </identifiers>
        <balance>1495501.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1539478.100000</valUSD>
        <pctVal>0.110052</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.99</annualizedRt>
          <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 080236 G2 11/28 FLOATING VAR</title>
        <cusip>36225CHN9</cusip>
        <identifiers>
          <isin value="US36225CHN92"/>
        </identifiers>
        <balance>2285.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2216.090000</valUSD>
        <pctVal>0.0001584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 949069 FN 09/37 FIXED 6.5</title>
        <cusip>31413L2A6</cusip>
        <identifiers>
          <isin value="US31413L2A69"/>
        </identifiers>
        <balance>10396.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10855.580000</valUSD>
        <pctVal>0.000776</pctVal>
        <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>
          <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 008660 G2 07/25 FLOATING VAR</title>
        <cusip>36202KTR6</cusip>
        <identifiers>
          <isin value="US36202KTR67"/>
        </identifiers>
        <balance>683.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>678.390000</valUSD>
        <pctVal>0.0000485</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782294 GN 03/38 FIXED 5.5</title>
        <cusip>36241KRP5</cusip>
        <identifiers>
          <isin value="US36241KRP56"/>
        </identifiers>
        <balance>609793.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>616600.150000</valUSD>
        <pctVal>0.0440786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-15</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F062622</cusip>
        <identifiers>
          <isin value="US01F0626220"/>
        </identifiers>
        <balance>312600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>320329519.530000</valUSD>
        <pctVal>22.8992</pctVal>
        <payoffProfile>Long</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>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 688031 GN 10/38 FIXED 6.5</title>
        <cusip>36296DLL0</cusip>
        <identifiers>
          <isin value="US36296DLL00"/>
        </identifiers>
        <balance>10944.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11434.730000</valUSD>
        <pctVal>0.0008174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 678950 GN 10/37 FIXED 6.5</title>
        <cusip>36295SH33</cusip>
        <identifiers>
          <isin value="US36295SH332"/>
        </identifiers>
        <balance>29972.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31093.910000</valUSD>
        <pctVal>0.0022228</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01623 FG 09/33 FIXED 5.5</title>
        <cusip>31292HYU2</cusip>
        <identifiers>
          <isin value="US31292HYU21"/>
        </identifiers>
        <balance>258.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266.400000</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>2033-09-01</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 C00442 FG 01/26 FIXED 7</title>
        <cusip>31292GP34</cusip>
        <identifiers>
          <isin value="US31292GP340"/>
        </identifiers>
        <balance>207.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214.660000</valUSD>
        <pctVal>0.0000153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRIPS 386</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 386 C3</title>
        <cusip>31325YCL0</cusip>
        <identifiers>
          <isin value="US31325YCL02"/>
        </identifiers>
        <balance>4954277.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>766217.410000</valUSD>
        <pctVal>0.0547742</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>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"/>
        </identifiers>
        <balance>31508.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32506.520000</valUSD>
        <pctVal>0.0023238</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2006-AR7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11</title>
        <cusip>86361HAP9</cusip>
        <identifiers>
          <isin value="US86361HAP91"/>
        </identifiers>
        <balance>2058216.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1451182.650000</valUSD>
        <pctVal>0.10374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-5</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1</title>
        <cusip>007036LJ3</cusip>
        <identifiers>
          <isin value="US007036LJ33"/>
        </identifiers>
        <balance>164632.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142641.700000</valUSD>
        <pctVal>0.0101969</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.81988</annualizedRt>
          <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 545998 FN 11/32 FIXED VAR</title>
        <cusip>31385JRT7</cusip>
        <identifiers>
          <isin value="US31385JRT78"/>
        </identifiers>
        <balance>13703.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14183.730000</valUSD>
        <pctVal>0.0010139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</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 AI6880 GN 01/45 FIXED 3</title>
        <cusip>36198TUD2</cusip>
        <identifiers>
          <isin value="US36198TUD26"/>
        </identifiers>
        <balance>141474.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127041.770000</valUSD>
        <pctVal>0.0090818</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>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 D55777 FG 08/24 FIXED 8.5</title>
        <cusip>31356JM26</cusip>
        <identifiers>
          <isin value="US31356JM260"/>
        </identifiers>
        <balance>63.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63.290000</valUSD>
        <pctVal>0.0000045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BO9008 FN 02/50 FIXED 3</title>
        <cusip>3140K5AJ6</cusip>
        <identifiers>
          <isin value="US3140K5AJ66"/>
        </identifiers>
        <balance>4048251.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3631118.200000</valUSD>
        <pctVal>0.259576</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>
        </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 G07165 FG 12/41 FIXED 4.5</title>
        <cusip>3128M9JJ2</cusip>
        <identifiers>
          <isin value="US3128M9JJ23"/>
        </identifiers>
        <balance>1615610.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1615785.440000</valUSD>
        <pctVal>0.115507</pctVal>
        <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>4.5</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 675059 GN 01/38 FIXED 5.5</title>
        <cusip>36295M5U9</cusip>
        <identifiers>
          <isin value="US36295M5U90"/>
        </identifiers>
        <balance>28225.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28458.100000</valUSD>
        <pctVal>0.0020344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-15</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>MLCC MORTGAGE INVESTORS INC 2005-1</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1</title>
        <cusip>59020UUK9</cusip>
        <identifiers>
          <isin value="US59020UUK95"/>
        </identifiers>
        <balance>3429.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2949.530000</valUSD>
        <pctVal>0.0002109</pctVal>
        <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>
          <annualizedRt>4.32588</annualizedRt>
          <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 782150 GN 04/37 FIXED 5.5</title>
        <cusip>36241KL71</cusip>
        <identifiers>
          <isin value="US36241KL715"/>
        </identifiers>
        <balance>28513.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28698.690000</valUSD>
        <pctVal>0.0020516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-15</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>WELLFLEET CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>WELLFLEET CLO LTD WELF 2017 1A A1RR 144A</title>
        <cusip>94950GAL1</cusip>
        <identifiers>
          <isin value="US94950GAL14"/>
        </identifiers>
        <balance>330769.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331057.760000</valUSD>
        <pctVal>0.0236661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.56743</annualizedRt>
          <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 AB0462 FN 02/37 FIXED 6</title>
        <cusip>31416VQQ0</cusip>
        <identifiers>
          <isin value="US31416VQQ04"/>
        </identifiers>
        <balance>88052.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90863.520000</valUSD>
        <pctVal>0.0064955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AN5733 GN 06/45 FIXED 3</title>
        <cusip>36186NLN7</cusip>
        <identifiers>
          <isin value="US36186NLN74"/>
        </identifiers>
        <balance>98581.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88522.890000</valUSD>
        <pctVal>0.0063282</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A23085 FG 06/34 FIXED 5</title>
        <cusip>31297ANA8</cusip>
        <identifiers>
          <isin value="US31297ANA87"/>
        </identifiers>
        <balance>13354.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13594.740000</valUSD>
        <pctVal>0.0009718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR</title>
        <cusip>3128HDZD4</cusip>
        <identifiers>
          <isin value="US3128HDZD45"/>
        </identifiers>
        <balance>78.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77.440000</valUSD>
        <pctVal>0.0000055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.15</annualizedRt>
          <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>358654.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>360666.890000</valUSD>
        <pctVal>0.0257828</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>ROMARK CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>ROMARK CLO LTD RMRK 2017 1A A1R 144A</title>
        <cusip>77587UAL6</cusip>
        <identifiers>
          <isin value="US77587UAL61"/>
        </identifiers>
        <balance>27465610.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27407944.210000</valUSD>
        <pctVal>1.9593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.70354</annualizedRt>
          <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 1966</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1966 Z</title>
        <cusip>3133TABZ4</cusip>
        <identifiers>
          <isin value="US3133TABZ49"/>
        </identifiers>
        <balance>5228.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5272.610000</valUSD>
        <pctVal>0.0003769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A86492 FG 05/39 FIXED 4.5</title>
        <cusip>312933F90</cusip>
        <identifiers>
          <isin value="US312933F902"/>
        </identifiers>
        <balance>10914.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10914.500000</valUSD>
        <pctVal>0.0007802</pctVal>
        <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>4.5</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 2012-77</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 77 IO</title>
        <cusip>3136A6H98</cusip>
        <identifiers>
          <isin value="US3136A6H986"/>
        </identifiers>
        <balance>445641.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22241.080000</valUSD>
        <pctVal>0.0015899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.000001</annualizedRt>
          <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 663792 GN 01/37 FIXED 5</title>
        <cusip>36294YNH3</cusip>
        <identifiers>
          <isin value="US36294YNH35"/>
        </identifiers>
        <balance>25596.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25621.310000</valUSD>
        <pctVal>0.0018316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 877157 G2 05/30 FLOATING VAR</title>
        <cusip>36208AMT5</cusip>
        <identifiers>
          <isin value="US36208AMT50"/>
        </identifiers>
        <balance>31942.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31300.910000</valUSD>
        <pctVal>0.0022376</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7772 FN 11/35 FIXED VAR</title>
        <cusip>3138EQT69</cusip>
        <identifiers>
          <isin value="US3138EQT693"/>
        </identifiers>
        <balance>3454659.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3378981.310000</valUSD>
        <pctVal>0.241551</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 005261 G2 12/41 FIXED 5</title>
        <cusip>36202FZ25</cusip>
        <identifiers>
          <isin value="US36202FZ253"/>
        </identifiers>
        <balance>721225.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>734882.810000</valUSD>
        <pctVal>0.0525342</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-20</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>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"/>
        </identifiers>
        <balance>594279.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18944.670000</valUSD>
        <pctVal>0.0013543</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>
        </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 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030637</cusip>
        <identifiers>
          <isin value="US01F0306377"/>
        </identifiers>
        <balance>195000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172917774.900000</valUSD>
        <pctVal>12.3613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-03-13</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 711343 GN 11/35 FIXED 5</title>
        <cusip>36297GHU7</cusip>
        <identifiers>
          <isin value="US36297GHU76"/>
        </identifiers>
        <balance>1166.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1174.840000</valUSD>
        <pctVal>0.000084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080526 G2 07/31 FLOATING VAR</title>
        <cusip>36225CSQ0</cusip>
        <identifiers>
          <isin value="US36225CSQ05"/>
        </identifiers>
        <balance>13240.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12906.410000</valUSD>
        <pctVal>0.0009226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT7698 FN 06/43 FIXED 4</title>
        <cusip>3138WVRU7</cusip>
        <identifiers>
          <isin value="US3138WVRU74"/>
        </identifiers>
        <balance>85068.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82781.020000</valUSD>
        <pctVal>0.0059177</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750N908 OTC ECAL FN 5.0 JAN24 99.90625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH48838"/>
        </identifiers>
        <balance>-34500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-25095.300000</valUSD>
        <pctVal>-0.001794</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% JAN 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506190"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.910000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>63850.010000</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 313783 FN 05/36 FLOATING VAR</title>
        <cusip>31374GRC3</cusip>
        <identifiers>
          <isin value="US31374GRC32"/>
        </identifiers>
        <balance>1623.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1572.850000</valUSD>
        <pctVal>0.0001124</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.468</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MELLON RESIDENTIAL FUND CORP 2000-TBC3</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1</title>
        <cusip>585525EN4</cusip>
        <identifiers>
          <isin value="US585525EN47"/>
        </identifiers>
        <balance>101160.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95406.630000</valUSD>
        <pctVal>0.0068203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.91629</annualizedRt>
          <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 557521 GN 07/31 FIXED 6.5</title>
        <cusip>36213LLA6</cusip>
        <identifiers>
          <isin value="US36213LLA60"/>
        </identifiers>
        <balance>73.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75.560000</valUSD>
        <pctVal>0.0000054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</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 190937 FN 03/24 FLOATING VAR</title>
        <cusip>31368JBE8</cusip>
        <identifiers>
          <isin value="US31368JBE82"/>
        </identifiers>
        <balance>183.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182.550000</valUSD>
        <pctVal>0.000013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.496</annualizedRt>
          <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 A61634 FG 06/34 FIXED 5</title>
        <cusip>3128KRY73</cusip>
        <identifiers>
          <isin value="US3128KRY731"/>
        </identifiers>
        <balance>22724.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23133.410000</valUSD>
        <pctVal>0.0016537</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 745636 GN 12/41 FIXED 4</title>
        <cusip>3620C1LR5</cusip>
        <identifiers>
          <isin value="US3620C1LR57"/>
        </identifiers>
        <balance>13541.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13274.020000</valUSD>
        <pctVal>0.0009489</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 823498 FN 05/35 FIXED 6</title>
        <cusip>31406X3F7</cusip>
        <identifiers>
          <isin value="US31406X3F70"/>
        </identifiers>
        <balance>12431.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12851.450000</valUSD>
        <pctVal>0.0009187</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A62249 FG 06/37 FIXED 5.5</title>
        <cusip>3128KSQA3</cusip>
        <identifiers>
          <isin value="US3128KSQA39"/>
        </identifiers>
        <balance>5284.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5438.680000</valUSD>
        <pctVal>0.0003888</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4070 FN 06/53 FIXED 5</title>
        <cusip>3140NLQY8</cusip>
        <identifiers>
          <isin value="US3140NLQY88"/>
        </identifiers>
        <balance>589579.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>593432.600000</valUSD>
        <pctVal>0.0424224</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>
        </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 MA0140 FN 08/29 FIXED 4.5</title>
        <cusip>31417YEN3</cusip>
        <identifiers>
          <isin value="US31417YEN31"/>
        </identifiers>
        <balance>55005.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54558.700000</valUSD>
        <pctVal>0.0039002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-01</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>FANNIEMAE STRIP 419</name>
        <lei>N/A</lei>
        <title>FANNIEMAE STRIP FNS 419 C3</title>
        <cusip>31395Q5Q9</cusip>
        <identifiers>
          <isin value="US31395Q5Q90"/>
        </identifiers>
        <balance>1403903.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200034.740000</valUSD>
        <pctVal>0.0142998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 733344 GN 04/40 FIXED 5.5</title>
        <cusip>3620ALWD2</cusip>
        <identifiers>
          <isin value="US3620ALWD22"/>
        </identifiers>
        <balance>1076.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1088.880000</valUSD>
        <pctVal>0.0000778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</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>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>635045.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>596215.140000</valUSD>
        <pctVal>0.0426213</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04788 FG 09/38 FIXED 5.5</title>
        <cusip>3128M6UM8</cusip>
        <identifiers>
          <isin value="US3128M6UM83"/>
        </identifiers>
        <balance>60758.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62682.280000</valUSD>
        <pctVal>0.0044809</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 588938 FN 06/31 FIXED 6.5</title>
        <cusip>31387NHP5</cusip>
        <identifiers>
          <isin value="US31387NHP50"/>
        </identifiers>
        <balance>1849.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1923.060000</valUSD>
        <pctVal>0.0001375</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 601861 FN 03/31 FIXED 6.5</title>
        <cusip>31388DTS7</cusip>
        <identifiers>
          <isin value="US31388DTS70"/>
        </identifiers>
        <balance>492.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>508.000000</valUSD>
        <pctVal>0.0000363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZK8567 FR 02/32 FIXED 2.5</title>
        <cusip>3131XCQU4</cusip>
        <identifiers>
          <isin value="US3131XCQU41"/>
        </identifiers>
        <balance>55453.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51437.040000</valUSD>
        <pctVal>0.0036771</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 385984 GN 12/24 FIXED 8</title>
        <cusip>36205BXM9</cusip>
        <identifiers>
          <isin value="US36205BXM98"/>
        </identifiers>
        <balance>161.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161.390000</valUSD>
        <pctVal>0.0000115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU9994 FN 10/43 FIXED 4</title>
        <cusip>3138XAC87</cusip>
        <identifiers>
          <isin value="US3138XAC875"/>
        </identifiers>
        <balance>239241.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232482.140000</valUSD>
        <pctVal>0.0166193</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 759000 FN 01/34 FIXED 5.5</title>
        <cusip>31403VGH6</cusip>
        <identifiers>
          <isin value="US31403VGH69"/>
        </identifiers>
        <balance>46761.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48172.330000</valUSD>
        <pctVal>0.0034437</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>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>317U3M5A4 PIMCO SWAPTION 5.5 PUT USD 20240221</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002P317"/>
        </identifiers>
        <balance>183400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1485.540000</valUSD>
        <pctVal>0.0001062</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 02/23/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01WPV1"/>
                    </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/5.50000 02/23/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01WPV1"/>
                      </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="5.500000"/>
                  <terminationDt>2025-02-23</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-142217.460000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 787603 FH 10/27 FLOATING VAR</title>
        <cusip>31295LNU2</cusip>
        <identifiers>
          <isin value="US31295LNU25"/>
        </identifiers>
        <balance>932.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>925.600000</valUSD>
        <pctVal>0.0000662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.895</annualizedRt>
          <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 008608 G2 03/25 FLOATING VAR</title>
        <cusip>36202KR56</cusip>
        <identifiers>
          <isin value="US36202KR565"/>
        </identifiers>
        <balance>297.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>293.160000</valUSD>
        <pctVal>0.000021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04625 FG 06/36 FIXED 6</title>
        <cusip>3128M6PJ1</cusip>
        <identifiers>
          <isin value="US3128M6PJ10"/>
        </identifiers>
        <balance>10387.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10867.030000</valUSD>
        <pctVal>0.0007768</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972103 FH 05/32 FLOATING VAR</title>
        <cusip>31336CKQ5</cusip>
        <identifiers>
          <isin value="US31336CKQ59"/>
        </identifiers>
        <balance>69795.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69268.370000</valUSD>
        <pctVal>0.0049518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.642</annualizedRt>
          <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 C80239 FG 11/24 FIXED 8.5</title>
        <cusip>31335GHQ1</cusip>
        <identifiers>
          <isin value="US31335GHQ10"/>
        </identifiers>
        <balance>13.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13.570000</valUSD>
        <pctVal>0.000001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AA4844 GN 06/42 FIXED 3.5</title>
        <cusip>36178CLZ4</cusip>
        <identifiers>
          <isin value="US36178CLZ40"/>
        </identifiers>
        <balance>61555.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58164.400000</valUSD>
        <pctVal>0.004158</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-15</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>JP MORGAN MORTGAGE ACQ CORP 2005-RM1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2</title>
        <cusip>46629NAC7</cusip>
        <identifiers>
          <isin value="US46629NAC74"/>
        </identifiers>
        <balance>34653.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14830.660000</valUSD>
        <pctVal>0.0010602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.63043</annualizedRt>
          <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 663884 GN 02/37 FIXED 6</title>
        <cusip>36294YRD8</cusip>
        <identifiers>
          <isin value="US36294YRD84"/>
        </identifiers>
        <balance>6535.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6643.280000</valUSD>
        <pctVal>0.0004749</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04573 FG 07/38 FIXED 5.5</title>
        <cusip>3128M6MW5</cusip>
        <identifiers>
          <isin value="US3128M6MW57"/>
        </identifiers>
        <balance>20094.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20730.710000</valUSD>
        <pctVal>0.001482</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 673228 GN 11/38 FIXED 5.5</title>
        <cusip>36295K4M2</cusip>
        <identifiers>
          <isin value="US36295K4M20"/>
        </identifiers>
        <balance>30797.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31143.490000</valUSD>
        <pctVal>0.0022263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 732941 GN 01/40 FIXED 5.5</title>
        <cusip>3620ALHS6</cusip>
        <identifiers>
          <isin value="US3620ALHS65"/>
        </identifiers>
        <balance>25139.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25347.600000</valUSD>
        <pctVal>0.001812</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</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 A97218 FG 03/41 FIXED 5</title>
        <cusip>312946AT3</cusip>
        <identifiers>
          <isin value="US312946AT37"/>
        </identifiers>
        <balance>320922.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>326325.310000</valUSD>
        <pctVal>0.0233278</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-03-01</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 AU7388 FN 10/43 FIXED 5</title>
        <cusip>3138X7F65</cusip>
        <identifiers>
          <isin value="US3138X7F658"/>
        </identifiers>
        <balance>47674.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48339.660000</valUSD>
        <pctVal>0.0034556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-01</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>FANNIE MAE-ACES 2001-M2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE ACES FNA 2001 M2 Z2</title>
        <cusip>313920HM5</cusip>
        <identifiers>
          <isin value="US313920HM50"/>
        </identifiers>
        <balance>47011.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46646.370000</valUSD>
        <pctVal>0.0033346</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.3</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 FM1514 FN 09/49 FIXED VAR</title>
        <cusip>3140X4VG8</cusip>
        <identifiers>
          <isin value="US3140X4VG84"/>
        </identifiers>
        <balance>3565404.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3198018.350000</valUSD>
        <pctVal>0.228615</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>FREDDIE MAC 2385</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2385 FA</title>
        <cusip>31339L4U1</cusip>
        <identifiers>
          <isin value="US31339L4U11"/>
        </identifiers>
        <balance>202830.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205534.410000</valUSD>
        <pctVal>0.0146929</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.40292</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN BUSINESS FIN SERVICES 2002-2</name>
        <lei>N/A</lei>
        <title>ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1</title>
        <cusip>000759CR9</cusip>
        <identifiers>
          <isin value="US000759CR91"/>
        </identifiers>
        <balance>532506.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393423.700000</valUSD>
        <pctVal>0.0281245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.48511</annualizedRt>
          <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 MA2903 FN 02/32 FIXED 3</title>
        <cusip>31418CGM0</cusip>
        <identifiers>
          <isin value="US31418CGM01"/>
        </identifiers>
        <balance>237985.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227831.280000</valUSD>
        <pctVal>0.0162869</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>COUNTRYWIDE HOME LOANS 2004-29</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1</title>
        <cusip>12669GHY0</cusip>
        <identifiers>
          <isin value="US12669GHY08"/>
        </identifiers>
        <balance>52298.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47006.300000</valUSD>
        <pctVal>0.0033603</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.01043</annualizedRt>
          <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 778266 FN 05/34 FIXED 5.5</title>
        <cusip>31404TTX1</cusip>
        <identifiers>
          <isin value="US31404TTX18"/>
        </identifiers>
        <balance>71545.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73704.440000</valUSD>
        <pctVal>0.0052689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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 STRUCTURED P/T SECURITIES E3</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC E3 A</title>
        <cusip>3133TCE95</cusip>
        <identifiers>
          <isin value="US3133TCE959"/>
        </identifiers>
        <balance>8981.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8697.500000</valUSD>
        <pctVal>0.0006218</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.578</annualizedRt>
          <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 906472 FN 01/37 FIXED 6</title>
        <cusip>31411FCH5</cusip>
        <identifiers>
          <isin value="US31411FCH55"/>
        </identifiers>
        <balance>15191.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15784.910000</valUSD>
        <pctVal>0.0011284</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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 655352 GN 05/36 FIXED 6.5</title>
        <cusip>36294PBV4</cusip>
        <identifiers>
          <isin value="US36294PBV40"/>
        </identifiers>
        <balance>761.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>787.640000</valUSD>
        <pctVal>0.0000563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</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 626938 GN 04/45 FIXED 4</title>
        <cusip>36291FPX0</cusip>
        <identifiers>
          <isin value="US36291FPX05"/>
        </identifiers>
        <balance>854010.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>843978.220000</valUSD>
        <pctVal>0.060333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-04-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 935188 FN 06/39 FIXED 6</title>
        <cusip>31412UND8</cusip>
        <identifiers>
          <isin value="US31412UND80"/>
        </identifiers>
        <balance>29890.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30764.830000</valUSD>
        <pctVal>0.0021993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</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 653158 GN 04/36 FIXED 5.5</title>
        <cusip>36292MTP7</cusip>
        <identifiers>
          <isin value="US36292MTP76"/>
        </identifiers>
        <balance>1792.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1818.350000</valUSD>
        <pctVal>0.00013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</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>FREDDIE MAC 2061</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2061 Z</title>
        <cusip>3133TEJX3</cusip>
        <identifiers>
          <isin value="US3133TEJX31"/>
        </identifiers>
        <balance>25244.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25700.240000</valUSD>
        <pctVal>0.0018372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-15</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 389782 GN 12/32 FIXED 5.5</title>
        <cusip>36205F6T5</cusip>
        <identifiers>
          <isin value="US36205F6T53"/>
        </identifiers>
        <balance>2272.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2297.850000</valUSD>
        <pctVal>0.0001643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM4434 FN 06/48 FIXED VAR</title>
        <cusip>3140J84U4</cusip>
        <identifiers>
          <isin value="US3140J84U41"/>
        </identifiers>
        <balance>837271.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>841882.240000</valUSD>
        <pctVal>0.0601832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>MLCC MORTGAGE INVESTORS INC. 2003-F</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2</title>
        <cusip>5899292N7</cusip>
        <identifiers>
          <isin value="US5899292N73"/>
        </identifiers>
        <balance>6418.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6065.910000</valUSD>
        <pctVal>0.0004336</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.58109</annualizedRt>
          <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 A78296 FG 06/38 FIXED 5</title>
        <cusip>3128LCGD2</cusip>
        <identifiers>
          <isin value="US3128LCGD27"/>
        </identifiers>
        <balance>44947.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45758.990000</valUSD>
        <pctVal>0.0032711</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</annualizedRt>
          <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 783571 GN 12/33 FIXED 5</title>
        <cusip>36241L6G6</cusip>
        <identifiers>
          <isin value="US36241L6G69"/>
        </identifiers>
        <balance>13215.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13304.280000</valUSD>
        <pctVal>0.0009511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE9832 G2 06/48 FIXED 4.5</title>
        <cusip>3617G44R0</cusip>
        <identifiers>
          <isin value="US3617G44R00"/>
        </identifiers>
        <balance>61117.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59871.010000</valUSD>
        <pctVal>0.00428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</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>KKR CLO LTD 18</name>
        <lei>N/A</lei>
        <title>KKR FINANCIAL CLO LTD KKR 18 AR 144A</title>
        <cusip>48251JAL7</cusip>
        <identifiers>
          <isin value="US48251JAL70"/>
        </identifiers>
        <balance>2247883.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2246310.300000</valUSD>
        <pctVal>0.160581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.59665</annualizedRt>
          <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 AS9302 FN 03/37 FIXED 4</title>
        <cusip>3138WKKQ7</cusip>
        <identifiers>
          <isin value="US3138WKKQ70"/>
        </identifiers>
        <balance>2743745.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2681966.540000</valUSD>
        <pctVal>0.191724</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>SMALL BUSINESS ADMIN PART CERTS 2008-20G</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2008 20G 1</title>
        <cusip>83162CRX3</cusip>
        <identifiers>
          <isin value="US83162CRX38"/>
        </identifiers>
        <balance>284111.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282135.990000</valUSD>
        <pctVal>0.0201689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008639 G2 06/25 FLOATING VAR</title>
        <cusip>36202KS48</cusip>
        <identifiers>
          <isin value="US36202KS480"/>
        </identifiers>
        <balance>6929.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6891.140000</valUSD>
        <pctVal>0.0004926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 2006-118</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 118 A2</title>
        <cusip>31396L4T4</cusip>
        <identifiers>
          <isin value="US31396L4T48"/>
        </identifiers>
        <balance>728208.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>709934.280000</valUSD>
        <pctVal>0.0507507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.50257</annualizedRt>
          <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 2319</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2319 PZ</title>
        <cusip>3133TT4X6</cusip>
        <identifiers>
          <isin value="US3133TT4X66"/>
        </identifiers>
        <balance>54038.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56056.190000</valUSD>
        <pctVal>0.0040073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-15</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>FREDDIE MAC 2084</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2084 ZC</title>
        <cusip>3133TG5U9</cusip>
        <identifiers>
          <isin value="US3133TG5U99"/>
        </identifiers>
        <balance>13821.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13973.010000</valUSD>
        <pctVal>0.0009989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-15</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>EMCM MORTGAGE LOAN TRUST 2001-A</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A</title>
        <cusip>268668AA8</cusip>
        <identifiers>
          <isin value="US268668AA87"/>
        </identifiers>
        <balance>123018.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>121281.770000</valUSD>
        <pctVal>0.00867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.21043</annualizedRt>
          <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 252469 FN 10/28 FIXED 7.5</title>
        <cusip>31371HMS4</cusip>
        <identifiers>
          <isin value="US31371HMS49"/>
        </identifiers>
        <balance>12044.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12007.620000</valUSD>
        <pctVal>0.0008584</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>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 A55275 FG 12/36 FIXED 5.5</title>
        <cusip>3128KH2G0</cusip>
        <identifiers>
          <isin value="US3128KH2G06"/>
        </identifiers>
        <balance>117.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>121.450000</valUSD>
        <pctVal>0.0000087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 694182 GN 10/38 FIXED 6</title>
        <cusip>36296LFX3</cusip>
        <identifiers>
          <isin value="US36296LFX38"/>
        </identifiers>
        <balance>4705.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4772.590000</valUSD>
        <pctVal>0.0003412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A14258 FG 09/33 FIXED 5.5</title>
        <cusip>31296NWT0</cusip>
        <identifiers>
          <isin value="US31296NWT08"/>
        </identifiers>
        <balance>5949.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6137.370000</valUSD>
        <pctVal>0.0004387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</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>MERRILL LYNCH MORTGAGE INVESTO-2006-RM4</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A</title>
        <cusip>59023QAB7</cusip>
        <identifiers>
          <isin value="US59023QAB77"/>
        </identifiers>
        <balance>124747.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25352.240000</valUSD>
        <pctVal>0.0018123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.63043</annualizedRt>
          <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 AZ8592 GN 04/47 FIXED 4</title>
        <cusip>36197MRM2</cusip>
        <identifiers>
          <isin value="US36197MRM28"/>
        </identifiers>
        <balance>314766.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>304065.700000</valUSD>
        <pctVal>0.0217366</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 II POOL MA5467 G2 09/48 FIXED 4.5</title>
        <cusip>36179UCC4</cusip>
        <identifiers>
          <isin value="US36179UCC45"/>
        </identifiers>
        <balance>266522.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>263462.580000</valUSD>
        <pctVal>0.018834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AL1137 GN 01/45 FIXED 3.5</title>
        <cusip>36183WHN5</cusip>
        <identifiers>
          <isin value="US36183WHN56"/>
        </identifiers>
        <balance>40751.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38505.100000</valUSD>
        <pctVal>0.0027526</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>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 RA7020 FR 03/52 FIXED 2.5</title>
        <cusip>3133KNYR8</cusip>
        <identifiers>
          <isin value="US3133KNYR87"/>
        </identifiers>
        <balance>318788.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>272618.930000</valUSD>
        <pctVal>0.0194886</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>INDYMAC INDX MTGE LOAN TRUST 2004-AR11</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A</title>
        <cusip>45660N6S9</cusip>
        <identifiers>
          <isin value="US45660N6S95"/>
        </identifiers>
        <balance>2605.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2475.250000</valUSD>
        <pctVal>0.0001769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.69875</annualizedRt>
          <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"/>
        </identifiers>
        <balance>3137123.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>494115.730000</valUSD>
        <pctVal>0.0353226</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2</title>
        <cusip>126694YN2</cusip>
        <identifiers>
          <isin value="US126694YN25"/>
        </identifiers>
        <balance>8344.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1764.300000</valUSD>
        <pctVal>0.0001261</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HALSEY POINT CLO I LTD 2019-1A</name>
        <lei>N/A</lei>
        <title>HALSEYPOINT CLO I, LTD. HLSY 2019 1A A1A1 144A</title>
        <cusip>406375AA3</cusip>
        <identifiers>
          <isin value="US406375AA38"/>
        </identifiers>
        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1299105.030000</valUSD>
        <pctVal>0.0928684</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.02743</annualizedRt>
          <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 G04222 FG 04/38 FIXED 5.5</title>
        <cusip>3128M6AX6</cusip>
        <identifiers>
          <isin value="US3128M6AX68"/>
        </identifiers>
        <balance>32126.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33143.650000</valUSD>
        <pctVal>0.0023693</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>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>RFR USD SOFR/3.26000 06/08/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01VBW6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>251927.600000</valUSD>
        <pctVal>0.0180094</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01VBW6-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.260000"/>
            <terminationDt>2033-06-08</terminationDt>
            <upfrontPmnt>93940.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>8800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>157987.600000</unrealizedAppr>
          </swapDeriv>
        </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 938012 FN 07/37 FIXED 6</title>
        <cusip>31412XR97</cusip>
        <identifiers>
          <isin value="US31412XR972"/>
        </identifiers>
        <balance>44127.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46112.380000</valUSD>
        <pctVal>0.0032964</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</annualizedRt>
          <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 559800 FN 09/40 FLOATING VAR</title>
        <cusip>31386C3H3</cusip>
        <identifiers>
          <isin value="US31386C3H35"/>
        </identifiers>
        <balance>23891.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23125.910000</valUSD>
        <pctVal>0.0016532</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.412</annualizedRt>
          <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 782542 GN 01/39 FIXED 4.5</title>
        <cusip>36241KZF8</cusip>
        <identifiers>
          <isin value="US36241KZF82"/>
        </identifiers>
        <balance>255809.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>255351.800000</valUSD>
        <pctVal>0.0182542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831646 FN 08/26 FIXED 6.5</title>
        <cusip>31407H5F9</cusip>
        <identifiers>
          <isin value="US31407H5F95"/>
        </identifiers>
        <balance>288.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>295.560000</valUSD>
        <pctVal>0.0000211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</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 002936 G2 06/30 FIXED 8.5</title>
        <cusip>36202DHM6</cusip>
        <identifiers>
          <isin value="US36202DHM65"/>
        </identifiers>
        <balance>1003.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1039.940000</valUSD>
        <pctVal>0.0000743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782789 GN 10/39 FIXED 5.5</title>
        <cusip>36241LC20</cusip>
        <identifiers>
          <isin value="US36241LC209"/>
        </identifiers>
        <balance>3923.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3967.580000</valUSD>
        <pctVal>0.0002836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</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>FREDDIE MAC REMICS 4265</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4265 LS</title>
        <cusip>3137B5RV7</cusip>
        <identifiers>
          <isin value="US3137B5RV74"/>
        </identifiers>
        <balance>3957772.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3385733.240000</valUSD>
        <pctVal>0.242034</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-15</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 802482 FN 11/34 FIXED 5.5</title>
        <cusip>31405XRB1</cusip>
        <identifiers>
          <isin value="US31405XRB19"/>
        </identifiers>
        <balance>29458.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30043.080000</valUSD>
        <pctVal>0.0021477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FREDDIE MAC 4839</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4839 WO</title>
        <cusip>3137FJK81</cusip>
        <identifiers>
          <isin value="US3137FJK811"/>
        </identifiers>
        <balance>24304746.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17620231.560000</valUSD>
        <pctVal>1.25961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-15</maturityDt>
          <couponKind>None</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>N/A</name>
        <lei>N/A</lei>
        <title>317U2OHA8 PIMCO SWAPTION 2.5125 CALL USD 20240</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002CV64"/>
        </identifiers>
        <balance>14000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>31057.600000</valUSD>
        <pctVal>0.0022202</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>Call</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/2.51250 04/09/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01QYF9"/>
                    </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/2.51250 04/09/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01QYF9"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <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">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-04-09</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>2.510000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-269942.400000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CUTWATER 2015-I LTD</name>
        <lei>N/A</lei>
        <title>CUTWATER LTD CTWTR 2015 1A AR 144A</title>
        <cusip>23222LAN7</cusip>
        <identifiers>
          <isin value="US23222LAN73"/>
        </identifiers>
        <balance>2280900.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2283788.230000</valUSD>
        <pctVal>0.16326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.87548</annualizedRt>
          <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 503004 FN 06/29 FIXED 6.5</title>
        <cusip>31383GX92</cusip>
        <identifiers>
          <isin value="US31383GX929"/>
        </identifiers>
        <balance>31.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32.230000</valUSD>
        <pctVal>0.0000023</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04399 FG 07/38 FIXED 5.5</title>
        <cusip>3128M6GG7</cusip>
        <identifiers>
          <isin value="US3128M6GG71"/>
        </identifiers>
        <balance>10503.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10835.610000</valUSD>
        <pctVal>0.0007746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698386 GN 07/39 FIXED 4.5</title>
        <cusip>36296Q2T5</cusip>
        <identifiers>
          <isin value="US36296Q2T53"/>
        </identifiers>
        <balance>825651.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>823210.150000</valUSD>
        <pctVal>0.0588484</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>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"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.120000</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>
            </counterparties>
            <putOrCall>Call</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/2.87500 01/05/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01NT70"/>
                    </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/2.87500 01/05/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01NT70"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <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">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2034-01-05</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>2.880000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-32159.880000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 780090 FH 12/32 FLOATING VAR</title>
        <cusip>31342AC31</cusip>
        <identifiers>
          <isin value="US31342AC310"/>
        </identifiers>
        <balance>5174.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5088.220000</valUSD>
        <pctVal>0.0003637</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>Floating</couponKind>
          <annualizedRt>6.348</annualizedRt>
          <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 SD0941 FR 04/52 FIXED 3</title>
        <cusip>3132DNBJ1</cusip>
        <identifiers>
          <isin value="US3132DNBJ19"/>
        </identifiers>
        <balance>1395085.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1241553.340000</valUSD>
        <pctVal>0.0887542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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>JP MORGAN MORTGAGE TRUST 2019-2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2019 2 A11 144A</title>
        <cusip>46650TAL6</cusip>
        <identifiers>
          <isin value="US46650TAL61"/>
        </identifiers>
        <balance>919772.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>908401.120000</valUSD>
        <pctVal>0.0649384</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.42043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TBW MTGE BACKED P/T CERT 2007-2</name>
        <lei>N/A</lei>
        <title>TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A6A</title>
        <cusip>872227AK9</cusip>
        <identifiers>
          <isin value="US872227AK96"/>
        </identifiers>
        <balance>1439070.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555624.500000</valUSD>
        <pctVal>0.0397196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.5145</annualizedRt>
          <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 700778 GN 10/38 FIXED 5.5</title>
        <cusip>36296TQ71</cusip>
        <identifiers>
          <isin value="US36296TQ719"/>
        </identifiers>
        <balance>4144.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4156.860000</valUSD>
        <pctVal>0.0002972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</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 A89839 FG 11/39 FIXED 5</title>
        <cusip>3129364Y0</cusip>
        <identifiers>
          <isin value="US3129364Y02"/>
        </identifiers>
        <balance>42784.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43557.610000</valUSD>
        <pctVal>0.0031138</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-01</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 AS0209 FN 08/43 FIXED 3.5</title>
        <cusip>3138W9GT1</cusip>
        <identifiers>
          <isin value="US3138W9GT14"/>
        </identifiers>
        <balance>684.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>644.660000</valUSD>
        <pctVal>0.0000461</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080541 G2 09/31 FLOATING VAR</title>
        <cusip>36225CS72</cusip>
        <identifiers>
          <isin value="US36225CS728"/>
        </identifiers>
        <balance>238556.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235430.240000</valUSD>
        <pctVal>0.0168301</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 665310 FN 10/32 FIXED 6</title>
        <cusip>31391FDP0</cusip>
        <identifiers>
          <isin value="US31391FDP09"/>
        </identifiers>
        <balance>9053.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9315.110000</valUSD>
        <pctVal>0.0006659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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 BK8736 FN 01/49 FIXED 4.5</title>
        <cusip>3140HNV66</cusip>
        <identifiers>
          <isin value="US3140HNV661"/>
        </identifiers>
        <balance>844594.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>832257.260000</valUSD>
        <pctVal>0.0594951</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</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 G01931 FG 10/35 FIXED 5.5</title>
        <cusip>3128LXEC0</cusip>
        <identifiers>
          <isin value="US3128LXEC09"/>
        </identifiers>
        <balance>7977.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8229.880000</valUSD>
        <pctVal>0.0005883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</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 G04595 FG 12/33 FIXED 5.5</title>
        <cusip>3128M6NL8</cusip>
        <identifiers>
          <isin value="US3128M6NL83"/>
        </identifiers>
        <balance>12499.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12893.580000</valUSD>
        <pctVal>0.0009217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002973 G2 09/30 FIXED 8</title>
        <cusip>36202DJS1</cusip>
        <identifiers>
          <isin value="US36202DJS18"/>
        </identifiers>
        <balance>1251.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1300.090000</valUSD>
        <pctVal>0.0000929</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 005339 G2 03/27 FIXED 2.5</title>
        <cusip>36202F4Y9</cusip>
        <identifiers>
          <isin value="US36202F4Y97"/>
        </identifiers>
        <balance>32508.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31454.530000</valUSD>
        <pctVal>0.0022486</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>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 CB3046 FN 03/52 FIXED 2.5</title>
        <cusip>3140QNL42</cusip>
        <identifiers>
          <isin value="US3140QNL424"/>
        </identifiers>
        <balance>738320.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>632165.860000</valUSD>
        <pctVal>0.0451913</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A10364 FG 06/33 FIXED 5.5</title>
        <cusip>31296JMM5</cusip>
        <identifiers>
          <isin value="US31296JMM52"/>
        </identifiers>
        <balance>11032.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11266.750000</valUSD>
        <pctVal>0.0008054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995930 FN 04/39 FIXED VAR</title>
        <cusip>31416CLK0</cusip>
        <identifiers>
          <isin value="US31416CLK08"/>
        </identifiers>
        <balance>57758.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58715.120000</valUSD>
        <pctVal>0.0041973</pctVal>
        <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>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 C91167 FG 04/28 FIXED 5</title>
        <cusip>3128P7JL8</cusip>
        <identifiers>
          <isin value="US3128P7JL81"/>
        </identifiers>
        <balance>32737.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32756.680000</valUSD>
        <pctVal>0.0023417</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>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 889883 FN 03/38 FIXED VAR</title>
        <cusip>31410KUG7</cusip>
        <identifiers>
          <isin value="US31410KUG74"/>
        </identifiers>
        <balance>14542.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15191.910000</valUSD>
        <pctVal>0.001086</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>
          <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 008592 G2 02/25 FLOATING VAR</title>
        <cusip>36202KRM9</cusip>
        <identifiers>
          <isin value="US36202KRM98"/>
        </identifiers>
        <balance>494.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>488.950000</valUSD>
        <pctVal>0.000035</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q01446 FG 06/41 FIXED 5</title>
        <cusip>3132GETB6</cusip>
        <identifiers>
          <isin value="US3132GETB64"/>
        </identifiers>
        <balance>11497.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11690.670000</valUSD>
        <pctVal>0.0008357</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>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 929836 FN 08/38 FIXED 6</title>
        <cusip>31412NBD7</cusip>
        <identifiers>
          <isin value="US31412NBD75"/>
        </identifiers>
        <balance>5425.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5661.680000</valUSD>
        <pctVal>0.0004047</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>
        </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 AX3410 G2 03/47 FIXED 3.5</title>
        <cusip>36196EYF8</cusip>
        <identifiers>
          <isin value="US36196EYF86"/>
        </identifiers>
        <balance>10841.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10245.140000</valUSD>
        <pctVal>0.0007324</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-20</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>INDYMAC INDX MORTGAGE LOAN TR 2005-AR6</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1</title>
        <cusip>45660LGD5</cusip>
        <identifiers>
          <isin value="US45660LGD55"/>
        </identifiers>
        <balance>42451.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34981.530000</valUSD>
        <pctVal>0.0025007</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>5.95043</annualizedRt>
          <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 A56735 FG 01/37 FIXED 5.5</title>
        <cusip>3128KKPU7</cusip>
        <identifiers>
          <isin value="US3128KKPU75"/>
        </identifiers>
        <balance>604.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>624.080000</valUSD>
        <pctVal>0.0000446</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 923142 FN 04/36 FIXED 6</title>
        <cusip>31412ES72</cusip>
        <identifiers>
          <isin value="US31412ES723"/>
        </identifiers>
        <balance>46596.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47931.550000</valUSD>
        <pctVal>0.0034265</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>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2016-17</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2016 17 CS</title>
        <cusip>3136ARWA2</cusip>
        <identifiers>
          <isin value="US3136ARWA26"/>
        </identifiers>
        <balance>426952.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30404.000000</valUSD>
        <pctVal>0.0021735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</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>LONG BEACH MTGE LOAN TRUST 2004-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3</title>
        <cusip>542514HV9</cusip>
        <identifiers>
          <isin value="US542514HV97"/>
        </identifiers>
        <balance>32810.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31517.820000</valUSD>
        <pctVal>0.0022531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.52043</annualizedRt>
          <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 A64391 FG 08/37 FIXED 6</title>
        <cusip>3128KU2Y2</cusip>
        <identifiers>
          <isin value="US3128KU2Y23"/>
        </identifiers>
        <balance>660.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>691.040000</valUSD>
        <pctVal>0.0000494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1</title>
        <cusip>07384MZQ8</cusip>
        <identifiers>
          <isin value="US07384MZQ85"/>
        </identifiers>
        <balance>1726.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1569.700000</valUSD>
        <pctVal>0.0001122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.22205</annualizedRt>
          <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 674999 GN 12/37 FIXED 6</title>
        <cusip>36295M3G2</cusip>
        <identifiers>
          <isin value="US36295M3G25"/>
        </identifiers>
        <balance>8581.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8769.300000</valUSD>
        <pctVal>0.0006269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-15</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 224713 FN 02/31 FLOATING VAR</title>
        <cusip>31369YSA4</cusip>
        <identifiers>
          <isin value="US31369YSA46"/>
        </identifiers>
        <balance>12934.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12519.660000</valUSD>
        <pctVal>0.000895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.54</annualizedRt>
          <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 946646 FN 09/37 FIXED 6</title>
        <cusip>31413JET7</cusip>
        <identifiers>
          <isin value="US31413JET79"/>
        </identifiers>
        <balance>650.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>672.690000</valUSD>
        <pctVal>0.0000481</pctVal>
        <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</annualizedRt>
          <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 256653 FN 03/27 FIXED 6.5</title>
        <cusip>31371NBW4</cusip>
        <identifiers>
          <isin value="US31371NBW48"/>
        </identifiers>
        <balance>9275.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9507.880000</valUSD>
        <pctVal>0.0006797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-01</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>CBAM LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>CBAM CLO MANAGEMENT LLC CBAM 2017 1A A1 144A</title>
        <cusip>12480VAC9</cusip>
        <identifiers>
          <isin value="US12480VAC90"/>
        </identifiers>
        <balance>3170925.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3171236.560000</valUSD>
        <pctVal>0.226701</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.92743</annualizedRt>
          <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 770708 GN 06/41 FIXED 5</title>
        <cusip>36176NAH4</cusip>
        <identifiers>
          <isin value="US36176NAH44"/>
        </identifiers>
        <balance>2681.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2683.110000</valUSD>
        <pctVal>0.0001918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-15</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>ARGENT SECURITIES INC 2005-W2</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W2 M1</title>
        <cusip>040104ND9</cusip>
        <identifiers>
          <isin value="US040104ND92"/>
        </identifiers>
        <balance>2186281.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2131468.580000</valUSD>
        <pctVal>0.152371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.20543</annualizedRt>
          <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 MA2894 G2 06/45 FIXED 4.5</title>
        <cusip>36179RGB9</cusip>
        <identifiers>
          <isin value="US36179RGB96"/>
        </identifiers>
        <balance>47401.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47342.170000</valUSD>
        <pctVal>0.0033843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BR6169 GN 12/49 FIXED 3.5</title>
        <cusip>3617M42A2</cusip>
        <identifiers>
          <isin value="US3617M42A29"/>
        </identifiers>
        <balance>211604.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196137.690000</valUSD>
        <pctVal>0.0140212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-15</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 882684 FN 06/36 FIXED 6</title>
        <cusip>31409YUH8</cusip>
        <identifiers>
          <isin value="US31409YUH88"/>
        </identifiers>
        <balance>31590.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32824.180000</valUSD>
        <pctVal>0.0023465</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS8641 FR 02/32 FIXED 2.5</title>
        <cusip>3132A9S65</cusip>
        <identifiers>
          <isin value="US3132A9S650"/>
        </identifiers>
        <balance>80700.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76069.530000</valUSD>
        <pctVal>0.0054379</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>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>GREENPOINT MRGT PASS THRU CER 2003-1</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1</title>
        <cusip>395387AA1</cusip>
        <identifiers>
          <isin value="US395387AA13"/>
        </identifiers>
        <balance>7255.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6690.020000</valUSD>
        <pctVal>0.0004782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.72458</annualizedRt>
          <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 080096 G2 07/27 FLOATING VAR</title>
        <cusip>36225CDA1</cusip>
        <identifiers>
          <isin value="US36225CDA18"/>
        </identifiers>
        <balance>1451.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1427.360000</valUSD>
        <pctVal>0.000102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS9610 FN 09/38 FIXED 5.3</title>
        <cusip>3140LLVC2</cusip>
        <identifiers>
          <isin value="US3140LLVC22"/>
        </identifiers>
        <balance>1089316.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1150010.260000</valUSD>
        <pctVal>0.0822102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.3</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 008420 G2 05/24 FLOATING VAR</title>
        <cusip>36202KK95</cusip>
        <identifiers>
          <isin value="US36202KK958"/>
        </identifiers>
        <balance>1038.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1036.330000</valUSD>
        <pctVal>0.0000741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 677567 GN 11/37 FIXED 6</title>
        <cusip>36295QW48</cusip>
        <identifiers>
          <isin value="US36295QW483"/>
        </identifiers>
        <balance>177.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>180.860000</valUSD>
        <pctVal>0.0000129</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-15</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 008505 G2 09/24 FLOATING VAR</title>
        <cusip>36202KNW1</cusip>
        <identifiers>
          <isin value="US36202KNW17"/>
        </identifiers>
        <balance>1194.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1190.880000</valUSD>
        <pctVal>0.0000851</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>
        </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 675063 GN 01/38 FIXED 6</title>
        <cusip>36295M5Y1</cusip>
        <identifiers>
          <isin value="US36295M5Y13"/>
        </identifiers>
        <balance>3034.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3143.120000</valUSD>
        <pctVal>0.0002247</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-15</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 531298 GN 08/30 FIXED 8.5</title>
        <cusip>36212EGF8</cusip>
        <identifiers>
          <isin value="US36212EGF88"/>
        </identifiers>
        <balance>891.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>893.030000</valUSD>
        <pctVal>0.0000638</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080636 G2 09/32 FLOATING VAR</title>
        <cusip>36225CV60</cusip>
        <identifiers>
          <isin value="US36225CV607"/>
        </identifiers>
        <balance>123278.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>121819.770000</valUSD>
        <pctVal>0.0087085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 496113 FN 04/29 FIXED 6.5</title>
        <cusip>31382YDS4</cusip>
        <identifiers>
          <isin value="US31382YDS46"/>
        </identifiers>
        <balance>3123.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3245.270000</valUSD>
        <pctVal>0.000232</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735504 FN 04/35 FIXED VAR</title>
        <cusip>31402RDH9</cusip>
        <identifiers>
          <isin value="US31402RDH93"/>
        </identifiers>
        <balance>75906.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78814.750000</valUSD>
        <pctVal>0.0056342</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>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>ACE SECURITIES CORP 2004-RM1</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2004 RM1 M1</title>
        <cusip>004421FS7</cusip>
        <identifiers>
          <isin value="US004421FS71"/>
        </identifiers>
        <balance>150601.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140245.180000</valUSD>
        <pctVal>0.0100256</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.52043</annualizedRt>
          <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 BH7500 FN 11/47 FIXED 3.5</title>
        <cusip>3140GWKN2</cusip>
        <identifiers>
          <isin value="US3140GWKN26"/>
        </identifiers>
        <balance>1371886.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1270676.930000</valUSD>
        <pctVal>0.0908362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080198 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGG5</cusip>
        <identifiers>
          <isin value="US36225CGG50"/>
        </identifiers>
        <balance>2341.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2330.670000</valUSD>
        <pctVal>0.0001666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 002989 G2 10/30 FIXED 8.5</title>
        <cusip>36202DKA8</cusip>
        <identifiers>
          <isin value="US36202DKA80"/>
        </identifiers>
        <balance>1374.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1441.030000</valUSD>
        <pctVal>0.000103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AHL3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A</title>
        <cusip>17312GAA9</cusip>
        <identifiers>
          <isin value="US17312GAA94"/>
        </identifiers>
        <balance>137376.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94240.980000</valUSD>
        <pctVal>0.006737</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.53043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE FUNDING MTGE LN ASSET BK 2002-3</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1</title>
        <cusip>161546DB9</cusip>
        <identifiers>
          <isin value="US161546DB96"/>
        </identifiers>
        <balance>360587.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>346631.770000</valUSD>
        <pctVal>0.0247795</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 678128 FN 01/33 FIXED 6</title>
        <cusip>31391VLH4</cusip>
        <identifiers>
          <isin value="US31391VLH41"/>
        </identifiers>
        <balance>120125.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123503.540000</valUSD>
        <pctVal>0.0088288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 651553 FN 07/32 FLOATING VAR</title>
        <cusip>31390NZS4</cusip>
        <identifiers>
          <isin value="US31390NZS43"/>
        </identifiers>
        <balance>12453.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12430.140000</valUSD>
        <pctVal>0.0008886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.152</annualizedRt>
          <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 AD0691 FN 12/24 FIXED VAR</title>
        <cusip>31418MXV9</cusip>
        <identifiers>
          <isin value="US31418MXV98"/>
        </identifiers>
        <balance>3.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3.610000</valUSD>
        <pctVal>0.0000003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BU0997 FN 11/51 FIXED 3</title>
        <cusip>3140M2DB5</cusip>
        <identifiers>
          <isin value="US3140M2DB52"/>
        </identifiers>
        <balance>2568639.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2274340.490000</valUSD>
        <pctVal>0.162584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-11-01</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 POOL 080406 G2 05/30 FLOATING VAR</title>
        <cusip>36225CNY8</cusip>
        <identifiers>
          <isin value="US36225CNY83"/>
        </identifiers>
        <balance>1229.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1223.440000</valUSD>
        <pctVal>0.0000875</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 C91129 FG 12/27 FIXED 6</title>
        <cusip>3128P7HE6</cusip>
        <identifiers>
          <isin value="US3128P7HE66"/>
        </identifiers>
        <balance>4554.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4630.950000</valUSD>
        <pctVal>0.0003311</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040628</cusip>
        <identifiers>
          <isin value="US01F0406284"/>
        </identifiers>
        <balance>265300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>251174849.650000</valUSD>
        <pctVal>17.9556</pctVal>
        <payoffProfile>Long</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>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 003029 G2 01/31 FIXED 8.5</title>
        <cusip>36202DLJ8</cusip>
        <identifiers>
          <isin value="US36202DLJ80"/>
        </identifiers>
        <balance>5165.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5424.750000</valUSD>
        <pctVal>0.0003878</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE CLO LTD 2014-17A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2014 17A ARR 144A</title>
        <cusip>92329YAL0</cusip>
        <identifiers>
          <isin value="US92329YAL02"/>
        </identifiers>
        <balance>2790068.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2789708.990000</valUSD>
        <pctVal>0.199426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.53548</annualizedRt>
          <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 G04629 FG 01/29 FIXED 6</title>
        <cusip>3128M6PN2</cusip>
        <identifiers>
          <isin value="US3128M6PN22"/>
        </identifiers>
        <balance>4569.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4715.810000</valUSD>
        <pctVal>0.0003371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</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 507686 GN 07/30 FIXED 8.5</title>
        <cusip>36211A6X9</cusip>
        <identifiers>
          <isin value="US36211A6X98"/>
        </identifiers>
        <balance>13234.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13221.140000</valUSD>
        <pctVal>0.0009451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A75627 FG 04/38 FIXED 5</title>
        <cusip>3128L9HC0</cusip>
        <identifiers>
          <isin value="US3128L9HC08"/>
        </identifiers>
        <balance>4143.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4218.250000</valUSD>
        <pctVal>0.0003015</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>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 661528 GN 12/36 FIXED 6.5</title>
        <cusip>36294V4M9</cusip>
        <identifiers>
          <isin value="US36294V4M95"/>
        </identifiers>
        <balance>15684.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16125.010000</valUSD>
        <pctVal>0.0011527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</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 BR8465 FN 04/51 FIXED 2.5</title>
        <cusip>3140L7MP4</cusip>
        <identifiers>
          <isin value="US3140L7MP45"/>
        </identifiers>
        <balance>2049807.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1750021.700000</valUSD>
        <pctVal>0.125103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 773307 GN 11/41 FIXED 4.5</title>
        <cusip>36176Q3Q5</cusip>
        <identifiers>
          <isin value="US36176Q3Q59"/>
        </identifiers>
        <balance>55796.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54906.420000</valUSD>
        <pctVal>0.0039251</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 471809 GN 03/28 FIXED 6.5</title>
        <cusip>36209HDN2</cusip>
        <identifiers>
          <isin value="US36209HDN26"/>
        </identifiers>
        <balance>1753.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1798.880000</valUSD>
        <pctVal>0.0001286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A75114 FG 03/38 FIXED 5.5</title>
        <cusip>3128L8VF9</cusip>
        <identifiers>
          <isin value="US3128L8VF99"/>
        </identifiers>
        <balance>24675.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25329.890000</valUSD>
        <pctVal>0.0018107</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>
          <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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 954666 FN 09/37 FIXED 6</title>
        <cusip>31413TCB6</cusip>
        <identifiers>
          <isin value="US31413TCB61"/>
        </identifiers>
        <balance>29762.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30707.100000</valUSD>
        <pctVal>0.0021951</pctVal>
        <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</annualizedRt>
          <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 2015-73</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 73 ES</title>
        <cusip>3136AP7M8</cusip>
        <identifiers>
          <isin value="US3136AP7M83"/>
        </identifiers>
        <balance>891419.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>565550.260000</valUSD>
        <pctVal>0.0404292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-25</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>N/A</name>
        <lei>N/A</lei>
        <title>317U4HFA3 PIMCO SWAPTION 5.5 PUT USD 20240426</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002XPD0"/>
        </identifiers>
        <balance>157000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8807.700000</valUSD>
        <pctVal>0.0006296</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>Wells Fargo Bank, National Association</counterpartyName>
              <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Wells Fargo Bank, National Association</counterpartyName>
                    <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 04/30/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01YW64"/>
                    </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/5.50000 04/30/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01YW64"/>
                      </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="5.500000"/>
                  <terminationDt>2025-04-30</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-75529.800000</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 896113 FN 06/36 FIXED 6</title>
        <cusip>31410SSA6</cusip>
        <identifiers>
          <isin value="US31410SSA68"/>
        </identifiers>
        <balance>18845.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19581.650000</valUSD>
        <pctVal>0.0013998</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</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 067697 FN 11/28 FLOATING VAR</title>
        <cusip>31362QGE3</cusip>
        <identifiers>
          <isin value="US31362QGE35"/>
        </identifiers>
        <balance>11712.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11542.810000</valUSD>
        <pctVal>0.0008252</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.268</annualizedRt>
          <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 AD0361 FN 09/39 FIXED VAR</title>
        <cusip>31418MMK5</cusip>
        <identifiers>
          <isin value="US31418MMK52"/>
        </identifiers>
        <balance>88413.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92370.460000</valUSD>
        <pctVal>0.0066032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 725946 FN 11/34 FIXED VAR</title>
        <cusip>31402DP79</cusip>
        <identifiers>
          <isin value="US31402DP797"/>
        </identifiers>
        <balance>26306.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27100.040000</valUSD>
        <pctVal>0.0019373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A79792 FG 07/38 FIXED 5</title>
        <cusip>3128LD2Z6</cusip>
        <identifiers>
          <isin value="US3128LD2Z67"/>
        </identifiers>
        <balance>53633.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54598.890000</valUSD>
        <pctVal>0.0039031</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 769702 FN 04/34 FIXED 5.5</title>
        <cusip>31404JDF9</cusip>
        <identifiers>
          <isin value="US31404JDF93"/>
        </identifiers>
        <balance>19971.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20573.380000</valUSD>
        <pctVal>0.0014707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735643 FN 08/42 FLOATING VAR</title>
        <cusip>31402RHU6</cusip>
        <identifiers>
          <isin value="US31402RHU68"/>
        </identifiers>
        <balance>133397.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128964.190000</valUSD>
        <pctVal>0.0092192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 779022 FN 06/34 FIXED 5.5</title>
        <cusip>31404UPF1</cusip>
        <identifiers>
          <isin value="US31404UPF11"/>
        </identifiers>
        <balance>11809.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12165.530000</valUSD>
        <pctVal>0.0008697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 486951 GN 02/29 FIXED 6.5</title>
        <cusip>36210A5L7</cusip>
        <identifiers>
          <isin value="US36210A5L79"/>
        </identifiers>
        <balance>14658.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15045.800000</valUSD>
        <pctVal>0.0010756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-15</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>COUNTRYWIDE HOME LOANS 2004-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1</title>
        <cusip>12669GJY8</cusip>
        <identifiers>
          <isin value="US12669GJY89"/>
        </identifiers>
        <balance>250085.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227658.090000</valUSD>
        <pctVal>0.0162745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13043</annualizedRt>
          <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 2001-35</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 35 ZG</title>
        <cusip>313920SU5</cusip>
        <identifiers>
          <isin value="US313920SU57"/>
        </identifiers>
        <balance>155461.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160158.540000</valUSD>
        <pctVal>0.0114492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC8518 FN 12/39 FIXED 5</title>
        <cusip>31417VPC1</cusip>
        <identifiers>
          <isin value="US31417VPC18"/>
        </identifiers>
        <balance>1593.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1620.230000</valUSD>
        <pctVal>0.0001158</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>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>STRUCTURED ASSET MTG INV INC 2005-AR4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1</title>
        <cusip>86360QAB1</cusip>
        <identifiers>
          <isin value="US86360QAB14"/>
        </identifiers>
        <balance>57500.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55598.370000</valUSD>
        <pctVal>0.0039745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.85043</annualizedRt>
          <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 782333 GN 06/38 FIXED 5.5</title>
        <cusip>36241KSW9</cusip>
        <identifiers>
          <isin value="US36241KSW98"/>
        </identifiers>
        <balance>92183.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93219.500000</valUSD>
        <pctVal>0.0066639</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</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>FREDDIE MAC REMICS 4324</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4324 IO</title>
        <cusip>3137BAGM8</cusip>
        <identifiers>
          <isin value="US3137BAGM86"/>
        </identifiers>
        <balance>169210.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6967.600000</valUSD>
        <pctVal>0.0004981</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4438</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4438 WI</title>
        <cusip>3137BGLL1</cusip>
        <identifiers>
          <isin value="US3137BGLL19"/>
        </identifiers>
        <balance>421264.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23590.330000</valUSD>
        <pctVal>0.0016864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA3036 G2 08/45 FIXED 4.5</title>
        <cusip>36179RLR8</cusip>
        <identifiers>
          <isin value="US36179RLR83"/>
        </identifiers>
        <balance>1197947.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1200129.840000</valUSD>
        <pctVal>0.085793</pctVal>
        <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>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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020612</cusip>
        <identifiers>
          <isin value="US01F0206122"/>
        </identifiers>
        <balance>311200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>254406000.000000</valUSD>
        <pctVal>18.1866</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>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 AL6768 FN 05/41 FIXED VAR</title>
        <cusip>3138EPQW7</cusip>
        <identifiers>
          <isin value="US3138EPQW73"/>
        </identifiers>
        <balance>404967.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>423186.700000</valUSD>
        <pctVal>0.0302521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</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 765345 FN 06/34 FIXED 5.5</title>
        <cusip>31404DHW1</cusip>
        <identifiers>
          <isin value="US31404DHW11"/>
        </identifiers>
        <balance>50291.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51809.650000</valUSD>
        <pctVal>0.0037037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 753079 FN 01/34 FIXED 5.5</title>
        <cusip>31403MUC1</cusip>
        <identifiers>
          <isin value="US31403MUC18"/>
        </identifiers>
        <balance>3119.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3213.400000</valUSD>
        <pctVal>0.0002297</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>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>3 MONTH SOFR FUT  MAR24 XCME 20240618</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SFRH4"/>
        </identifiers>
        <balance>-173.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>298975.060000</valUSD>
        <pctVal>0.0213727</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>90SOFR</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI21YMS8-90SOFR"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-06-18</expDate>
            <notionalAmt>-41090743.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>298975.060000</unrealizedAppr>
          </futrDeriv>
        </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 676015 GN 08/38 FIXED 6.5</title>
        <cusip>36295PAQ5</cusip>
        <identifiers>
          <isin value="US36295PAQ54"/>
        </identifiers>
        <balance>4132.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4279.370000</valUSD>
        <pctVal>0.0003059</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004289 G2 11/38 FIXED 5</title>
        <cusip>36202EXS3</cusip>
        <identifiers>
          <isin value="US36202EXS35"/>
        </identifiers>
        <balance>421385.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>429358.150000</valUSD>
        <pctVal>0.0306933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 605561 GN 11/34 FIXED 5.5</title>
        <cusip>36200NWW7</cusip>
        <identifiers>
          <isin value="US36200NWW72"/>
        </identifiers>
        <balance>43340.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43734.830000</valUSD>
        <pctVal>0.0031264</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 545511 FN 12/31 FLOATING VAR</title>
        <cusip>31385JAL2</cusip>
        <identifiers>
          <isin value="US31385JAL26"/>
        </identifiers>
        <balance>1897.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1884.090000</valUSD>
        <pctVal>0.0001347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.252</annualizedRt>
          <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 REMIC-1998-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1998 62 ZD</title>
        <cusip>31359UL86</cusip>
        <identifiers>
          <isin value="US31359UL867"/>
        </identifiers>
        <balance>68660.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67749.850000</valUSD>
        <pctVal>0.0048432</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 942283 FN 08/37 FIXED 6</title>
        <cusip>31413DJ40</cusip>
        <identifiers>
          <isin value="US31413DJ409"/>
        </identifiers>
        <balance>130444.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136249.550000</valUSD>
        <pctVal>0.00974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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 BY1513 FN 06/53 FIXED 5</title>
        <cusip>3140NHVF2</cusip>
        <identifiers>
          <isin value="US3140NHVF23"/>
        </identifiers>
        <balance>397570.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>396524.490000</valUSD>
        <pctVal>0.0283461</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>
        </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 452469 FN 11/28 FIXED 6.5</title>
        <cusip>31380WT20</cusip>
        <identifiers>
          <isin value="US31380WT201"/>
        </identifiers>
        <balance>254.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>263.580000</valUSD>
        <pctVal>0.0000188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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 BE6330 G2 01/48 FIXED 3.5</title>
        <cusip>3617G1A73</cusip>
        <identifiers>
          <isin value="US3617G1A737"/>
        </identifiers>
        <balance>834477.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>786342.960000</valUSD>
        <pctVal>0.0562129</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-20</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>US 10YR NOTE (CBT)MAR24 XCBT 20240319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYH4"/>
        </identifiers>
        <balance>-6617.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21123072.840000</valUSD>
        <pctVal>-1.51001</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI2HX5Y9-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-03-19</expDate>
            <notionalAmt>-745911660.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-21123072.840000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENCORE CREDIT RECEIVABLES TR 2005-1</name>
        <lei>N/A</lei>
        <title>ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2</title>
        <cusip>126673VQ2</cusip>
        <identifiers>
          <isin value="US126673VQ20"/>
        </identifiers>
        <balance>2357239.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2266256.880000</valUSD>
        <pctVal>0.162007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.16043</annualizedRt>
          <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 G02499 FG 12/36 FIXED 6.5</title>
        <cusip>3128M4DC4</cusip>
        <identifiers>
          <isin value="US3128M4DC47"/>
        </identifiers>
        <balance>11242.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11922.250000</valUSD>
        <pctVal>0.0008523</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 787331 FN 07/34 FIXED 5.5</title>
        <cusip>31405EVY8</cusip>
        <identifiers>
          <isin value="US31405EVY84"/>
        </identifiers>
        <balance>415.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>422.520000</valUSD>
        <pctVal>0.0000302</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM8662 FN 08/51 FIXED VAR</title>
        <cusip>3140XCTU2</cusip>
        <identifiers>
          <isin value="US3140XCTU21"/>
        </identifiers>
        <balance>3960030.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3506583.630000</valUSD>
        <pctVal>0.250673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 824962 FN 05/35 FIXED 6</title>
        <cusip>31407AQP9</cusip>
        <identifiers>
          <isin value="US31407AQP92"/>
        </identifiers>
        <balance>4896.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5061.860000</valUSD>
        <pctVal>0.0003619</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>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>CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-5</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 5A A1RR 144A</title>
        <cusip>14311AAS1</cusip>
        <identifiers>
          <isin value="US14311AAS15"/>
        </identifiers>
        <balance>2450126.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2447259.150000</valUSD>
        <pctVal>0.174946</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.79548</annualizedRt>
          <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 444035 FN 11/28 FIXED 6</title>
        <cusip>31380MHL3</cusip>
        <identifiers>
          <isin value="US31380MHL37"/>
        </identifiers>
        <balance>3226.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3315.740000</valUSD>
        <pctVal>0.000237</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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>VENTURE 36 CLO LTD</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2019 36A A1AR 144A</title>
        <cusip>92332LAU3</cusip>
        <identifiers>
          <isin value="US92332LAU35"/>
        </identifiers>
        <balance>4900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4886186.850000</valUSD>
        <pctVal>0.349296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.80743</annualizedRt>
          <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 G02608 FG 02/37 FIXED 5.5</title>
        <cusip>3128M4GR8</cusip>
        <identifiers>
          <isin value="US3128M4GR88"/>
        </identifiers>
        <balance>6311.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6511.360000</valUSD>
        <pctVal>0.0004655</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782579 GN 02/39 FIXED 5.5</title>
        <cusip>36241K2L1</cusip>
        <identifiers>
          <isin value="US36241K2L19"/>
        </identifiers>
        <balance>40260.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40705.070000</valUSD>
        <pctVal>0.0029099</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>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>FREDDIE MAC-1650</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1650 K</title>
        <cusip>3133T3WY0</cusip>
        <identifiers>
          <isin value="US3133T3WY02"/>
        </identifiers>
        <balance>9.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9.090000</valUSD>
        <pctVal>0.0000006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-15</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>INDYMAC INDX MTGE LOAN TR 2005-AR2</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A</title>
        <cusip>45660LCL1</cusip>
        <identifiers>
          <isin value="US45660LCL18"/>
        </identifiers>
        <balance>71412.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63351.680000</valUSD>
        <pctVal>0.0045288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 AA2546 FN 03/39 FIXED 5.5</title>
        <cusip>31416KZL5</cusip>
        <identifiers>
          <isin value="US31416KZL50"/>
        </identifiers>
        <balance>13881.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14301.550000</valUSD>
        <pctVal>0.0010224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD9998 G2 11/47 FIXED 3.5</title>
        <cusip>3617BSDB7</cusip>
        <identifiers>
          <isin value="US3617BSDB73"/>
        </identifiers>
        <balance>286253.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270524.160000</valUSD>
        <pctVal>0.0193388</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 584411 GN 05/32 FIXED 6.5</title>
        <cusip>36201JGU7</cusip>
        <identifiers>
          <isin value="US36201JGU79"/>
        </identifiers>
        <balance>424.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434.390000</valUSD>
        <pctVal>0.0000311</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-15</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 004795 G2 09/40 FIXED 4</title>
        <cusip>36202FKG0</cusip>
        <identifiers>
          <isin value="US36202FKG09"/>
        </identifiers>
        <balance>82967.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79685.060000</valUSD>
        <pctVal>0.0056964</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-20</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>1346955.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1325650.590000</valUSD>
        <pctVal>0.0947661</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2378 FN 10/41 FIXED VAR</title>
        <cusip>3138EJUC0</cusip>
        <identifiers>
          <isin value="US3138EJUC04"/>
        </identifiers>
        <balance>72043.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70211.590000</valUSD>
        <pctVal>0.0050192</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>APIDOS CLO 2017-27A</name>
        <lei>N/A</lei>
        <title>APIDOS CLO LTD APID 2017 27A A1R 144A</title>
        <cusip>03767JAF2</cusip>
        <identifiers>
          <isin value="US03767JAF21"/>
        </identifiers>
        <balance>7695465.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7681715.060000</valUSD>
        <pctVal>0.549139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.59444</annualizedRt>
          <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 904601 FN 11/36 FIXED 6</title>
        <cusip>31411DAA7</cusip>
        <identifiers>
          <isin value="US31411DAA72"/>
        </identifiers>
        <balance>2197.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2295.940000</valUSD>
        <pctVal>0.0001641</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>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 788132 FN 04/32 FIXED 6</title>
        <cusip>31405FSV5</cusip>
        <identifiers>
          <isin value="US31405FSV57"/>
        </identifiers>
        <balance>1056.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1093.860000</valUSD>
        <pctVal>0.0000782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</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 II POOL 080407 G2 05/30 FLOATING VAR</title>
        <cusip>36225CNZ5</cusip>
        <identifiers>
          <isin value="US36225CNZ58"/>
        </identifiers>
        <balance>6333.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6250.900000</valUSD>
        <pctVal>0.0004469</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 G30419 FG 11/28 FIXED 5</title>
        <cusip>3128CUPC4</cusip>
        <identifiers>
          <isin value="US3128CUPC42"/>
        </identifiers>
        <balance>38199.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37972.120000</valUSD>
        <pctVal>0.0027145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</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 777820 FN 04/34 FIXED 5.5</title>
        <cusip>31404TDZ3</cusip>
        <identifiers>
          <isin value="US31404TDZ30"/>
        </identifiers>
        <balance>34386.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35068.660000</valUSD>
        <pctVal>0.0025069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 QG5084 FR 06/53 FIXED 5</title>
        <cusip>3133C5UH2</cusip>
        <identifiers>
          <isin value="US3133C5UH25"/>
        </identifiers>
        <balance>114796.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115271.700000</valUSD>
        <pctVal>0.0082404</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>
        </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 A14446 FG 10/33 FIXED 5</title>
        <cusip>31296N5F0</cusip>
        <identifiers>
          <isin value="US31296N5F09"/>
        </identifiers>
        <balance>51395.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52319.190000</valUSD>
        <pctVal>0.0037401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</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>FANNIE MAE-G96-3</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR G96 3 Z</title>
        <cusip>31359KV87</cusip>
        <identifiers>
          <isin value="US31359KV875"/>
        </identifiers>
        <balance>58132.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58891.290000</valUSD>
        <pctVal>0.0042099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-20</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>SMALL BUSINESS ADMIN PART CERTS 2008-20D</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1</title>
        <cusip>83162CRS4</cusip>
        <identifiers>
          <isin value="US83162CRS43"/>
        </identifiers>
        <balance>460344.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>459931.210000</valUSD>
        <pctVal>0.0328789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.37</annualizedRt>
          <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 2021-1</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2021 1 IY</title>
        <cusip>3136BD2F4</cusip>
        <identifiers>
          <isin value="US3136BD2F40"/>
        </identifiers>
        <balance>43345298.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2514538.790000</valUSD>
        <pctVal>0.179756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</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 AX9643 FN 04/30 FIXED 2</title>
        <cusip>3138YBWD1</cusip>
        <identifiers>
          <isin value="US3138YBWD13"/>
        </identifiers>
        <balance>73400.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67985.090000</valUSD>
        <pctVal>0.00486</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</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>RENAISSANCE HOME EQUITY LOAN TRUST 2002-2</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1</title>
        <cusip>759950AH1</cusip>
        <identifiers>
          <isin value="US759950AH10"/>
        </identifiers>
        <balance>260688.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>248672.340000</valUSD>
        <pctVal>0.0177767</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.67043</annualizedRt>
          <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 724058 GN 11/39 FIXED 5.5</title>
        <cusip>3620AAMF2</cusip>
        <identifiers>
          <isin value="US3620AAMF25"/>
        </identifiers>
        <balance>17212.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17572.180000</valUSD>
        <pctVal>0.0012562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4800 FN 06/53 FIXED 5</title>
        <cusip>3140NMKN6</cusip>
        <identifiers>
          <isin value="US3140NMKN60"/>
        </identifiers>
        <balance>1092755.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1089158.920000</valUSD>
        <pctVal>0.0778601</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>
        </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 256856 FN 08/27 FIXED 6.5</title>
        <cusip>31371NH99</cusip>
        <identifiers>
          <isin value="US31371NH998"/>
        </identifiers>
        <balance>654.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>670.900000</valUSD>
        <pctVal>0.000048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-01</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 POOL 603250 GN 04/34 FIXED 5.5</title>
        <cusip>36200KEX1</cusip>
        <identifiers>
          <isin value="US36200KEX19"/>
        </identifiers>
        <balance>547.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>552.210000</valUSD>
        <pctVal>0.0000395</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-15</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>CIFC FUNDING LTD 2017-2A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2017 2A AR 144A</title>
        <cusip>12550YAN4</cusip>
        <identifiers>
          <isin value="US12550YAN40"/>
        </identifiers>
        <balance>896378.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>895741.660000</valUSD>
        <pctVal>0.0640334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.62743</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CRP 2003-22A</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1</title>
        <cusip>86359AYX5</cusip>
        <identifiers>
          <isin value="US86359AYX52"/>
        </identifiers>
        <balance>1491.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1416.010000</valUSD>
        <pctVal>0.0001012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.32266</annualizedRt>
          <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 362617 FN 11/26 FLOATING VAR</title>
        <cusip>31376QYN7</cusip>
        <identifiers>
          <isin value="US31376QYN77"/>
        </identifiers>
        <balance>21201.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21099.090000</valUSD>
        <pctVal>0.0015083</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>Floating</couponKind>
          <annualizedRt>6.2</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 2107</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2107 G</title>
        <cusip>3133TGZG7</cusip>
        <identifiers>
          <isin value="US3133TGZG71"/>
        </identifiers>
        <balance>29914.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29490.250000</valUSD>
        <pctVal>0.0021082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317U4PIA2 PIMCO SWAPTION 3.705 CALL USD 202401</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0030HL2"/>
        </identifiers>
        <balance>47300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>733958.830000</valUSD>
        <pctVal>0.0524681</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>Call</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/3.70500 01/10/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZTA6"/>
                    </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/3.70500 01/10/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01ZTA6"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <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">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <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>3.710000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>523473.830000</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 II TBA 30 YR 3 JUMBOS</title>
        <cusip>21H030625</cusip>
        <identifiers>
          <isin value="US21H0306256"/>
        </identifiers>
        <balance>105950000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>96008644.750000</valUSD>
        <pctVal>6.86332</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>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>317U3Z7A3 PIMCO SWAPTION 5.75 PUT USD 20240318</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002SCV5"/>
        </identifiers>
        <balance>-97500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-653.250000</valUSD>
        <pctVal>-0.0000467</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>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.75000 03/20/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01XOW8"/>
                    </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/5.75000 03/20/24-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01XOW8"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.750000"/>
                  <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>2025-03-20</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>5.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>46878.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI</title>
        <cusip>38380B7Q2</cusip>
        <identifiers>
          <isin value="US38380B7Q20"/>
        </identifiers>
        <balance>466792.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14815.290000</valUSD>
        <pctVal>0.0010591</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-20</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 RB5173 FR 08/42 FIXED 3</title>
        <cusip>3133KYXA2</cusip>
        <identifiers>
          <isin value="US3133KYXA27"/>
        </identifiers>
        <balance>240721.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219566.940000</valUSD>
        <pctVal>0.0156961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</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>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"/>
        </identifiers>
        <balance>8050849.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1303236.020000</valUSD>
        <pctVal>0.0931637</pctVal>
        <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>
          <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 008967 G2 09/26 FLOATING VAR</title>
        <cusip>36202K6C4</cusip>
        <identifiers>
          <isin value="US36202K6C42"/>
        </identifiers>
        <balance>474.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>465.450000</valUSD>
        <pctVal>0.0000333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-20</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>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"/>
        </identifiers>
        <balance>14400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11218500.000000</valUSD>
        <pctVal>0.801971</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5</title>
        <cusip>3128P7LU5</cusip>
        <identifiers>
          <isin value="US3128P7LU52"/>
        </identifiers>
        <balance>210840.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209406.520000</valUSD>
        <pctVal>0.0149697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 704096 FN 05/33 FIXED 5.5</title>
        <cusip>31401CGD9</cusip>
        <identifiers>
          <isin value="US31401CGD92"/>
        </identifiers>
        <balance>66.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68.840000</valUSD>
        <pctVal>0.0000049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS9690 FN 10/28 FIXED 4.9</title>
        <cusip>3140LLXU0</cusip>
        <identifiers>
          <isin value="US3140LLXU02"/>
        </identifiers>
        <balance>709000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>725450.870000</valUSD>
        <pctVal>0.0518599</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>Fixed</couponKind>
          <annualizedRt>4.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 392411 FN 02/28 FIXED 6.5</title>
        <cusip>31377Z3U4</cusip>
        <identifiers>
          <isin value="US31377Z3U46"/>
        </identifiers>
        <balance>6527.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6766.170000</valUSD>
        <pctVal>0.0004837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-01</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>PALMER SQUARE LOAN FUNDING 2021-3</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A</title>
        <cusip>69702BAA9</cusip>
        <identifiers>
          <isin value="US69702BAA98"/>
        </identifiers>
        <balance>1877028.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1871506.870000</valUSD>
        <pctVal>0.133787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.47743</annualizedRt>
          <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 357945 FN 09/35 FIXED 6</title>
        <cusip>31376KTA4</cusip>
        <identifiers>
          <isin value="US31376KTA42"/>
        </identifiers>
        <balance>149.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154.510000</valUSD>
        <pctVal>0.000011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>HARBORVIEW MORTGAGE LOAN TR 2007-1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A</title>
        <cusip>41164MAC1</cusip>
        <identifiers>
          <isin value="US41164MAC10"/>
        </identifiers>
        <balance>204959.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182141.690000</valUSD>
        <pctVal>0.0130207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73023</annualizedRt>
          <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 890299 FN 07/40 FIXED VAR</title>
        <cusip>31410LDC3</cusip>
        <identifiers>
          <isin value="US31410LDC37"/>
        </identifiers>
        <balance>62480.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65197.520000</valUSD>
        <pctVal>0.0046607</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</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 724938 FN 06/33 FIXED 5.5</title>
        <cusip>31402CLT7</cusip>
        <identifiers>
          <isin value="US31402CLT70"/>
        </identifiers>
        <balance>6762.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6949.150000</valUSD>
        <pctVal>0.0004968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS4587 FN 04/43 FIXED VAR</title>
        <cusip>3140XLCZ9</cusip>
        <identifiers>
          <isin value="US3140XLCZ99"/>
        </identifiers>
        <balance>498345.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>510935.640000</valUSD>
        <pctVal>0.036525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 449247 FN 01/29 FIXED 6</title>
        <cusip>31380TBQ3</cusip>
        <identifiers>
          <isin value="US31380TBQ31"/>
        </identifiers>
        <balance>241.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>248.660000</valUSD>
        <pctVal>0.0000178</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA</title>
        <cusip>38375US27</cusip>
        <identifiers>
          <isin value="US38375US275"/>
        </identifiers>
        <balance>3497569.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3328566.680000</valUSD>
        <pctVal>0.237947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-11-20</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>BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-DSNY</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MERRILL LYNCH BAMLL 2018 DSNY A 144A</title>
        <cusip>054967AA2</cusip>
        <identifiers>
          <isin value="US054967AA22"/>
        </identifiers>
        <balance>1590000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1582406.960000</valUSD>
        <pctVal>0.113121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.509</annualizedRt>
          <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 065581 FN 08/28 FLOATING VAR</title>
        <cusip>31362M2N7</cusip>
        <identifiers>
          <isin value="US31362M2N79"/>
        </identifiers>
        <balance>13381.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13186.520000</valUSD>
        <pctVal>0.0009427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.39</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q56464 FG 06/48 FIXED 4</title>
        <cusip>3132Y0FE5</cusip>
        <identifiers>
          <isin value="US3132Y0FE51"/>
        </identifiers>
        <balance>955465.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>922286.080000</valUSD>
        <pctVal>0.065931</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <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 782759 GN 09/39 FIXED 5.5</title>
        <cusip>36241LB47</cusip>
        <identifiers>
          <isin value="US36241LB474"/>
        </identifiers>
        <balance>10201.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10315.360000</valUSD>
        <pctVal>0.0007374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</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 G06951 FG 08/40 FIXED 5.5</title>
        <cusip>3128M9BU5</cusip>
        <identifiers>
          <isin value="US3128M9BU59"/>
        </identifiers>
        <balance>9710.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10017.820000</valUSD>
        <pctVal>0.0007161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</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 G08045 FG 03/35 FIXED 5</title>
        <cusip>3128MJBP4</cusip>
        <identifiers>
          <isin value="US3128MJBP46"/>
        </identifiers>
        <balance>10959.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11156.950000</valUSD>
        <pctVal>0.0007976</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004979 G2 03/41 FIXED 5</title>
        <cusip>36202FQ82</cusip>
        <identifiers>
          <isin value="US36202FQ823"/>
        </identifiers>
        <balance>493040.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502372.310000</valUSD>
        <pctVal>0.0359128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-03-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD9048 G2 11/47 FIXED 3.5</title>
        <cusip>3617BRBR6</cusip>
        <identifiers>
          <isin value="US3617BRBR60"/>
        </identifiers>
        <balance>1564920.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1476817.090000</valUSD>
        <pctVal>0.105572</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G30377 FG 12/27 FIXED 6</title>
        <cusip>3128CUM29</cusip>
        <identifiers>
          <isin value="US3128CUM299"/>
        </identifiers>
        <balance>19089.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19411.200000</valUSD>
        <pctVal>0.0013876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</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>GOVT NATL MORTGAGE ASSOC SERIES 2007-18</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO</title>
        <cusip>38375JD69</cusip>
        <identifiers>
          <isin value="US38375JD692"/>
        </identifiers>
        <balance>155699.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143399.770000</valUSD>
        <pctVal>0.0102511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-20</maturityDt>
          <couponKind>None</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 AL7579 FN 02/42 FIXED VAR</title>
        <cusip>3138EQM58</cusip>
        <identifiers>
          <isin value="US3138EQM581"/>
        </identifiers>
        <balance>90155.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92882.290000</valUSD>
        <pctVal>0.0066398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 385611 GN 04/24 FIXED 6.5</title>
        <cusip>36205BKY7</cusip>
        <identifiers>
          <isin value="US36205BKY73"/>
        </identifiers>
        <balance>2.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2.660000</valUSD>
        <pctVal>0.0000002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-15</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 008443 G2 06/24 FLOATING VAR</title>
        <cusip>36202KLY9</cusip>
        <identifiers>
          <isin value="US36202KLY90"/>
        </identifiers>
        <balance>665.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>664.040000</valUSD>
        <pctVal>0.0000475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 Q01328 FG 06/41 FIXED 5.5</title>
        <cusip>3132GEPM6</cusip>
        <identifiers>
          <isin value="US3132GEPM65"/>
        </identifiers>
        <balance>840529.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>865032.470000</valUSD>
        <pctVal>0.0618381</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>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>INDYMAC INDX MTGE LOAN TRUST 2005-AR12</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A</title>
        <cusip>45660LMG1</cusip>
        <identifiers>
          <isin value="US45660LMG13"/>
        </identifiers>
        <balance>377253.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>343261.210000</valUSD>
        <pctVal>0.0245385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <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 781261 GN 02/31 FIXED 7.5</title>
        <cusip>36225BMJ4</cusip>
        <identifiers>
          <isin value="US36225BMJ43"/>
        </identifiers>
        <balance>36.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36.750000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-15</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>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"/>
        </identifiers>
        <balance>319000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>315760159.440000</valUSD>
        <pctVal>22.5726</pctVal>
        <payoffProfile>Long</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>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 565164 GN 10/33 FIXED 5.5</title>
        <cusip>36213UZ52</cusip>
        <identifiers>
          <isin value="US36213UZ523"/>
        </identifiers>
        <balance>226.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227.510000</valUSD>
        <pctVal>0.0000163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4826 FN 02/48 FIXED 3.5</title>
        <cusip>3140H6LG2</cusip>
        <identifiers>
          <isin value="US3140H6LG20"/>
        </identifiers>
        <balance>792933.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>739666.120000</valUSD>
        <pctVal>0.0528761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAIN CAPITAL CREDIT CLO 2019-1A</name>
        <lei>N/A</lei>
        <title>BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 1A AR 144A</title>
        <cusip>05683VAS3</cusip>
        <identifiers>
          <isin value="US05683VAS34"/>
        </identifiers>
        <balance>2170000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2168809.210000</valUSD>
        <pctVal>0.155041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.78842</annualizedRt>
          <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 988578 FN 08/38 FIXED 5.5</title>
        <cusip>31415TFT2</cusip>
        <identifiers>
          <isin value="US31415TFT25"/>
        </identifiers>
        <balance>68888.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70792.640000</valUSD>
        <pctVal>0.0050607</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 795297 FN 07/44 FLOATING VAR</title>
        <cusip>31405PRS1</cusip>
        <identifiers>
          <isin value="US31405PRS10"/>
        </identifiers>
        <balance>21415.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20729.440000</valUSD>
        <pctVal>0.0014819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.212</annualizedRt>
          <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 G01841 FG 06/35 FIXED 5.5</title>
        <cusip>3128LXBJ8</cusip>
        <identifiers>
          <isin value="US3128LXBJ88"/>
        </identifiers>
        <balance>17037.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17576.060000</valUSD>
        <pctVal>0.0012565</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 786521 FN 06/34 FIXED 5</title>
        <cusip>31405DYS0</cusip>
        <identifiers>
          <isin value="US31405DYS07"/>
        </identifiers>
        <balance>64419.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64786.630000</valUSD>
        <pctVal>0.0046314</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A24611 FG 06/34 FIXED 4.5</title>
        <cusip>31297CDQ0</cusip>
        <identifiers>
          <isin value="US31297CDQ06"/>
        </identifiers>
        <balance>1085.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1082.540000</valUSD>
        <pctVal>0.0000774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>BEAR STEARNS ADJUST RT MTGE TR 2000-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1</title>
        <cusip>07384MAA0</cusip>
        <identifiers>
          <isin value="US07384MAA09"/>
        </identifiers>
        <balance>872.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>822.610000</valUSD>
        <pctVal>0.0000588</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.81486</annualizedRt>
          <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 MA0072 G2 05/27 FIXED 2.5</title>
        <cusip>36179MCH1</cusip>
        <identifiers>
          <isin value="US36179MCH16"/>
        </identifiers>
        <balance>436551.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>421890.450000</valUSD>
        <pctVal>0.0301595</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-20</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>BAYVIEW FINANCIAL ACQUISITION TR 2007-A</name>
        <lei>N/A</lei>
        <title>BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A</title>
        <cusip>07325VAG9</cusip>
        <identifiers>
          <isin value="US07325VAG95"/>
        </identifiers>
        <balance>669884.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>589486.810000</valUSD>
        <pctVal>0.0421403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.99642</annualizedRt>
          <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 BF9539 G2 04/48 FIXED 3.5</title>
        <cusip>3617GGS48</cusip>
        <identifiers>
          <isin value="US3617GGS488"/>
        </identifiers>
        <balance>815492.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>769370.200000</valUSD>
        <pctVal>0.0549995</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>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>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"/>
        </identifiers>
        <balance>358068.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>279629.990000</valUSD>
        <pctVal>0.0199898</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>
          <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>RFR USD SOFR/3.55000 12/22/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0209Z9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-83186.970000</valUSD>
        <pctVal>-0.0059467</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU0209Z9-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.550000"/>
            <terminationDt>2030-12-22</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>20500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-83186.970000</unrealizedAppr>
          </swapDeriv>
        </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 A15539 FG 11/33 FIXED 5.5</title>
        <cusip>31296QEL0</cusip>
        <identifiers>
          <isin value="US31296QEL05"/>
        </identifiers>
        <balance>146203.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150829.060000</valUSD>
        <pctVal>0.0107822</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781001 GN 03/29 FIXED 7.5</title>
        <cusip>36225BDE5</cusip>
        <identifiers>
          <isin value="US36225BDE56"/>
        </identifiers>
        <balance>526.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>531.340000</valUSD>
        <pctVal>0.000038</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>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>RFR USD SOFR/3.75000 06/21/23-2Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZT7WRY43HJ4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>438014.910000</valUSD>
        <pctVal>0.0313121</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01O3M3-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.750000"/>
            <terminationDt>2025-06-21</terminationDt>
            <upfrontPmnt>44355.960000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>24200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>393658.950000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3924</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3924 KI</title>
        <cusip>3137AF6R8</cusip>
        <identifiers>
          <isin value="US3137AF6R88"/>
        </identifiers>
        <balance>374381.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11623.230000</valUSD>
        <pctVal>0.0008309</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</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 A34515 FG 04/35 FIXED 4.5</title>
        <cusip>31297QAQ2</cusip>
        <identifiers>
          <isin value="US31297QAQ29"/>
        </identifiers>
        <balance>1849.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1856.810000</valUSD>
        <pctVal>0.0001327</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>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 AI9977 FN 10/26 FIXED 3</title>
        <cusip>3138AQCP9</cusip>
        <identifiers>
          <isin value="US3138AQCP97"/>
        </identifiers>
        <balance>10660.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10382.890000</valUSD>
        <pctVal>0.0007422</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>
          <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 389785 GN 12/32 FIXED 5.5</title>
        <cusip>36205F6W8</cusip>
        <identifiers>
          <isin value="US36205F6W82"/>
        </identifiers>
        <balance>16000.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16179.320000</valUSD>
        <pctVal>0.0011566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 937666 FN 06/37 FIXED 6</title>
        <cusip>31412XFF6</cusip>
        <identifiers>
          <isin value="US31412XFF69"/>
        </identifiers>
        <balance>5650.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5905.040000</valUSD>
        <pctVal>0.0004221</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</annualizedRt>
          <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 008788 G2 01/26 FLOATING VAR</title>
        <cusip>36202KXR1</cusip>
        <identifiers>
          <isin value="US36202KXR12"/>
        </identifiers>
        <balance>2287.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2240.120000</valUSD>
        <pctVal>0.0001601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01578 FG 04/33 FIXED 6.5</title>
        <cusip>31292HXF6</cusip>
        <identifiers>
          <isin value="US31292HXF62"/>
        </identifiers>
        <balance>1519.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1602.080000</valUSD>
        <pctVal>0.0001145</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>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>FREDDIE MAC-1691</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1691 EB</title>
        <cusip>3133T4GV2</cusip>
        <identifiers>
          <isin value="US3133T4GV20"/>
        </identifiers>
        <balance>603.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>599.670000</valUSD>
        <pctVal>0.0000429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 624207 GN 01/34 FIXED 5.5</title>
        <cusip>36291CNY7</cusip>
        <identifiers>
          <isin value="US36291CNY74"/>
        </identifiers>
        <balance>6336.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6407.340000</valUSD>
        <pctVal>0.000458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 002359 G2 01/27 FIXED 7</title>
        <cusip>36202CTQ6</cusip>
        <identifiers>
          <isin value="US36202CTQ68"/>
        </identifiers>
        <balance>108.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111.460000</valUSD>
        <pctVal>0.000008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 937743 FN 05/37 FIXED 6</title>
        <cusip>31412XHU1</cusip>
        <identifiers>
          <isin value="US31412XHU19"/>
        </identifiers>
        <balance>58613.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60788.450000</valUSD>
        <pctVal>0.0043456</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</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 566519 GN 06/34 FIXED 5</title>
        <cusip>36213WK88</cusip>
        <identifiers>
          <isin value="US36213WK885"/>
        </identifiers>
        <balance>1394.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1403.580000</valUSD>
        <pctVal>0.0001003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-15</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>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2</title>
        <cusip>07384YGY6</cusip>
        <identifiers>
          <isin value="US07384YGY68"/>
        </identifiers>
        <balance>150177.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144982.270000</valUSD>
        <pctVal>0.0103643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</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>WASHINGTON MUTUAL 2002-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A</title>
        <cusip>9393357P4</cusip>
        <identifiers>
          <isin value="US9393357P40"/>
        </identifiers>
        <balance>171926.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161749.910000</valUSD>
        <pctVal>0.0115629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.4118</annualizedRt>
          <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 CA1360 FN 03/48 FIXED 3.5</title>
        <cusip>3140Q8QN8</cusip>
        <identifiers>
          <isin value="US3140Q8QN82"/>
        </identifiers>
        <balance>9281836.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8595152.880000</valUSD>
        <pctVal>0.614437</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05283 FG 01/39 FIXED 5.5</title>
        <cusip>3128M7FY7</cusip>
        <identifiers>
          <isin value="US3128M7FY79"/>
        </identifiers>
        <balance>5313.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5481.900000</valUSD>
        <pctVal>0.0003919</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>
        </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 831927 FN 12/36 FIXED 6</title>
        <cusip>31407JHC9</cusip>
        <identifiers>
          <isin value="US31407JHC99"/>
        </identifiers>
        <balance>8772.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9166.970000</valUSD>
        <pctVal>0.0006553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 481483 FN 02/29 FIXED 6</title>
        <cusip>31382F2Q1</cusip>
        <identifiers>
          <isin value="US31382F2Q11"/>
        </identifiers>
        <balance>442.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>453.600000</valUSD>
        <pctVal>0.0000324</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.27500 10/06/22-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01LMK2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>319023.580000</valUSD>
        <pctVal>0.0228059</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01LMK2-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.275000"/>
            <terminationDt>2032-10-06</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>16400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>319023.580000</unrealizedAppr>
          </swapDeriv>
        </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 BN5883 FN 03/49 FIXED 5</title>
        <cusip>3140JNRD4</cusip>
        <identifiers>
          <isin value="US3140JNRD45"/>
        </identifiers>
        <balance>280228.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280517.370000</valUSD>
        <pctVal>0.0200532</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2001-56</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 56 KZ</title>
        <cusip>313921FR4</cusip>
        <identifiers>
          <isin value="US313921FR49"/>
        </identifiers>
        <balance>115066.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116097.090000</valUSD>
        <pctVal>0.0082994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080058 G2 04/27 FLOATING VAR</title>
        <cusip>36225CB47</cusip>
        <identifiers>
          <isin value="US36225CB476"/>
        </identifiers>
        <balance>4231.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4188.300000</valUSD>
        <pctVal>0.0002994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 081404 G2 07/35 FLOATING VAR</title>
        <cusip>36225DR22</cusip>
        <identifiers>
          <isin value="US36225DR223"/>
        </identifiers>
        <balance>143355.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142285.510000</valUSD>
        <pctVal>0.0101715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 354843 GN 06/24 FIXED 8</title>
        <cusip>36203PEQ2</cusip>
        <identifiers>
          <isin value="US36203PEQ28"/>
        </identifiers>
        <balance>152.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152.160000</valUSD>
        <pctVal>0.0000109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 705406 GN 01/39 FIXED 6.5</title>
        <cusip>36296YU75</cusip>
        <identifiers>
          <isin value="US36296YU752"/>
        </identifiers>
        <balance>7058.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7299.500000</valUSD>
        <pctVal>0.0005218</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-15</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 MA0022 FN 04/29 FIXED 4.5</title>
        <cusip>31417YAY3</cusip>
        <identifiers>
          <isin value="US31417YAY32"/>
        </identifiers>
        <balance>8846.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8765.210000</valUSD>
        <pctVal>0.0006266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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 AA0577 GN 06/42 FIXED 3.5</title>
        <cusip>36177WUA6</cusip>
        <identifiers>
          <isin value="US36177WUA60"/>
        </identifiers>
        <balance>137827.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130235.870000</valUSD>
        <pctVal>0.0093101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-15</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 757772 FN 10/34 FIXED 5.5</title>
        <cusip>31403T2D5</cusip>
        <identifiers>
          <isin value="US31403T2D52"/>
        </identifiers>
        <balance>9591.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9747.040000</valUSD>
        <pctVal>0.0006968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 223535 FN 12/30 FLOATING VAR</title>
        <cusip>31369XHL4</cusip>
        <identifiers>
          <isin value="US31369XHL47"/>
        </identifiers>
        <balance>14955.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14587.330000</valUSD>
        <pctVal>0.0010428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 820058 FN 05/35 FIXED 6</title>
        <cusip>31406UB31</cusip>
        <identifiers>
          <isin value="US31406UB313"/>
        </identifiers>
        <balance>14833.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15455.640000</valUSD>
        <pctVal>0.0011049</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>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 MA5069 G2 03/48 FIXED 4.5</title>
        <cusip>36179TT21</cusip>
        <identifiers>
          <isin value="US36179TT216"/>
        </identifiers>
        <balance>14981.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14608.240000</valUSD>
        <pctVal>0.0010443</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>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>STRUCTURED ASSET MTG INV INC 2004-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1</title>
        <cusip>86359LDX4</cusip>
        <identifiers>
          <isin value="US86359LDX47"/>
        </identifiers>
        <balance>40115.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37386.730000</valUSD>
        <pctVal>0.0026726</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13023</annualizedRt>
          <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 G08192 FG 04/37 FIXED 5.5</title>
        <cusip>3128MJGA2</cusip>
        <identifiers>
          <isin value="US3128MJGA22"/>
        </identifiers>
        <balance>9247.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9540.350000</valUSD>
        <pctVal>0.000682</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</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>FREDDIE MAC REMICS-3598</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3598 JI</title>
        <cusip>31398KZ94</cusip>
        <identifiers>
          <isin value="US31398KZ940"/>
        </identifiers>
        <balance>60544.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2623.780000</valUSD>
        <pctVal>0.0001876</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080416 G2 06/30 FLOATING VAR</title>
        <cusip>36225CPA8</cusip>
        <identifiers>
          <isin value="US36225CPA89"/>
        </identifiers>
        <balance>198583.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195425.170000</valUSD>
        <pctVal>0.0139703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 256253 FN 05/26 FIXED 5</title>
        <cusip>31371MTJ6</cusip>
        <identifiers>
          <isin value="US31371MTJ61"/>
        </identifiers>
        <balance>478.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>473.870000</valUSD>
        <pctVal>0.0000339</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 460719 GN 01/28 FIXED 6.5</title>
        <cusip>36208TYQ7</cusip>
        <identifiers>
          <isin value="US36208TYQ74"/>
        </identifiers>
        <balance>563.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>577.350000</valUSD>
        <pctVal>0.0000413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</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>ACE SECURITIES CORP 2006-HE4</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2006 HE4 A2A</title>
        <cusip>00442BAB7</cusip>
        <identifiers>
          <isin value="US00442BAB71"/>
        </identifiers>
        <balance>129087.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47766.690000</valUSD>
        <pctVal>0.0034147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.59043</annualizedRt>
          <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 676927 GN 04/38 FIXED 5.5</title>
        <cusip>36295QA42</cusip>
        <identifiers>
          <isin value="US36295QA422"/>
        </identifiers>
        <balance>28155.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28471.940000</valUSD>
        <pctVal>0.0020354</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>
        </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 462622 GN 03/28 FIXED 6.5</title>
        <cusip>36208V4F9</cusip>
        <identifiers>
          <isin value="US36208V4F94"/>
        </identifiers>
        <balance>1259.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1292.600000</valUSD>
        <pctVal>0.0000924</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</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 II POOL 080365 G2 01/30 FLOATING VAR</title>
        <cusip>36225CMP8</cusip>
        <identifiers>
          <isin value="US36225CMP85"/>
        </identifiers>
        <balance>475.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>467.080000</valUSD>
        <pctVal>0.0000334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-20</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>N/A</name>
        <lei>N/A</lei>
        <title>317U4RGA0 PIMCO SWAPTION 3.1175 CALL USD 20240</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0031251"/>
        </identifiers>
        <balance>6600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>40722.000000</valUSD>
        <pctVal>0.0029111</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>Call</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/3.11750 03/08/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU020AS3"/>
                    </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/3.11750 03/08/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU020AS3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.117500"/>
                  <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>2031-03-08</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>3.120000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5742.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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 G01938 FG 09/35 FIXED 5.5</title>
        <cusip>3128LXEK2</cusip>
        <identifiers>
          <isin value="US3128LXEK25"/>
        </identifiers>
        <balance>36540.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37695.940000</valUSD>
        <pctVal>0.0026947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 765853 FN 02/34 FIXED 5.5</title>
        <cusip>31404DZS0</cusip>
        <identifiers>
          <isin value="US31404DZS07"/>
        </identifiers>
        <balance>637.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>656.460000</valUSD>
        <pctVal>0.0000469</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 411079 GN 12/38 FIXED 6</title>
        <cusip>36206GUC2</cusip>
        <identifiers>
          <isin value="US36206GUC22"/>
        </identifiers>
        <balance>1129.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1147.990000</valUSD>
        <pctVal>0.0000821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C90831 FG 05/24 FIXED 5</title>
        <cusip>31335H4Q3</cusip>
        <identifiers>
          <isin value="US31335H4Q39"/>
        </identifiers>
        <balance>30820.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30696.340000</valUSD>
        <pctVal>0.0021944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-01</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>AMBAC ASSURANCE CORPORATION</name>
        <lei>549300RYYRVPPB8NC636</lei>
        <title>AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1</title>
        <cusip>023138AA8</cusip>
        <identifiers>
          <isin value="US023138AA88"/>
        </identifiers>
        <balance>37597.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49159.310000</valUSD>
        <pctVal>0.0035142</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2099-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.1</annualizedRt>
          <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 779242 FN 06/34 FIXED 5.5</title>
        <cusip>31404UWB2</cusip>
        <identifiers>
          <isin value="US31404UWB24"/>
        </identifiers>
        <balance>35898.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36982.270000</valUSD>
        <pctVal>0.0026437</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782655 GN 05/39 FIXED 5.5</title>
        <cusip>36241K5Q7</cusip>
        <identifiers>
          <isin value="US36241K5Q78"/>
        </identifiers>
        <balance>40066.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40515.190000</valUSD>
        <pctVal>0.0028963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</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>WASHINGTON MUTUAL 2005-AR14</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4</title>
        <cusip>92922F4D7</cusip>
        <identifiers>
          <isin value="US92922F4D70"/>
        </identifiers>
        <balance>91780.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83311.890000</valUSD>
        <pctVal>0.0059557</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.92268</annualizedRt>
          <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 ZL2783 FR 03/42 FIXED 3.5</title>
        <cusip>3131XJCU4</cusip>
        <identifiers>
          <isin value="US3131XJCU40"/>
        </identifiers>
        <balance>3862.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3662.180000</valUSD>
        <pctVal>0.0002618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 657144 GN 04/37 FIXED 6</title>
        <cusip>36294RBM0</cusip>
        <identifiers>
          <isin value="US36294RBM07"/>
        </identifiers>
        <balance>2171.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2220.360000</valUSD>
        <pctVal>0.0001587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02498 FG 12/36 FIXED 6.5</title>
        <cusip>3128M4DB6</cusip>
        <identifiers>
          <isin value="US3128M4DB63"/>
        </identifiers>
        <balance>24476.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25630.080000</valUSD>
        <pctVal>0.0018322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 080109 G2 08/27 FLOATING VAR</title>
        <cusip>36225CDP8</cusip>
        <identifiers>
          <isin value="US36225CDP86"/>
        </identifiers>
        <balance>1308.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1289.990000</valUSD>
        <pctVal>0.0000922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AQ3206 FN 11/42 FIXED 4</title>
        <cusip>3138MJR43</cusip>
        <identifiers>
          <isin value="US3138MJR430"/>
        </identifiers>
        <balance>379250.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>369761.040000</valUSD>
        <pctVal>0.0264329</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS5671 FN 08/45 FIXED 4</title>
        <cusip>3138WFJR8</cusip>
        <identifiers>
          <isin value="US3138WFJR87"/>
        </identifiers>
        <balance>1825823.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1760930.670000</valUSD>
        <pctVal>0.125883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782474 GN 12/38 FIXED 5.5</title>
        <cusip>36241KXB9</cusip>
        <identifiers>
          <isin value="US36241KXB96"/>
        </identifiers>
        <balance>32088.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32448.860000</valUSD>
        <pctVal>0.0023197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 527273 GN 07/30 FIXED 8.5</title>
        <cusip>36211YXA7</cusip>
        <identifiers>
          <isin value="US36211YXA71"/>
        </identifiers>
        <balance>3271.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3266.660000</valUSD>
        <pctVal>0.0002335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AD5638 GN 05/43 FIXED 4</title>
        <cusip>36180HHP6</cusip>
        <identifiers>
          <isin value="US36180HHP64"/>
        </identifiers>
        <balance>21505.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20775.390000</valUSD>
        <pctVal>0.0014852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-05-15</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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 06/21/23-3Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01O3N1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>456867.280000</valUSD>
        <pctVal>0.0326598</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01O3N1-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="3.500000"/>
            <terminationDt>2026-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-21014.160000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>23500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>477881.440000</unrealizedAppr>
          </swapDeriv>
        </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 RA7130 FR 04/52 FIXED 3</title>
        <cusip>3133KN4P5</cusip>
        <identifiers>
          <isin value="US3133KN4P50"/>
        </identifiers>
        <balance>3644262.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3224975.340000</valUSD>
        <pctVal>0.230542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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>BANC OF AMERICA FUNDING CORP 2006-8T2</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10</title>
        <cusip>05951UAK7</cusip>
        <identifiers>
          <isin value="US05951UAK79"/>
        </identifiers>
        <balance>425732.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364918.280000</valUSD>
        <pctVal>0.0260867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.2527</annualizedRt>
          <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 AD0497 FN 11/39 FIXED VAR</title>
        <cusip>31418MRT1</cusip>
        <identifiers>
          <isin value="US31418MRT17"/>
        </identifiers>
        <balance>1327144.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1367299.250000</valUSD>
        <pctVal>0.0977434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 634253 FN 03/32 FIXED 6.5</title>
        <cusip>31389STJ3</cusip>
        <identifiers>
          <isin value="US31389STJ32"/>
        </identifiers>
        <balance>14838.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15564.420000</valUSD>
        <pctVal>0.0011126</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>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 BG5667 G2 06/48 FIXED 4</title>
        <cusip>3617GQJL8</cusip>
        <identifiers>
          <isin value="US3617GQJL80"/>
        </identifiers>
        <balance>538459.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>531294.190000</valUSD>
        <pctVal>0.0379803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</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 080272 G2 04/29 FLOATING VAR</title>
        <cusip>36225CJS6</cusip>
        <identifiers>
          <isin value="US36225CJS61"/>
        </identifiers>
        <balance>1964.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1947.690000</valUSD>
        <pctVal>0.0001392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 2018-28</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2018 28 CA</title>
        <cusip>3136B1P32</cusip>
        <identifiers>
          <isin value="US3136B1P328"/>
        </identifiers>
        <balance>287242.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>258132.750000</valUSD>
        <pctVal>0.018453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORTGAGE EQUITY CONVER ASSET TR 2007-FF1</name>
        <lei>N/A</lei>
        <title>MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF1 A 144A</title>
        <cusip>61910AAA6</cusip>
        <identifiers>
          <isin value="US61910AAA60"/>
        </identifiers>
        <balance>7620732.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7464766.400000</valUSD>
        <pctVal>0.53363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.33</annualizedRt>
          <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 779643 FN 07/34 FIXED 5.5</title>
        <cusip>31404VEQ7</cusip>
        <identifiers>
          <isin value="US31404VEQ77"/>
        </identifiers>
        <balance>76558.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78869.030000</valUSD>
        <pctVal>0.0056381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BU5859 FN 11/51 FIXED 3</title>
        <cusip>3140M7QM6</cusip>
        <identifiers>
          <isin value="US3140M7QM67"/>
        </identifiers>
        <balance>740409.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>655553.320000</valUSD>
        <pctVal>0.0468632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 944021 FN 08/37 FIXED 6</title>
        <cusip>31413FG63</cusip>
        <identifiers>
          <isin value="US31413FG632"/>
        </identifiers>
        <balance>4696.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4843.810000</valUSD>
        <pctVal>0.0003463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</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>TIAA CLO III LTD 2017-2A</name>
        <lei>N/A</lei>
        <title>TEACHERS INSURANCE AND ANNUITY TIA 2017 2A A 144A</title>
        <cusip>87272HAA8</cusip>
        <identifiers>
          <isin value="US87272HAA86"/>
        </identifiers>
        <balance>424443.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424573.370000</valUSD>
        <pctVal>0.0303512</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.80548</annualizedRt>
          <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 G04614 FG 02/34 FIXED 6</title>
        <cusip>3128M6N79</cusip>
        <identifiers>
          <isin value="US3128M6N790"/>
        </identifiers>
        <balance>22910.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23847.200000</valUSD>
        <pctVal>0.0017048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080392 G2 04/30 FLOATING VAR</title>
        <cusip>36225CNJ1</cusip>
        <identifiers>
          <isin value="US36225CNJ17"/>
        </identifiers>
        <balance>6789.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6749.750000</valUSD>
        <pctVal>0.0004825</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 668414 GN 04/37 FIXED 5.5</title>
        <cusip>36295ESB4</cusip>
        <identifiers>
          <isin value="US36295ESB47"/>
        </identifiers>
        <balance>15816.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15885.440000</valUSD>
        <pctVal>0.0011356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-15</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 G05956 FG 07/38 FIXED 5.5</title>
        <cusip>3128M75R3</cusip>
        <identifiers>
          <isin value="US3128M75R30"/>
        </identifiers>
        <balance>7222.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7451.140000</valUSD>
        <pctVal>0.0005327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782407 GN 09/38 FIXED 5.5</title>
        <cusip>36241KU89</cusip>
        <identifiers>
          <isin value="US36241KU898"/>
        </identifiers>
        <balance>263524.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266465.580000</valUSD>
        <pctVal>0.0190487</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080167 G2 02/28 FLOATING VAR</title>
        <cusip>36225CFH4</cusip>
        <identifiers>
          <isin value="US36225CFH43"/>
        </identifiers>
        <balance>1220.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1191.810000</valUSD>
        <pctVal>0.0000852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5</title>
        <cusip>3128M6RH3</cusip>
        <identifiers>
          <isin value="US3128M6RH36"/>
        </identifiers>
        <balance>38287.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39499.330000</valUSD>
        <pctVal>0.0028237</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</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 C01418 FG 10/32 FIXED 5.5</title>
        <cusip>31292HSF2</cusip>
        <identifiers>
          <isin value="US31292HSF28"/>
        </identifiers>
        <balance>11955.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12332.780000</valUSD>
        <pctVal>0.0008816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>FANNIE MAE INTEREST STRIP 386</name>
        <lei>N/A</lei>
        <title>FANNIEMAE STRIP FNS 386 14</title>
        <cusip>3136FFSR1</cusip>
        <identifiers>
          <isin value="US3136FFSR14"/>
        </identifiers>
        <balance>116433.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32802.200000</valUSD>
        <pctVal>0.0023449</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8667 FN 06/33 FIXED 4.44</title>
        <cusip>3140LKTZ6</cusip>
        <identifiers>
          <isin value="US3140LKTZ61"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1996421.440000</valUSD>
        <pctVal>0.142717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.44</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 802071 FN 10/34 FIXED 5.5</title>
        <cusip>31405XCG6</cusip>
        <identifiers>
          <isin value="US31405XCG60"/>
        </identifiers>
        <balance>10558.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10877.410000</valUSD>
        <pctVal>0.0007776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>HALSEYPOINT CLO 3 LTD 2020-3A</name>
        <lei>N/A</lei>
        <title>HALSEYPOINT CLO 3, LTD. HLSY 2020 3A A1A 144A</title>
        <cusip>40638UAA7</cusip>
        <identifiers>
          <isin value="US40638UAA79"/>
        </identifiers>
        <balance>4450000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4452225.000000</valUSD>
        <pctVal>0.318274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.10159</annualizedRt>
          <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 640070 FN 03/32 FIXED 6.5</title>
        <cusip>31390ACF5</cusip>
        <identifiers>
          <isin value="US31390ACF57"/>
        </identifiers>
        <balance>585.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>614.160000</valUSD>
        <pctVal>0.0000439</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>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 821365 FN 05/35 FLOATING VAR</title>
        <cusip>31406VQS8</cusip>
        <identifiers>
          <isin value="US31406VQS87"/>
        </identifiers>
        <balance>23987.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23841.650000</valUSD>
        <pctVal>0.0017044</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>5.835</annualizedRt>
          <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 704672 GN 08/39 FIXED 5.5</title>
        <cusip>36296X2D5</cusip>
        <identifiers>
          <isin value="US36296X2D57"/>
        </identifiers>
        <balance>34069.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34471.250000</valUSD>
        <pctVal>0.0024642</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</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>SAIL 2004-10 M3 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC04H76"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6.400000</valUSD>
        <pctVal>0.0000005</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>STRUCTURED ASSET INVST LN TR 2004-10</issuerName>
                <issueTitle>SAIL 2004-10 M3 TSFR1M+206.448BP</issueTitle>
                <identifiers>
                  <isin value="US86358EPE04"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.950000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2034-11-25</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-3104.590000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3302.760000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3110.990000</unrealizedAppr>
          </swapDeriv>
        </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 G03832 FG 01/38 FIXED 5.5</title>
        <cusip>3128M5SV3</cusip>
        <identifiers>
          <isin value="US3128M5SV38"/>
        </identifiers>
        <balance>731596.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>754763.080000</valUSD>
        <pctVal>0.0539553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</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 ZK8982 FR 10/32 FIXED 2.5</title>
        <cusip>3131XC6T9</cusip>
        <identifiers>
          <isin value="US3131XC6T96"/>
        </identifiers>
        <balance>12209.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11487.800000</valUSD>
        <pctVal>0.0008212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</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>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"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>495226.910000</valUSD>
        <pctVal>0.035402</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1J0-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.145000"/>
            <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>2030-10-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-53600.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>548826.910000</unrealizedAppr>
          </swapDeriv>
        </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 BY2125 FN 06/53 FIXED 5</title>
        <cusip>3140NJLF9</cusip>
        <identifiers>
          <isin value="US3140NJLF98"/>
        </identifiers>
        <balance>209342.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209430.330000</valUSD>
        <pctVal>0.0149714</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>
        </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 AI2052 FN 05/41 FIXED 4</title>
        <cusip>3138AFH60</cusip>
        <identifiers>
          <isin value="US3138AFH608"/>
        </identifiers>
        <balance>524332.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>511104.290000</valUSD>
        <pctVal>0.036537</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.18500 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1I2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2603347.930000</valUSD>
        <pctVal>-0.186104</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1I2-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <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="4.185000"/>
            <terminationDt>2030-10-10</terminationDt>
            <upfrontPmnt>323400.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>66000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2926747.930000</unrealizedAppr>
          </swapDeriv>
        </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 G01644 FG 02/34 FIXED 5.5</title>
        <cusip>31283HZH1</cusip>
        <identifiers>
          <isin value="US31283HZH10"/>
        </identifiers>
        <balance>6061.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6253.200000</valUSD>
        <pctVal>0.000447</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 900135 FN 09/36 FIXED 6.5</title>
        <cusip>31410XBC9</cusip>
        <identifiers>
          <isin value="US31410XBC92"/>
        </identifiers>
        <balance>11352.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11903.660000</valUSD>
        <pctVal>0.000851</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806143 FN 12/34 FIXED 5.5</title>
        <cusip>31406CS82</cusip>
        <identifiers>
          <isin value="US31406CS828"/>
        </identifiers>
        <balance>1614.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1655.310000</valUSD>
        <pctVal>0.0001183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 604639 GN 09/33 FIXED 5</title>
        <cusip>36200MV83</cusip>
        <identifiers>
          <isin value="US36200MV831"/>
        </identifiers>
        <balance>1483.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1462.150000</valUSD>
        <pctVal>0.0001045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BI8200 G2 09/48 FIXED 4.5</title>
        <cusip>3617HJDD7</cusip>
        <identifiers>
          <isin value="US3617HJDD76"/>
        </identifiers>
        <balance>182663.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179615.250000</valUSD>
        <pctVal>0.0128401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008781 G2 01/26 FLOATING VAR</title>
        <cusip>36202KXJ9</cusip>
        <identifiers>
          <isin value="US36202KXJ95"/>
        </identifiers>
        <balance>1347.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1322.370000</valUSD>
        <pctVal>0.0000945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 554325 FN 09/30 FLOATING VAR</title>
        <cusip>31385VYW5</cusip>
        <identifiers>
          <isin value="US31385VYW52"/>
        </identifiers>
        <balance>3248.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3171.970000</valUSD>
        <pctVal>0.0002268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.395</annualizedRt>
          <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 MTGE LOAN TRUST 2004-7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1</title>
        <cusip>36228F4P8</cusip>
        <identifiers>
          <isin value="US36228F4P85"/>
        </identifiers>
        <balance>9191.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8902.210000</valUSD>
        <pctVal>0.0006364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.23956</annualizedRt>
          <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 881602 FN 02/36 FIXED 6.5</title>
        <cusip>31409XNT2</cusip>
        <identifiers>
          <isin value="US31409XNT27"/>
        </identifiers>
        <balance>977.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1034.120000</valUSD>
        <pctVal>0.0000739</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</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 080197 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGF7</cusip>
        <identifiers>
          <isin value="US36225CGF77"/>
        </identifiers>
        <balance>3100.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3088.690000</valUSD>
        <pctVal>0.0002208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <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 FS1548 FN 04/52 FIXED VAR</title>
        <cusip>3140XGWJ4</cusip>
        <identifiers>
          <isin value="US3140XGWJ43"/>
        </identifiers>
        <balance>1071012.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>916003.790000</valUSD>
        <pctVal>0.0654819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 599416 GN 07/33 FIXED 5.5</title>
        <cusip>36200E3Z2</cusip>
        <identifiers>
          <isin value="US36200E3Z29"/>
        </identifiers>
        <balance>2296.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2321.680000</valUSD>
        <pctVal>0.000166</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 902974 FN 12/36 FIXED 6</title>
        <cusip>31411BFP3</cusip>
        <identifiers>
          <isin value="US31411BFP31"/>
        </identifiers>
        <balance>79501.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83078.950000</valUSD>
        <pctVal>0.005939</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</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 773846 FN 04/34 FIXED 5.5</title>
        <cusip>31404NWF9</cusip>
        <identifiers>
          <isin value="US31404NWF94"/>
        </identifiers>
        <balance>3982.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4091.840000</valUSD>
        <pctVal>0.0002925</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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 Q00626 FG 05/41 FIXED 5</title>
        <cusip>3132GDVT6</cusip>
        <identifiers>
          <isin value="US3132GDVT61"/>
        </identifiers>
        <balance>6124.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6227.600000</valUSD>
        <pctVal>0.0004452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</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>COUNTRYWIDE HOME LOANS 2005-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1</title>
        <cusip>12669GPN5</cusip>
        <identifiers>
          <isin value="US12669GPN50"/>
        </identifiers>
        <balance>31295.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26999.270000</valUSD>
        <pctVal>0.0019301</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11043</annualizedRt>
          <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 777125 FN 04/34 FIXED 5.5</title>
        <cusip>31404SLE3</cusip>
        <identifiers>
          <isin value="US31404SLE36"/>
        </identifiers>
        <balance>2955.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3044.180000</valUSD>
        <pctVal>0.0002176</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AM8692 GN 06/45 FIXED 2.5</title>
        <cusip>36185BUR5</cusip>
        <identifiers>
          <isin value="US36185BUR58"/>
        </identifiers>
        <balance>100216.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87167.400000</valUSD>
        <pctVal>0.0062313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 081016 G2 08/34 FLOATING VAR</title>
        <cusip>36225DDW1</cusip>
        <identifiers>
          <isin value="US36225DDW11"/>
        </identifiers>
        <balance>119936.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118812.930000</valUSD>
        <pctVal>0.0084935</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04538 FG 03/38 FIXED 5.5</title>
        <cusip>3128M6LT3</cusip>
        <identifiers>
          <isin value="US3128M6LT38"/>
        </identifiers>
        <balance>1182.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1219.560000</valUSD>
        <pctVal>0.0000872</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>
          <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 G04604 FG 12/34 FIXED 5.5</title>
        <cusip>3128M6NV6</cusip>
        <identifiers>
          <isin value="US3128M6NV65"/>
        </identifiers>
        <balance>8830.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9109.660000</valUSD>
        <pctVal>0.0006512</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775177 FN 05/34 FIXED 5.5</title>
        <cusip>31404QFS3</cusip>
        <identifiers>
          <isin value="US31404QFS30"/>
        </identifiers>
        <balance>134322.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136992.240000</valUSD>
        <pctVal>0.0097931</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AO9700 FN 07/42 FIXED 3.5</title>
        <cusip>3138M1X60</cusip>
        <identifiers>
          <isin value="US3138M1X608"/>
        </identifiers>
        <balance>1386.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1311.640000</valUSD>
        <pctVal>0.0000938</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>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>US 5YR NOTE (CBT) MAR24 XCBT 20240328</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVH4"/>
        </identifiers>
        <balance>3577.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8542822.470000</valUSD>
        <pctVal>0.610696</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="ADI2K85R5-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-03-28</expDate>
            <notionalAmt>388761215.740000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8542822.470000</unrealizedAppr>
          </futrDeriv>
        </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 II POOL 008595 G2 02/25 FLOATING VAR</title>
        <cusip>36202KRQ0</cusip>
        <identifiers>
          <isin value="US36202KRQ03"/>
        </identifiers>
        <balance>1159.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1146.670000</valUSD>
        <pctVal>0.000082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-20</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 647400 FN 09/32 FIXED 6</title>
        <cusip>31390JGH8</cusip>
        <identifiers>
          <isin value="US31390JGH86"/>
        </identifiers>
        <balance>2379.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2444.900000</valUSD>
        <pctVal>0.0001748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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>
    </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>
