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        <name>N/A</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>MASTR ASSET SECURIZATION TR 2007-3</name>
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        <name>FREDDIE MAC REMICS 4804</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3413 FN 07/38 FIXED 4</title>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA5906 FR 09/51 FIXED 2.5</title>
        <cusip>3133KMR31</cusip>
        <identifiers>
          <isin value="US3133KMR314"/>
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        <balance>404068.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>335335.650000</valUSD>
        <pctVal>0.243028</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB8812 G2 04/48 FIXED 4</title>
        <cusip>3617B0YH2</cusip>
        <identifiers>
          <isin value="US3617B0YH20"/>
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        <balance>39651.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36724.860000</valUSD>
        <pctVal>0.0266156</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRIPS 386</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 386 C3</title>
        <cusip>31325YCL0</cusip>
        <identifiers>
          <isin value="US31325YCL02"/>
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        <balance>347632.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56100.740000</valUSD>
        <pctVal>0.0406579</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/5.00000 06/18/24-1Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZG9TBDXMCV0"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4028.810000</valUSD>
        <pctVal>0.0029198</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU025YS6-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <terminationDt>2025-06-18</terminationDt>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-4496.190000</unrealizedAppr>
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        </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 FS0406 FN 02/47 FIXED VAR</title>
        <cusip>3140XFNY3</cusip>
        <identifiers>
          <isin value="US3140XFNY38"/>
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        <balance>138349.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122066.990000</valUSD>
        <pctVal>0.0884657</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD0940 FR 03/52 FIXED 3</title>
        <cusip>3132DNBH5</cusip>
        <identifiers>
          <isin value="US3132DNBH52"/>
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        <balance>119393.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101951.300000</valUSD>
        <pctVal>0.0738873</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>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF MONTREAL REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="921JXK005"/>
        </identifiers>
        <balance>-1571375.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1572812.810000</valUSD>
        <pctVal>-1.13987</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="NQQ6HPCNCCU6TUTQYE16" name="Bank of Montreal"/>
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          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>5.490000</repurchaseRt>
          <maturityDt>2024-07-08</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1300000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1287036.890000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A88029 FG 08/39 FIXED 6</title>
        <cusip>3129344N9</cusip>
        <identifiers>
          <isin value="US3129344N91"/>
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        <balance>10542.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10757.520000</valUSD>
        <pctVal>0.0077963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831599 FN 07/36 FIXED 6</title>
        <cusip>31407H3G9</cusip>
        <identifiers>
          <isin value="US31407H3G96"/>
        </identifiers>
        <balance>246581.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>252052.860000</valUSD>
        <pctVal>0.182671</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 FS2338 FN 11/46 FIXED VAR</title>
        <cusip>3140XHS40</cusip>
        <identifiers>
          <isin value="US3140XHS401"/>
        </identifiers>
        <balance>719394.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>634877.680000</valUSD>
        <pctVal>0.460116</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>FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A</title>
        <cusip>3137G1AK3</cusip>
        <identifiers>
          <isin value="US3137G1AK38"/>
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        <balance>120829.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104499.520000</valUSD>
        <pctVal>0.075734</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A79234 FG 05/36 FIXED 5</title>
        <cusip>3128LDHK3</cusip>
        <identifiers>
          <isin value="US3128LDHK34"/>
        </identifiers>
        <balance>5406.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5345.270000</valUSD>
        <pctVal>0.0038739</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750OEL4 OTC EPUT FN 5.0 JUL24 95.78125 PUT</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH92687"/>
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        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-952.500000</valUSD>
        <pctVal>-0.0006903</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">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% JUL 30YR</issueTitle>
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                  <isin value="US01F0506760"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>95.780000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-07-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1078.750000</unrealizedAppr>
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        <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"/>
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        <balance>36053.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25388.850000</valUSD>
        <pctVal>0.0184001</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>5.95971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C03709 FG 07/41 FIXED 5</title>
        <cusip>31292LDN2</cusip>
        <identifiers>
          <isin value="US31292LDN29"/>
        </identifiers>
        <balance>3824.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3786.750000</valUSD>
        <pctVal>0.0027444</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>RESIDENTIAL ASSET SEC CORP 2006-KS9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4</title>
        <cusip>75406YAD9</cusip>
        <identifiers>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.353</annualizedRt>
          <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>138450.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82408.020000</valUSD>
        <pctVal>0.0597236</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A65448 FG 09/37 FIXED 6</title>
        <cusip>3128KWBR3</cusip>
        <identifiers>
          <isin value="US3128KWBR31"/>
        </identifiers>
        <balance>731.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>743.870000</valUSD>
        <pctVal>0.0005391</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 MA2931 FN 03/32 FIXED 3</title>
        <cusip>31418CHH0</cusip>
        <identifiers>
          <isin value="US31418CHH07"/>
        </identifiers>
        <balance>52971.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50064.690000</valUSD>
        <pctVal>0.0362834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <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>823387.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>809832.960000</valUSD>
        <pctVal>0.586911</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 FM7284 FN 05/36 FIXED VAR</title>
        <cusip>3140XBCW8</cusip>
        <identifiers>
          <isin value="US3140XBCW86"/>
        </identifiers>
        <balance>969779.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>859114.950000</valUSD>
        <pctVal>0.622627</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>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 G01820 FG 06/35 FIXED 5.5</title>
        <cusip>3128LXAV2</cusip>
        <identifiers>
          <isin value="US3128LXAV26"/>
        </identifiers>
        <balance>190969.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191988.320000</valUSD>
        <pctVal>0.13914</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>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>410085.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53562.150000</valUSD>
        <pctVal>0.0388181</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 815321 FN 01/35 FLOATING VAR</title>
        <cusip>31406NYS7</cusip>
        <identifiers>
          <isin value="US31406NYS79"/>
        </identifiers>
        <balance>12930.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13088.860000</valUSD>
        <pctVal>0.0094859</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>7.296</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3465 FN 09/38 FIXED 4</title>
        <cusip>31418CZ72</cusip>
        <identifiers>
          <isin value="US31418CZ729"/>
        </identifiers>
        <balance>64120.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61530.160000</valUSD>
        <pctVal>0.0445928</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE0034 G2 12/47 FIXED 3.5</title>
        <cusip>3617BTBB7</cusip>
        <identifiers>
          <isin value="US3617BTBB74"/>
        </identifiers>
        <balance>12206.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11138.120000</valUSD>
        <pctVal>0.0080721</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1L0097 FH 06/35 FLOATING VAR</title>
        <cusip>3128Q2DA8</cusip>
        <identifiers>
          <isin value="US3128Q2DA83"/>
        </identifiers>
        <balance>7681.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7951.850000</valUSD>
        <pctVal>0.005763</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>6.977</annualizedRt>
          <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>31750OGY4 OTC EPUT FN 5.0 JUL24 97.25 PUT</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH93768"/>
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        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-28892.800000</valUSD>
        <pctVal>-0.0209395</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% JUL 30YR</issueTitle>
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                  <isin value="US01F0506760"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>97.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-07-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-17486.550000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA6424 FN 07/50 FIXED 3</title>
        <cusip>3140QED66</cusip>
        <identifiers>
          <isin value="US3140QED669"/>
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        <balance>448599.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>387273.580000</valUSD>
        <pctVal>0.280669</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>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697924 GN 03/39 FIXED 5</title>
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        <identifiers>
          <isin value="US36296QLD96"/>
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        <balance>188577.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189087.650000</valUSD>
        <pctVal>0.137038</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</annualizedRt>
          <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>317U58VA4 PIMCO SWAPTION 5.5 PUT USD 20240823</title>
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        <balance>21700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1267.280000</valUSD>
        <pctVal>0.0009184</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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 08/27/24-1Y* LCH</title>
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                    <identifiers>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                      <identifiers>
                        <isin value="EZ3Y0XRJMNJ4"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.500000"/>
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            <unrealizedAppr>-2530.220000</unrealizedAppr>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL G06931 FG 08/39 FIXED 6</title>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2006-5</name>
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        <title>THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1</title>
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          <isin value="US88522RAA23"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <balance>149183.470000</balance>
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        <fairValLevel>2</fairValLevel>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 804965 FN 12/34 FLOATING VAR</title>
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          <isin value="US31406BJJ08"/>
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        <balance>2914.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2925.720000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.795</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE WHOLE LOAN 2002 W11</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1</title>
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          <isin value="US31392EW638"/>
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        <balance>11367.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11120.860000</valUSD>
        <pctVal>0.0080596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
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          <isTriParty>N</isTriParty>
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            <repurchaseCollateral>
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              <collateralVal>809584.330000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <curCd>USD</curCd>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>2927.330000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G0103 FH 02/35 FLOATING VAR</title>
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        <identifiers>
          <isin value="US3128NCDG66"/>
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        <balance>1147.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1160.910000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2002-G</name>
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        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3</title>
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        <identifiers>
          <isin value="US06050HKR83"/>
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        <balance>739.300000</balance>
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        <curCd>USD</curCd>
        <valUSD>675.050000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75002</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U5S9A5 PIMCO SWAPTION 6.0 PUT USD 20251017</title>
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        <identifiers>
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        <balance>4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>14015.600000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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            <shareNo>N/A</shareNo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 5</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL 800335 FN 12/34 FLOATING VAR</title>
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          <isin value="US31405VEG86"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR</title>
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        <balance>170245.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>174525.570000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07</name>
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        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FE</title>
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        <balance>9594.200000</balance>
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        <curCd>USD</curCd>
        <valUSD>9572.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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>
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          <isin value="US36202FZ253"/>
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        <balance>108998.660000</balance>
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        <curCd>USD</curCd>
        <valUSD>109002.160000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2041-12-20</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31417AXJ32"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                    <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-4832</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4832 FW</title>
        <cusip>3137FHRY1</cusip>
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          <isin value="US3137FHRY13"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2038-04-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.14500 10/10/23-7Y LCH</title>
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          <other otherDesc="Internal ID" value="SWU01Y1J0"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BARCLAYS CAPITAL REPO REPO</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>GSR MORTGAGE LOAN TRUST 2006-OA1</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5</title>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <title>FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE</title>
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        <curCd>USD</curCd>
        <valUSD>2446191.400000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4459</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4459 BZ</title>
        <cusip>3137BHTE7</cusip>
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          <isin value="US3137BHTE76"/>
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        <balance>1055288.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>754592.730000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773246 FN 02/35 FLOATING VAR</title>
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          <isin value="US31404NBP06"/>
        </identifiers>
        <balance>7477.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7669.580000</valUSD>
        <pctVal>0.0055584</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>5.945</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</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"/>
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        <balance>83709.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83711.910000</valUSD>
        <pctVal>0.0606686</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC</name>
        <lei>N/A</lei>
        <title>PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR</title>
        <cusip>74040YAB8</cusip>
        <identifiers>
          <isin value="US74040YAB83"/>
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        <balance>82337.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82337.080000</valUSD>
        <pctVal>0.0596722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.46217</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.95900 04/08/24-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZMPJ7SQZ3D5"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10334.070000</valUSD>
        <pctVal>-0.0074894</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU023MQ8-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.959000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2031-04-08</terminationDt>
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            <upfrontRcpt>-5580.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-4754.070000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO DEUTSCHE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLG001"/>
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        <balance>-4965750.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4979232.010000</valUSD>
        <pctVal>-3.6086</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="9J6MBOOO7BECTDTUZW19" name="Deutsche Bank Securities Inc."/>
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          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>5.430000</repurchaseRt>
          <maturityDt>2024-07-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3900000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3829129.750000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.75000 06/20/24-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZGRPXJJW957"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>93674.550000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU0206I0-USD-SOFR-COMPOUND"/>
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            </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"/>
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            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.750000"/>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-92016.110000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>36392.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1574.070000</valUSD>
        <pctVal>0.0011408</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>0.602813</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-81</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 81 NZ</title>
        <cusip>3136AQPM6</cusip>
        <identifiers>
          <isin value="US3136AQPM63"/>
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        <balance>97238.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71750.150000</valUSD>
        <pctVal>0.0519995</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>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1856</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1856 ZG</title>
        <cusip>3133T7BC2</cusip>
        <identifiers>
          <isin value="US3133T7BC25"/>
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        <balance>233.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235.270000</valUSD>
        <pctVal>0.0001705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 2064</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2064 ZA</title>
        <cusip>3133TEMJ0</cusip>
        <identifiers>
          <isin value="US3133TEMJ00"/>
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        <balance>31261.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31244.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QD8684 FR 03/52 FIXED 3</title>
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          <isin value="US3133B6UH18"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75237.700000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US31418EFA38"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)SEP24 XCBT 20240919</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS7610 FN 07/46 FIXED 2.5</title>
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          <isin value="US3138WHN408"/>
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        <curCd>USD</curCd>
        <valUSD>120767.440000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U67GA2 PIMCO SWAPTION 4.372 PUT USD 2024120</title>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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        <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>FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A</title>
        <cusip>3137G1BL0</cusip>
        <identifiers>
          <isin value="US3137G1BL02"/>
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        <balance>231624.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200080.020000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 794277 FN 09/34 FIXED 5.5</title>
        <cusip>31405NM28</cusip>
        <identifiers>
          <isin value="US31405NM283"/>
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        <balance>26717.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26825.250000</valUSD>
        <pctVal>0.0194411</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>FANNIE MAE 2002-9</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 9 FH</title>
        <cusip>31392BD52</cusip>
        <identifiers>
          <isin value="US31392BD527"/>
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        <balance>40219.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40134.620000</valUSD>
        <pctVal>0.0290868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.94983</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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"/>
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        <balance>10540.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10513.140000</valUSD>
        <pctVal>0.0076192</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>6.764</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS1338 FN 04/52 FIXED VAR</title>
        <cusip>3140XGPY9</cusip>
        <identifiers>
          <isin value="US3140XGPY92"/>
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        <balance>41185.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33882.810000</valUSD>
        <pctVal>0.0245559</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>FREDDIE MAC STRIPS 303</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 303 C19</title>
        <cusip>31325UEH5</cusip>
        <identifiers>
          <isin value="US31325UEH59"/>
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        <balance>166585.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27594.340000</valUSD>
        <pctVal>0.0199985</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>COMM 2021-2400 MORTGAGE TRUST</name>
        <lei>N/A</lei>
        <title>COMM MORTGAGE TRUST COMM 2021 2400 A 144A</title>
        <cusip>20048FAA6</cusip>
        <identifiers>
          <isin value="US20048FAA66"/>
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        <balance>1438636.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1369811.820000</valUSD>
        <pctVal>0.992745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74348</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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"/>
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        <balance>344679.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325408.300000</valUSD>
        <pctVal>0.235833</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>BANCO LA HIPOTECARIA SA 2016-1A</name>
        <lei>N/A</lei>
        <title>LA HIPOTECARIA SA LHIPO 2016 1A A 144A</title>
        <cusip>50346VAA7</cusip>
        <identifiers>
          <isin value="US50346VAA70"/>
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        <balance>422583.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>389763.880000</valUSD>
        <pctVal>0.282474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.3575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 676927 GN 04/38 FIXED 5.5</title>
        <cusip>36295QA42</cusip>
        <identifiers>
          <isin value="US36295QA422"/>
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        <balance>31732.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32320.790000</valUSD>
        <pctVal>0.0234239</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>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"/>
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        <balance>132990.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114044.290000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.19200 11/08/23-7Y LCH</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YVX6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1884.010000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U3RCA5 PIMCO SWAPTION 3.5 CALL USD 20240819</title>
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          <other otherDesc="Internal ID" value="OP002Q1R0"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <curCd>USD</curCd>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-7394.200000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WASHINGTON MUTUAL MTGE P/T 2007-OA1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A</title>
        <cusip>93935NAB0</cusip>
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        <balance>103855.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78868.650000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FANNIE MAE 2007-33</name>
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        <name>JP MORGAN MORTGAGE TRUST 2019-5</name>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-64</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
        <valUSD>29543.080000</valUSD>
        <pctVal>0.0214108</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </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>
                      <isin value="EZH0F1DV7DF5"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <isin value="EZH0F1DV7DF5"/>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.250000"/>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>4.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-11-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-37352.920000</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>317U50RA6 PIMCO SWAPTION 4.75 PUT USD 20241031</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP00341S6"/>
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        <balance>2900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4861.560000</valUSD>
        <pctVal>0.0035233</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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <curCd>USD</curCd>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <notionalAmt>N/A</notionalAmt>
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            <shareNo>N/A</shareNo>
            <exercisePrice>4.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-10-31</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2432.810000</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 QG8492 FR 08/53 FIXED 5</title>
        <cusip>3133C9NH2</cusip>
        <identifiers>
          <isin value="US3133C9NH20"/>
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        <balance>161659.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>156951.530000</valUSD>
        <pctVal>0.113748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.17000 04/15/24-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZRNMRTFFWQ2"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>80274.880000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU0240S6-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"/>
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            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.170000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>48887.380000</unrealizedAppr>
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        </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 737648 GN 11/40 FIXED 4.5</title>
        <cusip>3620ARP96</cusip>
        <identifiers>
          <isin value="US3620ARP967"/>
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        <balance>2185.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2121.290000</valUSD>
        <pctVal>0.0015374</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>FANNIE MAE REMICS 2005-102</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 102 AS</title>
        <cusip>31394UHW5</cusip>
        <identifiers>
          <isin value="US31394UHW53"/>
        </identifiers>
        <balance>352377.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25972.480000</valUSD>
        <pctVal>0.0188231</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13517</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN1152 FN 11/48 FIXED 4.5</title>
        <cusip>3140JHH63</cusip>
        <identifiers>
          <isin value="US3140JHH635"/>
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        <balance>60786.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58227.860000</valUSD>
        <pctVal>0.0421995</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>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY2</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A</title>
        <cusip>89177HAA0</cusip>
        <identifiers>
          <isin value="US89177HAA05"/>
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        <balance>155104.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>158784.600000</valUSD>
        <pctVal>0.115076</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.45971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 816593 FN 02/35 FLOATING VAR</title>
        <cusip>31406QGA9</cusip>
        <identifiers>
          <isin value="US31406QGA94"/>
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        <balance>3599.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3648.940000</valUSD>
        <pctVal>0.0026445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>21H050680</cusip>
        <identifiers>
          <isin value="US21H0506806"/>
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        <balance>4500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4383386.010000</valUSD>
        <pctVal>3.17678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-08-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06962 FG 05/40 FIXED 6</title>
        <cusip>3128M9B76</cusip>
        <identifiers>
          <isin value="US3128M9B765"/>
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        <balance>27316.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27980.770000</valUSD>
        <pctVal>0.0202785</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4277 FN 01/27 FIXED 3</title>
        <cusip>31417AXF1</cusip>
        <identifiers>
          <isin value="US31417AXF10"/>
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        <balance>32301.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31433.360000</valUSD>
        <pctVal>0.0227807</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 838769 FN 09/35 FLOATING VAR</title>
        <cusip>31407R2A1</cusip>
        <identifiers>
          <isin value="US31407R2A19"/>
        </identifiers>
        <balance>10363.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10431.860000</valUSD>
        <pctVal>0.0075603</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>5.987</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4588</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4588 PI</title>
        <cusip>3137BQEL7</cusip>
        <identifiers>
          <isin value="US3137BQEL73"/>
        </identifiers>
        <balance>696944.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100063.560000</valUSD>
        <pctVal>0.0725192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>61227.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58625.330000</valUSD>
        <pctVal>0.0424876</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ1565 FN 10/41 FIXED 4</title>
        <cusip>3138ASW32</cusip>
        <identifiers>
          <isin value="US3138ASW329"/>
        </identifiers>
        <balance>630539.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>594283.610000</valUSD>
        <pctVal>0.430696</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8097 FN 04/33 FIXED 4.7</title>
        <cusip>3140LJ7K6</cusip>
        <identifiers>
          <isin value="US3140LJ7K61"/>
        </identifiers>
        <balance>125000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123321.750000</valUSD>
        <pctVal>0.0893751</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784601 G2 03/48 FIXED 3.5</title>
        <cusip>3622AAAA2</cusip>
        <identifiers>
          <isin value="US3622AAAA22"/>
        </identifiers>
        <balance>554435.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>510696.630000</valUSD>
        <pctVal>0.370118</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB0583 G2 07/47 FIXED 3.5</title>
        <cusip>3617AQUG2</cusip>
        <identifiers>
          <isin value="US3617AQUG21"/>
        </identifiers>
        <balance>12663.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11550.940000</valUSD>
        <pctVal>0.0083713</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 783104 FH 04/35 FLOATING VAR</title>
        <cusip>31349UNV6</cusip>
        <identifiers>
          <isin value="US31349UNV60"/>
        </identifiers>
        <balance>9897.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10187.070000</valUSD>
        <pctVal>0.0073829</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.017</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>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>1038.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1043.740000</valUSD>
        <pctVal>0.0007564</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 RB5162 FR 06/42 FIXED 3</title>
        <cusip>3133KYWX3</cusip>
        <identifiers>
          <isin value="US3133KYWX39"/>
        </identifiers>
        <balance>964488.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>853272.000000</valUSD>
        <pctVal>0.618393</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 TBA 30 YR 2.5 JUMBOS</title>
        <cusip>21H022689</cusip>
        <identifiers>
          <isin value="US21H0226892"/>
        </identifiers>
        <balance>10150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8541066.460000</valUSD>
        <pctVal>6.18997</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-08-15</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 FM2419 FN 02/50 FIXED VAR</title>
        <cusip>3140X5VM2</cusip>
        <identifiers>
          <isin value="US3140X5VM28"/>
        </identifiers>
        <balance>921721.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>786235.280000</valUSD>
        <pctVal>0.569809</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB</title>
        <cusip>38376RCF1</cusip>
        <identifiers>
          <isin value="US38376RCF10"/>
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        <balance>5884.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5873.140000</valUSD>
        <pctVal>0.0042564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.86732</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04591 FG 06/36 FIXED 5.5</title>
        <cusip>3128M6NG9</cusip>
        <identifiers>
          <isin value="US3128M6NG98"/>
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        <balance>17985.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18081.340000</valUSD>
        <pctVal>0.0131041</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 668910 FN 10/32 FLOATING VAR</title>
        <cusip>31391KDP9</cusip>
        <identifiers>
          <isin value="US31391KDP93"/>
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        <balance>79765.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79398.610000</valUSD>
        <pctVal>0.0575426</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>Floating</couponKind>
          <annualizedRt>6.755</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR</title>
        <cusip>31295MZJ2</cusip>
        <identifiers>
          <isin value="US31295MZJ25"/>
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        <balance>4670.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4644.980000</valUSD>
        <pctVal>0.0033664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>33627.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27021.170000</valUSD>
        <pctVal>0.0195831</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>5.65315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.60000 02/05/24-1Y LCH</title>
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          <other otherDesc="Internal ID" value="SWU021HO3"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-156520.590000</valUSD>
        <pctVal>-0.113435</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU021HO3-USD-SOFR-COMPOUND"/>
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        <debtSec>
          <maturityDt>2036-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR6</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4</title>
        <cusip>39538BAG9</cusip>
        <identifiers>
          <isin value="US39538BAG95"/>
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        <balance>338715.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245819.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2001-HYB1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1</title>
        <cusip>12669B2X9</cusip>
        <identifiers>
          <isin value="US12669B2X97"/>
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        <balance>15784.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14861.460000</valUSD>
        <pctVal>0.0107706</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>6.00914</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5</title>
        <cusip>31329PBB8</cusip>
        <identifiers>
          <isin value="US31329PBB85"/>
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        <balance>299185.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270288.490000</valUSD>
        <pctVal>0.195886</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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMCM MORTGAGE LOAN TRUST 2003-A</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A</title>
        <cusip>268668BU3</cusip>
        <identifiers>
          <isin value="US268668BU33"/>
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        <balance>27114.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26334.540000</valUSD>
        <pctVal>0.0190855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.95971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 931155 FN 05/39 FIXED 4</title>
        <cusip>31412PQG9</cusip>
        <identifiers>
          <isin value="US31412PQG99"/>
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        <balance>257435.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>243048.470000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W9</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2003 W9 A</title>
        <cusip>31393B6U4</cusip>
        <identifiers>
          <isin value="US31393B6U41"/>
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        <balance>8136.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7781.060000</valUSD>
        <pctVal>0.0056392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.56983</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A91812 FG 04/40 FIXED 5</title>
        <cusip>312940AM1</cusip>
        <identifiers>
          <isin value="US312940AM14"/>
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        <balance>12235.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12116.850000</valUSD>
        <pctVal>0.0087815</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>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>3452.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3348.210000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.75000 12/18/24-10Y CME</title>
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        <identifiers>
          <isin value="EZ7K2W20N534"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17139.230000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 820356 FN 02/35 FLOATING VAR</title>
        <cusip>31406UMD7</cusip>
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          <isin value="US31406UMD71"/>
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        <balance>12341.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12583.230000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-J</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1</title>
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          <isin value="US05951EAM93"/>
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        <balance>91177.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76002.120000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 03/01/24-10Y LCH</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4643 FN 05/42 FIXED 3</title>
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          <isin value="US31418EER71"/>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08341 FG 04/39 FIXED 5</title>
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          <isin value="US3128MJLX69"/>
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        <curCd>USD</curCd>
        <valUSD>33758.750000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4324</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4324 IO</title>
        <cusip>3137BAGM8</cusip>
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          <isin value="US3137BAGM86"/>
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        <curCd>USD</curCd>
        <valUSD>888.840000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.50946</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>N/A</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
        <valUSD>402857.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888382 FN 07/35 FLOATING VAR</title>
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          <isin value="US31410F6T70"/>
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        <balance>10199.400000</balance>
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        <curCd>USD</curCd>
        <valUSD>10470.850000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Z40004 FG 08/36 FIXED 6</title>
        <cusip>3132FCAD7</cusip>
        <identifiers>
          <isin value="US3132FCAD74"/>
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        <balance>6707.540000</balance>
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        <curCd>USD</curCd>
        <valUSD>6869.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A95500 FG 12/40 FIXED 5</title>
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          <isin value="US312944DD00"/>
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        <balance>14859.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14656.410000</valUSD>
        <pctVal>0.010622</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-1</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 1 SJ</title>
        <cusip>3136AMLP2</cusip>
        <identifiers>
          <isin value="US3136AMLP27"/>
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        <balance>328291.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203155.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032476</cusip>
        <identifiers>
          <isin value="US01F0324768"/>
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        <balance>500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>472794.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FS</title>
        <cusip>38375BU83</cusip>
        <identifiers>
          <isin value="US38375BU834"/>
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        <balance>580434.830000</balance>
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        <curCd>USD</curCd>
        <valUSD>584450.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.43732</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4276 FN 01/27 FIXED 3</title>
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        <identifiers>
          <isin value="US31417AXE45"/>
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        <balance>62509.140000</balance>
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        <curCd>USD</curCd>
        <valUSD>60828.980000</valUSD>
        <pctVal>0.0440846</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL J17232 FG 11/26 FIXED 3</title>
        <cusip>3128PXA97</cusip>
        <identifiers>
          <isin value="US3128PXA977"/>
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        <balance>42809.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41739.610000</valUSD>
        <pctVal>0.03025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7090 FN 10/37 FLOATING VAR</title>
        <cusip>3138EP2Y9</cusip>
        <identifiers>
          <isin value="US3138EP2Y90"/>
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        <balance>241476.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249284.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.662</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRINITAS CLO XII LTD</name>
        <lei>N/A</lei>
        <title>TRINITAS CLO LTD TRNTS 2020 12A A1R 144A</title>
        <cusip>89641GAN2</cusip>
        <identifiers>
          <isin value="US89641GAN25"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>501559.210000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.69355</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <curCd>USD</curCd>
        <valUSD>152282.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 4836</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4836 PO</title>
        <cusip>3137FJE21</cusip>
        <identifiers>
          <isin value="US3137FJE210"/>
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        <balance>225678.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160309.010000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784445 G2 02/48 FIXED 3.5</title>
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        <identifiers>
          <isin value="US3622A25E80"/>
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        <balance>89758.680000</balance>
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        <curCd>USD</curCd>
        <valUSD>81814.400000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>12975.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>796.960000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1</title>
        <cusip>12669GUM1</cusip>
        <identifiers>
          <isin value="US12669GUM13"/>
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        <balance>221321.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164681.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0606750"/>
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        <balance>6000000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A86255 FG 05/39 FIXED 5</title>
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          <isin value="US3129325Q59"/>
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        <balance>10813.420000</balance>
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        <curCd>USD</curCd>
        <valUSD>10710.910000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>COUNTRYWIDE HOME LOANS 2006-3</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>HARBORVIEW MORTGAGE LOAN TR 2006-1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A</title>
        <cusip>41161PA86</cusip>
        <identifiers>
          <isin value="US41161PA868"/>
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        <curCd>USD</curCd>
        <valUSD>17385.090000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-19</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-54</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 54 SK</title>
        <cusip>3136AEUE5</cusip>
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          <isin value="US3136AEUE52"/>
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        <balance>248780.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>186237.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3621</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3621 WI</title>
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          <isin value="US31398W2S28"/>
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        <balance>10890.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0426811"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL E03003 FG 01/27 FIXED 3</title>
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          <isin value="US31294MKQ32"/>
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        <curCd>USD</curCd>
        <valUSD>77304.650000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UNITED NATIONAL HM LN OWNER TR 1999-1</name>
        <lei>N/A</lei>
        <title>UNITED NATIONAL HOME LOAN OWNE UNHOT 1999 1 M2</title>
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          <isin value="US91103PAC32"/>
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        <curCd>USD</curCd>
        <valUSD>3479.880000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FANNIEMAIE WHOLE LOAN 2002-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1</title>
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          <isin value="US31392CEQ33"/>
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        <balance>35512.800000</balance>
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        <curCd>USD</curCd>
        <valUSD>34779.670000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B2432 FH 09/35 FLOATING VAR</title>
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        <identifiers>
          <isin value="US3128JMSW89"/>
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        <balance>37894.280000</balance>
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        <curCd>USD</curCd>
        <valUSD>38060.750000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0093 G2 05/42 FIXED 6</title>
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          <isin value="US36179MC654"/>
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        <balance>23396.520000</balance>
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        <curCd>USD</curCd>
        <valUSD>24258.780000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-50</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 50 SB</title>
        <cusip>3136APNG3</cusip>
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          <isin value="US3136APNG31"/>
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        <balance>173889.140000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4068</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4068 UF</title>
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          <isin value="US3137ARPN03"/>
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        <balance>163396.970000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809593 FN 02/35 FLOATING VAR</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12</name>
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        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C</title>
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          <isin value="US23243AAC09"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928223 FN 04/37 FIXED 6.5</title>
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          <isin value="US31412LG871"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31407WSB09"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>N/A</name>
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        <title>RFR USD SOFR/3.01250 04/09/24-7Y LCH</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>1119633.580000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698386 GN 07/39 FIXED 4.5</title>
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          <isin value="US36296Q2T53"/>
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        <balance>30768.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29987.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 MONTH SOFR FUT  JUN24 XCME 20240917</title>
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          <ticker value="SFRM4"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <payOffProf>Long</payOffProf>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5166 FR 07/42 FIXED 3</title>
        <cusip>3133KYW39</cusip>
        <identifiers>
          <isin value="US3133KYW392"/>
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        <curCd>USD</curCd>
        <valUSD>147442.340000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE9251 FN 11/40 FIXED 4</title>
        <cusip>31419LH55</cusip>
        <identifiers>
          <isin value="US31419LH551"/>
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        <balance>44791.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42286.400000</valUSD>
        <pctVal>0.0306463</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>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG5039 FR 06/53 FIXED 5</title>
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        <identifiers>
          <isin value="US3133C5S440"/>
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        <balance>387102.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>378053.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM2333 FN 02/50 FIXED VAR</title>
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          <isin value="US3140X5SX20"/>
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        <curCd>USD</curCd>
        <valUSD>40957.200000</valUSD>
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        <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>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT8451 FN 06/28 FIXED 2.5</title>
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          <isin value="US3138WWL989"/>
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        <curCd>USD</curCd>
        <valUSD>37591.310000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL G18644 FG 05/32 FIXED 3</title>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-NC5</name>
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        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP</title>
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        <curCd>USD</curCd>
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        <debtSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 981444 FN 09/38 FIXED 6</title>
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          <isin value="US31415AZH75"/>
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        <balance>14629.730000</balance>
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        <curCd>USD</curCd>
        <valUSD>14760.850000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A</name>
        <lei>N/A</lei>
        <title>LA HIPOTECARIA SA LHIPO 2014 1A A1 144A</title>
        <cusip>50346EAA5</cusip>
        <identifiers>
          <isin value="US50346EAA55"/>
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        <balance>468092.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>440798.050000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.508</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F012676</cusip>
        <identifiers>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>671273.440000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5</title>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA4555 FN 08/24 FIXED 5.5</title>
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          <isin value="US31416NBZ42"/>
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        <balance>23.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23.650000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </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"/>
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        <balance>187070.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154630.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA2997 FN 05/32 FIXED 3</title>
        <cusip>31418CKK9</cusip>
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          <isin value="US31418CKK98"/>
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        <balance>79328.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74909.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>353899.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>293681.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 675733 G2 07/47 FIXED 3.5</title>
        <cusip>36295NV20</cusip>
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          <isin value="US36295NV201"/>
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        <balance>57878.420000</balance>
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        <curCd>USD</curCd>
        <valUSD>52714.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AZ1638 GN 02/47 FIXED 4</title>
        <cusip>36197DZB7</cusip>
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          <isin value="US36197DZB71"/>
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        <balance>101726.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94967.870000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ</title>
        <cusip>38383KMM1</cusip>
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          <isin value="US38383KMM17"/>
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        <curCd>USD</curCd>
        <valUSD>1512743.330000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2073-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.333</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA1988 FN 07/48 FIXED 4.5</title>
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          <isin value="US3140Q9F659"/>
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        <balance>152189.940000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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>
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          <isin value="US31371PA832"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>HSI ASSET SECUR CORP TRUST 2007-HE1</name>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 12/20/23-10Y CME</title>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.18000 11/08/23-7Y LCH</title>
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            <swapFlag>Y</swapFlag>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP</title>
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          <isin value="US38378MAC91"/>
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        <balance>219976.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24017.810000</valUSD>
        <pctVal>0.0174064</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q34007 FG 06/45 FIXED 3</title>
        <cusip>3132QQNZ1</cusip>
        <identifiers>
          <isin value="US3132QQNZ17"/>
        </identifiers>
        <balance>60044.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52634.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>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 678006 FN 10/32 FIXED 6</title>
        <cusip>31391VGP2</cusip>
        <identifiers>
          <isin value="US31391VGP22"/>
        </identifiers>
        <balance>5374.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5503.000000</valUSD>
        <pctVal>0.0039882</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>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"/>
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        <balance>10994.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10330.380000</valUSD>
        <pctVal>0.0074867</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>6.14332</annualizedRt>
          <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>01F040479</cusip>
        <identifiers>
          <isin value="US01F0404792"/>
        </identifiers>
        <balance>-1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1153890.660000</valUSD>
        <pctVal>-0.83626</pctVal>
        <payoffProfile>Short</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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANGEL OAK MORTGAGE TRUST 2024-2</name>
        <lei>N/A</lei>
        <title>ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A</title>
        <cusip>034942AA0</cusip>
        <identifiers>
          <isin value="US034942AA08"/>
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        <balance>474833.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>472959.150000</valUSD>
        <pctVal>0.342768</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.985</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8176 FN 04/33 FIXED 4.385</title>
        <cusip>3140LKCN1</cusip>
        <identifiers>
          <isin value="US3140LKCN15"/>
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        <balance>166000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161453.530000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.385</annualizedRt>
          <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"/>
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        <balance>660.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221.950000</valUSD>
        <pctVal>0.0001609</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>6.15971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AR5201 FN 11/28 FIXED 2</title>
        <cusip>3138W2X75</cusip>
        <identifiers>
          <isin value="US3138W2X752"/>
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        <balance>5001.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4686.490000</valUSD>
        <pctVal>0.0033964</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>2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U5SRA5 PIMCO SWAPTION 5.5 PUT USD 20251022</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP003BT43"/>
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        <balance>2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1824.800000</valUSD>
        <pctVal>0.0013225</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <isin value="EZLY4D0ML888"/>
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                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <invCountry>US</invCountry>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <expDt>2025-10-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1875.200000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0606834"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BQ7186 GN 10/49 FIXED 3.5</title>
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          <isin value="US3617LR6X83"/>
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        <balance>641401.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>577709.110000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TRUST 2006-AR5</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2</title>
        <cusip>39538AAJ5</cusip>
        <identifiers>
          <isin value="US39538AAJ51"/>
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        <balance>119487.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107532.070000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.85971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRIPS 345</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 345 C13</title>
        <cusip>31325VRC0</cusip>
        <identifiers>
          <isin value="US31325VRC09"/>
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        <balance>222306.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34542.980000</valUSD>
        <pctVal>0.0250344</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U5SQA6 PIMCO SWAPTION 6.0 PUT USD 20251022</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP003BT50"/>
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        <balance>2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7121.400000</valUSD>
        <pctVal>0.0051611</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/6.00000 10/24/25-10Y LCH</title>
                    <cusip>000000000</cusip>
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                      <isin value="EZ5N262GCSD6"/>
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                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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        <name>FNMA PASS THRU POOLS</name>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE8055 FN 04/47 FIXED 4</title>
        <cusip>3140FT5R8</cusip>
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          <isin value="US3140FT5R83"/>
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        <balance>3355.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3125.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2</name>
        <lei>N/A</lei>
        <title>PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A</title>
        <cusip>74143FAA7</cusip>
        <identifiers>
          <isin value="US74143FAA75"/>
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        <balance>1930415.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1882398.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.7436</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS7386 FN 12/29 FIXED 4.77</title>
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        <identifiers>
          <isin value="US3140LJF433"/>
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        <balance>89867.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89288.660000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.77</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2059 FN 06/42 FIXED VAR</title>
        <cusip>3138EJJD1</cusip>
        <identifiers>
          <isin value="US3138EJJD16"/>
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        <balance>64527.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61097.160000</valUSD>
        <pctVal>0.044279</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>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNRT-3A</name>
        <lei>N/A</lei>
        <title>GENERATE CLO LTD. GNRT 3A A2R 144A</title>
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          <isin value="US98625UBC53"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>501243.760000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.15456</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H01 FB</title>
        <cusip>38383KNN8</cusip>
        <identifiers>
          <isin value="US38383KNN80"/>
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        <balance>1010656.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1014467.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2074-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.233</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANCHORAGE CAPITAL CLO 28 LTD</name>
        <lei>N/A</lei>
        <title>ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A</title>
        <cusip>03330RAA3</cusip>
        <identifiers>
          <isin value="US03330RAA32"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>401493.480000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.98462</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL J17826 FG 01/27 FIXED 3</title>
        <cusip>3128PXVT0</cusip>
        <identifiers>
          <isin value="US3128PXVT05"/>
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        <balance>44099.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42939.680000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3703 FN 05/49 FIXED 3</title>
        <cusip>31418DDH2</cusip>
        <identifiers>
          <isin value="US31418DDH26"/>
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        <balance>327672.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277699.960000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS2580 FN 06/29 FIXED 3</title>
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          <isin value="US3138WB2N46"/>
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        <curCd>USD</curCd>
        <valUSD>109096.260000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 2A1</title>
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          <isin value="US81743VAB99"/>
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        <curCd>USD</curCd>
        <valUSD>1453.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.21315</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 10/24 0.125</title>
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          <isin value="US912828YL86"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0102 FN 06/56 FIXED 3.5</title>
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          <isin value="US3140FXDG40"/>
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        <curCd>USD</curCd>
        <valUSD>22947.300000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0167 FN 02/57 FIXED 3</title>
        <cusip>3140FXFH0</cusip>
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          <isin value="US3140FXFH05"/>
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        <curCd>USD</curCd>
        <valUSD>228744.490000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0326821"/>
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        <curCd>USD</curCd>
        <valUSD>-14342062.500000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U62HA2 PIMCO SWAPTION 4.483 PUT USD 2024112</title>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>11830.750000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <putOrCall>Put</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/4.48300 11/27/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZL3Q4XD01N6"/>
                    </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/4.48300 11/27/24-7Y LCH</issueTitle>
                      <identifiers>
                        <isin value="EZL3Q4XD01N6"/>
                      </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="4.483000"/>
                  <terminationDt>2031-11-27</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>4.480000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-11-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3981.750000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <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>28826.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2274.170000</valUSD>
        <pctVal>0.0016482</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>0.613928</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 933161 FN 11/37 FIXED 6.5</title>
        <cusip>31412SFA8</cusip>
        <identifiers>
          <isin value="US31412SFA87"/>
        </identifiers>
        <balance>11378.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11695.220000</valUSD>
        <pctVal>0.0084759</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A65518 FG 09/37 FIXED 6</title>
        <cusip>3128KWDX8</cusip>
        <identifiers>
          <isin value="US3128KWDX80"/>
        </identifiers>
        <balance>3510.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3595.520000</valUSD>
        <pctVal>0.0026058</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>COUNTRYWIDE HOME LOANS 2004-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B</title>
        <cusip>12669FY31</cusip>
        <identifiers>
          <isin value="US12669FY312"/>
        </identifiers>
        <balance>42864.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35187.350000</valUSD>
        <pctVal>0.0255014</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>6.37971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3090 FN 08/32 FIXED 3</title>
        <cusip>31418CNG5</cusip>
        <identifiers>
          <isin value="US31418CNG59"/>
        </identifiers>
        <balance>68050.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64274.030000</valUSD>
        <pctVal>0.0465814</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>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>47068.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47319.590000</valUSD>
        <pctVal>0.034294</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 BH9315 FN 09/47 FIXED 3.5</title>
        <cusip>3140GYK57</cusip>
        <identifiers>
          <isin value="US3140GYK572"/>
        </identifiers>
        <balance>64138.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58325.870000</valUSD>
        <pctVal>0.0422706</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 BS8227 FN 06/33 FIXED 4.59</title>
        <cusip>3140LKD91</cusip>
        <identifiers>
          <isin value="US3140LKD915"/>
        </identifiers>
        <balance>335000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>330616.930000</valUSD>
        <pctVal>0.239608</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>4.59</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783532 GN 02/42 FIXED 3.5</title>
        <cusip>36241L4R4</cusip>
        <identifiers>
          <isin value="US36241L4R43"/>
        </identifiers>
        <balance>2867.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2646.950000</valUSD>
        <pctVal>0.0019183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>12798.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12292.990000</valUSD>
        <pctVal>0.0089091</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 II POOL MA1447 G2 11/43 FIXED 3</title>
        <cusip>36179NTC2</cusip>
        <identifiers>
          <isin value="US36179NTC29"/>
        </identifiers>
        <balance>84822.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75434.540000</valUSD>
        <pctVal>0.0546697</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>COUNTRYWIDE ASSET BACKED CERTS 2006-20</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A</title>
        <cusip>12667HAA9</cusip>
        <identifiers>
          <isin value="US12667HAA95"/>
        </identifiers>
        <balance>72151.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69192.930000</valUSD>
        <pctVal>0.0501463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73971</annualizedRt>
          <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>317U5WIA6 PIMCO SWAPTION 5.5 PUT USD 20251103</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP003CJC4"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1777.260000</valUSD>
        <pctVal>0.001288</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">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.50000 11/05/25-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZMXRC3SBBQ7"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/5.50000 11/05/25-1Y LCH</issueTitle>
                      <identifiers>
                        <isin value="EZMXRC3SBBQ7"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.500000"/>
                  <terminationDt>2026-11-05</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>5.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-11-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1433.740000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
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      <invstOrSec>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US3140FXM903"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-10</name>
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        <title>FANNIE MAE FNR 2015 10 SA</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-5</name>
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        <title>FANNIE MAE FNR 2013 5 EZ</title>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4572</name>
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        <title>FREDDIE MAC FHR 4572 NI</title>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5</title>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>HOME EQUITY PASS-THRU CERTS 2002-1</name>
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        <title>HOME EQUITY ASSET TRUST HEAT 2002 1 A4</title>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL 735355 FN 02/35 FLOATING VAR</title>
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        <name>FANNIE MAE REMICS 2016-52</name>
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        <title>FANNIE MAE FNR 2016 52 PI</title>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE5659 G2 04/48 FIXED 4</title>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5</title>
        <cusip>3132A9UB1</cusip>
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          <isin value="US3132A9UB15"/>
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        <curCd>USD</curCd>
        <valUSD>370568.460000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB3534 G2 08/47 FIXED 3.5</title>
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        <curCd>USD</curCd>
        <valUSD>17053.100000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.56900 07/10/23-7Y LCH</title>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AEGIS ASSET BACKED SEC TR 2005-1</name>
        <lei>N/A</lei>
        <title>AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4</title>
        <cusip>00764MEN3</cusip>
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          <isin value="US00764MEN39"/>
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        <balance>209994.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202189.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15971</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ARES XXXIV CLO LTD 2015-2A</name>
        <lei>N/A</lei>
        <title>ARES CLO LTD ARES 2015 2A AR3 144A</title>
        <cusip>04015GAX7</cusip>
        <identifiers>
          <isin value="US04015GAX79"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>501342.360000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.71000 03/12/24-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU022LJ7"/>
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        <units>NC</units>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008663 G2 07/25 FLOATING VAR</title>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5764 G2 02/49 FIXED 4.5</title>
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          <isin value="US36179UMM17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114449.320000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H27 FA</title>
        <cusip>38376RHR0</cusip>
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        <curCd>USD</curCd>
        <valUSD>400920.930000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-11</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 11 PL</title>
        <cusip>3136AJGR1</cusip>
        <identifiers>
          <isin value="US3136AJGR19"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH2718 FN 05/47 FIXED 4</title>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
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          <isin value="US36179RVB22"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31405KNA50"/>
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        <balance>17849.470000</balance>
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        <curCd>USD</curCd>
        <valUSD>18069.670000</valUSD>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR</title>
        <cusip>31349TD40</cusip>
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          <isin value="US31349TD404"/>
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        <balance>73766.100000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM0076 FN 03/50 FIXED VAR</title>
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          <isin value="US3140X3CN63"/>
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        <balance>3072768.470000</balance>
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        <curCd>USD</curCd>
        <valUSD>2654320.700000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 810061 FN 03/35 FLOATING VAR</title>
        <cusip>31406G5W5</cusip>
        <identifiers>
          <isin value="US31406G5W56"/>
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        <balance>3069.790000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.998</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>82248.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3588.580000</valUSD>
        <pctVal>0.0026008</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>0.526029</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008945 G2 08/26 FLOATING VAR</title>
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          <isin value="US36202K5E17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290.040000</valUSD>
        <pctVal>0.0002102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>81918.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82355.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A90393 FG 12/39 FIXED 5</title>
        <cusip>312938NJ8</cusip>
        <identifiers>
          <isin value="US312938NJ83"/>
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        <balance>16401.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16246.280000</valUSD>
        <pctVal>0.0117742</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB9690 G2 09/47 FIXED 3.5</title>
        <cusip>3617B1XT5</cusip>
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          <isin value="US3617B1XT59"/>
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        <balance>99706.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90808.100000</valUSD>
        <pctVal>0.0658114</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL8166 FN 02/46 FIXED VAR</title>
        <cusip>3138ETCC8</cusip>
        <identifiers>
          <isin value="US3138ETCC87"/>
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        <balance>1031292.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>937822.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C04444 FG 01/43 FIXED 3</title>
        <cusip>31292L5D3</cusip>
        <identifiers>
          <isin value="US31292L5D38"/>
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        <balance>37224.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32889.500000</valUSD>
        <pctVal>0.023836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020687</cusip>
        <identifiers>
          <isin value="US01F0206874"/>
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        <balance>27200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21297812.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4463</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4463 IO</title>
        <cusip>3137BHGF8</cusip>
        <identifiers>
          <isin value="US3137BHGF88"/>
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        <balance>21850.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1393.910000</valUSD>
        <pctVal>0.0010102</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>0.556186</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD</title>
        <cusip>38380QHX3</cusip>
        <identifiers>
          <isin value="US38380QHX34"/>
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        <balance>732879.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>745346.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.48732</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA2950 FN 12/46 FIXED 2.5</title>
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        <identifiers>
          <isin value="US31418CH495"/>
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        <balance>69242.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58380.350000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI8187 FN 08/41 FIXED 4.5</title>
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          <isin value="US3138ANCZ49"/>
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        <curCd>USD</curCd>
        <valUSD>43812.480000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA5353 FN 03/50 FIXED 3.5</title>
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          <isin value="US3140QC5P70"/>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BU4013 FN 05/43 FIXED 4.5</title>
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          <isin value="US3140M5N762"/>
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        <balance>493328.610000</balance>
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        <curCd>USD</curCd>
        <valUSD>475122.630000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GOVERNMENT NATL MTGE ASSOC 2011-H08</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H08 FG</title>
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          <isin value="US38375BLC45"/>
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        <curCd>USD</curCd>
        <valUSD>10916.770000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU2890 FN 08/28 FIXED 2.5</title>
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          <isin value="US3138X2F824"/>
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        <balance>59374.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56738.150000</valUSD>
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        <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>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>1911.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1690.790000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH2185 FN 06/47 FIXED 4</title>
        <cusip>3140GQNB8</cusip>
        <identifiers>
          <isin value="US3140GQNB82"/>
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        <balance>2281.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2126.560000</valUSD>
        <pctVal>0.0015412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM8642 FN 09/51 FIXED VAR</title>
        <cusip>3140XCS82</cusip>
        <identifiers>
          <isin value="US3140XCS824"/>
        </identifiers>
        <balance>399772.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>330745.030000</valUSD>
        <pctVal>0.239701</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <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 SEP24 XCBT 20240919</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNU4"/>
        </identifiers>
        <balance>-8.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-262.560000</valUSD>
        <pctVal>-0.0001903</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="ADI2N2L55-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-09-19</expDate>
            <notionalAmt>-996375.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-262.560000</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 C91116 FG 11/27 FIXED 6</title>
        <cusip>3128P7GZ0</cusip>
        <identifiers>
          <isin value="US3128P7GZ05"/>
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        <balance>4881.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4901.790000</valUSD>
        <pctVal>0.0035525</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>FANNIE MAE REMICS 2015-81</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 81 MZ</title>
        <cusip>3136AQPQ7</cusip>
        <identifiers>
          <isin value="US3136AQPQ77"/>
        </identifiers>
        <balance>318044.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232723.010000</valUSD>
        <pctVal>0.168661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</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 FM3229 FN 02/47 FIXED VAR</title>
        <cusip>3140X6ST9</cusip>
        <identifiers>
          <isin value="US3140X6ST90"/>
        </identifiers>
        <balance>736464.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>670338.520000</valUSD>
        <pctVal>0.485815</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>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>385251.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>316486.110000</valUSD>
        <pctVal>0.229367</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>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>757533.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>769928.170000</valUSD>
        <pctVal>0.557991</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>5.79254</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A85470 FG 04/39 FIXED 4.5</title>
        <cusip>312932CF1</cusip>
        <identifiers>
          <isin value="US312932CF11"/>
        </identifiers>
        <balance>100120.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97418.200000</valUSD>
        <pctVal>0.070602</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 781288 GN 05/31 FIXED 6.5</title>
        <cusip>36225BND6</cusip>
        <identifiers>
          <isin value="US36225BND63"/>
        </identifiers>
        <balance>238.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245.870000</valUSD>
        <pctVal>0.0001782</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>N/A</name>
        <lei>N/A</lei>
        <title>31750O9P1 OTC EPUT FN 6.0 AUG24 98.515625 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH87315"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1239.400000</valUSD>
        <pctVal>0.0008982</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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606834"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.520000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-08-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2823.100000</unrealizedAppr>
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        </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 784010 GN 03/45 FIXED 4</title>
        <cusip>3622A2N32</cusip>
        <identifiers>
          <isin value="US3622A2N323"/>
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        <balance>133486.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128912.330000</valUSD>
        <pctVal>0.0934267</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU6030 FN 09/33 FIXED 4.5</title>
        <cusip>3138X5VY0</cusip>
        <identifiers>
          <isin value="US3138X5VY02"/>
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        <balance>194751.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190129.170000</valUSD>
        <pctVal>0.137793</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 TA</title>
        <cusip>38375B8J4</cusip>
        <identifiers>
          <isin value="US38375B8J44"/>
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        <balance>67897.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68010.430000</valUSD>
        <pctVal>0.0492893</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.15732</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4394</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4394 WI</title>
        <cusip>3137BEV43</cusip>
        <identifiers>
          <isin value="US3137BEV438"/>
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        <balance>11301.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>756.460000</valUSD>
        <pctVal>0.0005482</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>0.486993</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750OJW5 OTC ECAL FN 5.0 AUG24 98.59375 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH98106"/>
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        <balance>-3000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3882.600000</valUSD>
        <pctVal>-0.0028138</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>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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      <invstOrSec>
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        <curCd>USD</curCd>
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      <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"/>
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        <balance>1266310.240000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3617ALZA19"/>
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        <balance>31980.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29930.060000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM4862 FN 11/50 FIXED VAR</title>
        <cusip>3140X8ML8</cusip>
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          <isin value="US3140X8ML84"/>
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        <balance>269054.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220587.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </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>
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          <isin value="US3128LXFG04"/>
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        <balance>281.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>284.460000</valUSD>
        <pctVal>0.0002062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-79</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 79 PS</title>
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          <isin value="US3136ALF489"/>
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        <balance>212162.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16318.640000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BC4840 G2 09/47 FIXED 3.5</title>
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          <isin value="US3617B8LV86"/>
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        <balance>12012.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10956.780000</valUSD>
        <pctVal>0.0079407</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHEVY CHASE MTGE FUNDING CORP 2004-1A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A</title>
        <cusip>16678RAS6</cusip>
        <identifiers>
          <isin value="US16678RAS67"/>
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        <balance>3622.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3376.030000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA</title>
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        <curCd>USD</curCd>
        <valUSD>1719.930000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4014 FN 06/53 FIXED 5</title>
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          <isin value="US3140NLN884"/>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL QF8295 FR 03/53 FIXED 4.5</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FREDDIE MAC 2248</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2248 FB</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G30462 FG 08/26 FIXED 6</title>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 775852 FN 03/44 FLOATING VAR</title>
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          <isin value="US31404Q5M78"/>
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        <balance>70153.510000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA5646 FR 07/51 FIXED 3</title>
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        <balance>1470912.610000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR19</name>
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          <isin value="US92925CBL54"/>
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        <curCd>USD</curCd>
        <valUSD>212495.440000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4091</name>
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          <isin value="US3137ATGL04"/>
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        <balance>117897.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86112.320000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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        <name>MASTR ALT LN TR 2006-2</name>
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        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1</title>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS 4150</name>
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          <couponKind>Floating</couponKind>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>FANNIE MAE REMICS 2014-47</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>FANNIE MAE 2006-118</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 118 A2</title>
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        <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>5.49822</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>79592.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74133.660000</valUSD>
        <pctVal>0.053727</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA2151 G2 08/44 FIXED 5</title>
        <cusip>36179QL82</cusip>
        <identifiers>
          <isin value="US36179QL821"/>
        </identifiers>
        <balance>64017.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64019.100000</valUSD>
        <pctVal>0.0463966</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-08-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A36345 FG 08/35 FIXED 5</title>
        <cusip>31297SBN4</cusip>
        <identifiers>
          <isin value="US31297SBN45"/>
        </identifiers>
        <balance>11845.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11707.810000</valUSD>
        <pctVal>0.008485</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F062671</cusip>
        <identifiers>
          <isin value="US01F0626717"/>
        </identifiers>
        <balance>-3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3053671.890000</valUSD>
        <pctVal>-2.21309</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-07-15</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 BF2211 G2 02/48 FIXED 3.5</title>
        <cusip>3617G8N41</cusip>
        <identifiers>
          <isin value="US3617G8N412"/>
        </identifiers>
        <balance>20788.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18948.080000</valUSD>
        <pctVal>0.0137323</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030470</cusip>
        <identifiers>
          <isin value="US01F0304703"/>
        </identifiers>
        <balance>-500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-462583.170000</valUSD>
        <pctVal>-0.335248</pctVal>
        <payoffProfile>Short</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>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 665366 FN 08/27 FLOATING VAR</title>
        <cusip>31391FFF0</cusip>
        <identifiers>
          <isin value="US31391FFF09"/>
        </identifiers>
        <balance>5390.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5380.950000</valUSD>
        <pctVal>0.0038997</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>6.765</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>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>5406.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5412.850000</valUSD>
        <pctVal>0.0039229</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>6.446</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>70867.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70947.960000</valUSD>
        <pctVal>0.0514182</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>FANNIE MAE REMICS 2015-64</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 64 MZ</title>
        <cusip>3136AP5V0</cusip>
        <identifiers>
          <isin value="US3136AP5V01"/>
        </identifiers>
        <balance>559611.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>398730.160000</valUSD>
        <pctVal>0.288972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>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 2018-37</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2018 37 BC</title>
        <cusip>3136B17E8</cusip>
        <identifiers>
          <isin value="US3136B17E88"/>
        </identifiers>
        <balance>14203.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13044.810000</valUSD>
        <pctVal>0.009454</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-25</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>N/A</name>
        <lei>N/A</lei>
        <title>31750O9Q9 OTC EPUT FN 6.0 AUG24 98.507813 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH87265"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>614.100000</valUSD>
        <pctVal>0.0004451</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>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606834"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.510000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-08-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1378.090000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZT1858 FR 04/49 FIXED 4.5</title>
        <cusip>3132AEB39</cusip>
        <identifiers>
          <isin value="US3132AEB391"/>
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        <balance>431873.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414329.080000</valUSD>
        <pctVal>0.300277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A34704 FG 05/35 FIXED 5.5</title>
        <cusip>31297QGM5</cusip>
        <identifiers>
          <isin value="US31297QGM50"/>
        </identifiers>
        <balance>14568.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14720.440000</valUSD>
        <pctVal>0.0106684</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>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>173533.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165281.130000</valUSD>
        <pctVal>0.119784</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 814952 FN 04/35 FLOATING VAR</title>
        <cusip>31406NL93</cusip>
        <identifiers>
          <isin value="US31406NL937"/>
        </identifiers>
        <balance>12188.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12276.930000</valUSD>
        <pctVal>0.0088975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ6054 FN 12/26 FIXED 3</title>
        <cusip>3138AXWQ0</cusip>
        <identifiers>
          <isin value="US3138AXWQ02"/>
        </identifiers>
        <balance>19478.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18955.210000</valUSD>
        <pctVal>0.0137374</pctVal>
        <payoffProfile>Long</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZT0789 FR 10/48 FIXED 4</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE 1998-22</name>
        <lei>N/A</lei>
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        <cusip>31359RY63</cusip>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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            <shareNo>N/A</shareNo>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-3</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.13500 10/10/23-7Y LCH</title>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QF9345 FR 03/53 FIXED 5</title>
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          <isin value="US3133BXL255"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2024-10</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2024 10 AF</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>PIMCO FUNDS</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-42</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 42 SA</title>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL8092 FN 07/42 FIXED VAR</title>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                    <curCd>USD</curCd>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-2258.480000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0306864"/>
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        <balance>-6355000.000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 01/25 2.375</title>
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          <isin value="US912810FR42"/>
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        <balance>498960.000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ4522 FN 10/26 FIXED 3</title>
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          <isin value="US3138AWAY90"/>
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        <balance>10397.340000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02681 FG 02/37 FIXED 6</title>
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          <isin value="US3128M4J207"/>
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        <balance>1465.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1501.320000</valUSD>
        <pctVal>0.0010881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH86036"/>
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        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>7349.900000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140H6HW26"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4462</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4462 KG</title>
        <cusip>3137BHJA6</cusip>
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          <isin value="US3137BHJA64"/>
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        <balance>137433.190000</balance>
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        <curCd>USD</curCd>
        <valUSD>123625.170000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555640 FN 07/33 FIXED VAR</title>
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          <isin value="US31385XHR17"/>
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        <balance>195.670000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS0900 FN 07/43 FIXED VAR</title>
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          <isin value="US3140XGAA71"/>
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        <balance>1399455.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1284391.760000</valUSD>
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        <name>FREDDIE MAC REMICS 4398</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>INDYMAC INDX MORTGAGE LOAN TR 2006-AR6</name>
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        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A</title>
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      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP TRUST 2018-TWR</name>
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        <title>GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A</title>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>APEX CREDIT CLO 2024-1A LTD</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FREDDIE MAC STRIPS 330</name>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>2914.920000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2006-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 63 FD</title>
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        <identifiers>
          <isin value="US31395NQL46"/>
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        <balance>173735.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172790.910000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.89983</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR10</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C</title>
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        <identifiers>
          <isin value="US92922FWV65"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29749.750000</valUSD>
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        <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>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5</title>
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        <identifiers>
          <isin value="US3128MJJT85"/>
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        <balance>23247.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23371.550000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0204895"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3138WBQQ18"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </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"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 3 JUMBOS</title>
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          <isin value="US21H0306827"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL CA3718 FN 06/49 FIXED 4</title>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL CB6893 FN 08/53 FIXED 4.5</title>
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          <isin value="US3140QSUT63"/>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2004-11</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 11 A</title>
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          <isin value="US31393T7H31"/>
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        <balance>26064.080000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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        <name>GOVERNMENT NATIONAL MTGE ASSOC 2005-58</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-58</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 58 AI</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>199603.800000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD7518 FR 06/50 FIXED 3</title>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4361</name>
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        <curCd>USD</curCd>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180</name>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FREDDIE MAC-3325</name>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>11600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>465178.600000</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 691304 FN 11/37 FIXED 6.5</title>
        <cusip>31400MAD4</cusip>
        <identifiers>
          <isin value="US31400MAD48"/>
        </identifiers>
        <balance>18453.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18899.990000</valUSD>
        <pctVal>0.0136974</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 CA1360 FN 03/48 FIXED 3.5</title>
        <cusip>3140Q8QN8</cusip>
        <identifiers>
          <isin value="US3140Q8QN82"/>
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        <balance>307896.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>276009.670000</valUSD>
        <pctVal>0.200033</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA5273 FN 02/54 FIXED 6.5</title>
        <cusip>31418E2F6</cusip>
        <identifiers>
          <isin value="US31418E2F68"/>
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        <balance>514264.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>523672.170000</valUSD>
        <pctVal>0.379521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-02-01</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>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"/>
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        <balance>64604.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2298.550000</valUSD>
        <pctVal>0.0016658</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>SYCAMORE TREE CLO 2023-2A LTD</name>
        <lei>N/A</lei>
        <title>SYCAMORE TREE CLO LTD STCP 2023 2A AR 144A</title>
        <cusip>87122CAJ2</cusip>
        <identifiers>
          <isin value="US87122CAJ27"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>301260.060000</valUSD>
        <pctVal>0.218333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.00456</annualizedRt>
          <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 YB</title>
        <cusip>3136AKTW3</cusip>
        <identifiers>
          <isin value="US3136AKTW30"/>
        </identifiers>
        <balance>1436000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1284716.970000</valUSD>
        <pctVal>0.931074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4843 FN 02/48 FIXED 4</title>
        <cusip>3140H6LZ0</cusip>
        <identifiers>
          <isin value="US3140H6LZ01"/>
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        <balance>11940.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11100.230000</valUSD>
        <pctVal>0.0080447</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>N/A</name>
        <lei>N/A</lei>
        <title>31750O9S5 OTC EPUT FN 6.0 AUG24 98.65625 PUT</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH87323"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1457.000000</valUSD>
        <pctVal>0.0010559</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>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0606834"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>98.660000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-08-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2605.500000</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 QG8338 FR 08/53 FIXED 5</title>
        <cusip>3133C9HP1</cusip>
        <identifiers>
          <isin value="US3133C9HP10"/>
        </identifiers>
        <balance>97096.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94269.150000</valUSD>
        <pctVal>0.0683198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>54836.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51922.130000</valUSD>
        <pctVal>0.0376296</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4049 FN 12/41 FIXED 4</title>
        <cusip>31417AQB8</cusip>
        <identifiers>
          <isin value="US31417AQB88"/>
        </identifiers>
        <balance>171021.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161700.460000</valUSD>
        <pctVal>0.117189</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</annualizedRt>
          <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>64236.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48795.100000</valUSD>
        <pctVal>0.0353633</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>5.99971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL4287 FN 11/40 FIXED VAR</title>
        <cusip>3138ELXR9</cusip>
        <identifiers>
          <isin value="US3138ELXR91"/>
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        <balance>88811.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90844.510000</valUSD>
        <pctVal>0.0658378</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL5548 FN 05/38 FLOATING VAR</title>
        <cusip>3138ENEW5</cusip>
        <identifiers>
          <isin value="US3138ENEW53"/>
        </identifiers>
        <balance>171611.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176523.780000</valUSD>
        <pctVal>0.127932</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>Floating</couponKind>
          <annualizedRt>6.567</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>19491.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16877.110000</valUSD>
        <pctVal>0.0122314</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>6.03315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 810896 FN 01/35 FLOATING VAR</title>
        <cusip>31406H3D7</cusip>
        <identifiers>
          <isin value="US31406H3D75"/>
        </identifiers>
        <balance>23045.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23362.920000</valUSD>
        <pctVal>0.0169318</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>7.164</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ9921 FN 03/48 FIXED 4</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>MFA 2020-NQM2 TRUST</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127</name>
        <lei>N/A</lei>
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        <cusip>38379MX90</cusip>
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          <isin value="US38379MX902"/>
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        <curCd>USD</curCd>
        <valUSD>1629.830000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG7748 FR 08/53 FIXED 5</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1</name>
        <lei>N/A</lei>
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          <isin value="US64828XAA19"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>2.75</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-77</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 77 IO</title>
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        <fairValLevel>2</fairValLevel>
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        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FANNIE MAE 2006-5</name>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77</name>
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        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 77 EZ</title>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.74000 07/10/23-7Y LCH</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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            <notionalAmt>350000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-10009.450000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG4684 FR 06/53 FIXED 5</title>
        <cusip>3133C5FZ9</cusip>
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          <isin value="US3133C5FZ97"/>
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        <balance>757685.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>740449.110000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 01/25 0.25</title>
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          <isin value="US912828H458"/>
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        <balance>3970890.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3888962.880000</valUSD>
        <pctVal>2.81845</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG2157 FR 05/53 FIXED 5</title>
        <cusip>3133C2ME5</cusip>
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          <isin value="US3133C2ME54"/>
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        <balance>757752.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>738492.030000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>73542.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71006.620000</valUSD>
        <pctVal>0.0514607</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/24 0.00000</title>
        <cusip>912797KR7</cusip>
        <identifiers>
          <isin value="US912797KR75"/>
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        <balance>17000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16928.170000</valUSD>
        <pctVal>0.0122684</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-30</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>FREDDIE MAC 2395</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2395 FT</title>
        <cusip>31339LMA5</cusip>
        <identifiers>
          <isin value="US31339LMA51"/>
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        <balance>20648.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20583.860000</valUSD>
        <pctVal>0.0149178</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>5.89751</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AA6089 GN 02/43 FIXED 3</title>
        <cusip>36178DXS5</cusip>
        <identifiers>
          <isin value="US36178DXS51"/>
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        <balance>1006802.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899414.910000</valUSD>
        <pctVal>0.651834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-15</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>GOVERNMENT NATL MTGE ASSOC 2015-159</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE</title>
        <cusip>38379FWQ8</cusip>
        <identifiers>
          <isin value="US38379FWQ89"/>
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        <balance>84877.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63401.790000</valUSD>
        <pctVal>0.0459492</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 BJ3287 FN 11/47 FIXED 4</title>
        <cusip>3140H4UM4</cusip>
        <identifiers>
          <isin value="US3140H4UM49"/>
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        <balance>10066.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9375.680000</valUSD>
        <pctVal>0.0067948</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750OBM5 OTC ECAL FN 5.0 JUL24 97.71875 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH90095"/>
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        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-987.800000</valUSD>
        <pctVal>-0.0007159</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">
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              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-07-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2762.200000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 956913 FN 11/37 FIXED 6.5</title>
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          <isin value="US31413VSA60"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3060 FN 07/32 FIXED 3</title>
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          <isin value="US31418CMJ08"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 748058 GN 04/41 FIXED 5</title>
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          <isin value="US3620C4B332"/>
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        <curCd>USD</curCd>
        <valUSD>5472.580000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783579 GN 05/42 FIXED 3.5</title>
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        <curCd>USD</curCd>
        <valUSD>74455.800000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U58FA2 PIMCO SWAPTION 5.25 PUT USD 20241024</title>
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          <other otherDesc="Internal ID" value="OP0035M84"/>
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        <balance>5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1463.500000</valUSD>
        <pctVal>0.0010606</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.25000 10/28/24-1Y LCH</title>
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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
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                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <isin value="EZ3N45D9QN27"/>
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                  </floatingRecDesc>
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                  <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>2024-10-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2686.500000</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 AO2671 FN 07/42 FIXED 4</title>
        <cusip>3138LS6H8</cusip>
        <identifiers>
          <isin value="US3138LS6H88"/>
        </identifiers>
        <balance>9127.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8617.310000</valUSD>
        <pctVal>0.0062452</pctVal>
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        <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 MA8644 G2 02/53 FIXED 3.5</title>
        <cusip>36179XS98</cusip>
        <identifiers>
          <isin value="US36179XS988"/>
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        <balance>1794373.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1619643.880000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-02-20</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>FREDDIE MAC REMICS 4338</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4338 SB</title>
        <cusip>3137BB7D6</cusip>
        <identifiers>
          <isin value="US3137BB7D64"/>
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        <balance>26937.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1489.520000</valUSD>
        <pctVal>0.0010795</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>0.473088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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"/>
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        <balance>31102.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29913.360000</valUSD>
        <pctVal>0.0216791</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 PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5</title>
        <cusip>3128M5W55</cusip>
        <identifiers>
          <isin value="US3128M5W553"/>
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        <balance>272.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>274.430000</valUSD>
        <pctVal>0.0001989</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>FANNIE MAE REMICS 2019-10</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2019 10 FA</title>
        <cusip>3136B3M72</cusip>
        <identifiers>
          <isin value="US3136B3M727"/>
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        <balance>228107.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>224351.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.84983</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 442324 FN 10/28 FLOATING VAR</title>
        <cusip>31380KLD0</cusip>
        <identifiers>
          <isin value="US31380KLD09"/>
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        <balance>1212.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1214.390000</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>2028-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.26</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0169 FN 01/57 FIXED 3.5</title>
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        <identifiers>
          <isin value="US3140FXFK34"/>
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        <balance>23899.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21008.950000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFRF USD SF+26.161/1.50 8/04/23-2Y* CME</title>
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        <identifiers>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>626963.220000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="26.161000" pmntAmt="0.000000">
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2996.500000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.25000 03/05/25-1Y LCH</title>
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                    <identifiers>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-5003.500000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TCW CLO 2024-1 LTD</name>
        <lei>N/A</lei>
        <title>TCW GEM LTD TCW 2024 1A A1 144A</title>
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          <isin value="US87252MAC73"/>
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        <balance>500000.000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008505 G2 09/24 FLOATING VAR</title>
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        <curCd>USD</curCd>
        <valUSD>38.020000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5653 G2 12/48 FIXED 5</title>
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        <identifiers>
          <isin value="US36179UH623"/>
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        <balance>118785.720000</balance>
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        <curCd>USD</curCd>
        <valUSD>117288.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMS ECUADORIAN MORTGAGE 2021-1 TRUST</name>
        <lei>N/A</lei>
        <title>IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A</title>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4438</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-86</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 86 CY</title>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS 4367</name>
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        <name>GREENPOINT MTGE FUUNDING TRUST 2006-AR4</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FANNIE MAE REMICS 2014-92</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS-3598</name>
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        <name>FANNIE MAE REMICS 2018-85</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <name>JP MORGAN MORTGAGE TRUST 2021-LTV6</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>BGCLO 19A</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Floating</couponKind>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0626899"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28483437.640000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8216 FN 04/33 FIXED 4.49</title>
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          <isin value="US3140LKDW05"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196091.530000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.49</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03551 FG 11/37 FIXED 6</title>
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          <isin value="US3128M5H455"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>846.120000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR3</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2</title>
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          <isin value="US39538WHG69"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31179.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.99971</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G61254 FG 01/48 FIXED 4</title>
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          <isin value="US31335BMB98"/>
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        <balance>47591.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44384.710000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q13410 FG 12/42 FIXED 3</title>
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        <balance>49832.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44028.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0226831"/>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31410SPR21"/>
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        <curCd>USD</curCd>
        <valUSD>110.320000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTI 2006-19</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>GSAMP TRUST 2007-NC1</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <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>
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          <isin value="US761118FJ26"/>
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        <balance>146690.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55593.680000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.23263</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA5059 FN 06/43 FIXED 4.5</title>
        <cusip>31418ETR1</cusip>
        <identifiers>
          <isin value="US31418ETR17"/>
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        <balance>700079.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>674245.340000</valUSD>
        <pctVal>0.488646</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>4.5</annualizedRt>
          <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"/>
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        <balance>491975.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130418.380000</valUSD>
        <pctVal>0.0945182</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>6.17971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890362 FN 08/41 FIXED VAR</title>
        <cusip>31410LFB3</cusip>
        <identifiers>
          <isin value="US31410LFB36"/>
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        <balance>143324.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139274.420000</valUSD>
        <pctVal>0.100937</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q54654 FG 03/48 FIXED 4</title>
        <cusip>3132XXE47</cusip>
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          <isin value="US3132XXE470"/>
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        <balance>4607.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4298.710000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G67722 FG 03/49 FIXED 5</title>
        <cusip>3132XCSK2</cusip>
        <identifiers>
          <isin value="US3132XCSK24"/>
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        <balance>352792.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>348430.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZA6528 FR 04/49 FIXED 4</title>
        <cusip>31329QHD6</cusip>
        <identifiers>
          <isin value="US31329QHD60"/>
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        <balance>308761.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286582.340000</valUSD>
        <pctVal>0.207695</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AY5650 FN 06/30 FIXED 3</title>
        <cusip>3138YKH48</cusip>
        <identifiers>
          <isin value="US3138YKH483"/>
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        <balance>46241.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44088.190000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) SEP24 XCBT 20240930</title>
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          <ticker value="FVU4"/>
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        <balance>50.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19660.550000</valUSD>
        <pctVal>0.0142486</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">
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              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
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            <payOffProf>Long</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNEMENT NATIONAL MTG ASSOC 2006-69</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2006 69 PO</title>
        <cusip>38375JBL8</cusip>
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          <isin value="US38375JBL89"/>
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        <curCd>USD</curCd>
        <valUSD>89293.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB3046 FN 03/52 FIXED 2.5</title>
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          <isin value="US3140QNL424"/>
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        <curCd>USD</curCd>
        <valUSD>148285.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB8651 G2 08/47 FIXED 3.5</title>
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          <isin value="US3617B0TG02"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC 3031</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3031 BZ</title>
        <cusip>31396AAQ7</cusip>
        <identifiers>
          <isin value="US31396AAQ76"/>
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        <balance>125908.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>119694.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL U90133 FG 08/42 FIXED 4</title>
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          <isin value="US3132H3EE96"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 780509 GN 02/27 FIXED 6.5</title>
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          <isin value="US36225AR690"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 12/20/23-7Y CME</title>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-45</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 45 SA</title>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G18632 FG 02/32 FIXED 3</title>
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        <balance>55801.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52892.960000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-43</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 43 BS</title>
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          <isin value="US3136AKKU64"/>
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        <balance>44139.140000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA</title>
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          <isin value="US38375B8G05"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41964.550000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256771 FN 06/37 FIXED 6.5</title>
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          <isin value="US31371NFL47"/>
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        <balance>32252.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33242.690000</valUSD>
        <pctVal>0.024092</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>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928590 FN 07/37 FIXED 6.5</title>
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          <isin value="US31412LUP39"/>
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        <balance>24869.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25869.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0526727"/>
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        <balance>-3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AW6683 FN 06/44 FIXED 4</title>
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          <isin value="US3138XWM969"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02791 FG 04/37 FIXED 5.5</title>
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          <isin value="US3128M4NG41"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0526800"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STRUCTURED ASSEET MTGE INV INC 2002-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1</title>
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          <isin value="US86358HNX34"/>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36201DA857"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31417AKM08"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.99000 04/08/24-7Y LCH</title>
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                <issuerName>N/A</issuerName>
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        <fairValLevel>2</fairValLevel>
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        <name>FREDDIE MAC 4839</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <assetCat>ABS-MBS</assetCat>
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          <couponKind>Floating</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL AE4350 FN 10/40 FIXED 4</title>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>MASTR ASSET SECURIZATION TR 2007-3</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL QE0382 FR 04/52 FIXED 2.5</title>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AP0116 GN 10/45 FIXED 3</title>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS3324 FN 08/34 FIXED 4</title>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3617ACHV58"/>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-4</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AX6465 G2 04/47 FIXED 3.5</title>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03911 FG 02/38 FIXED 6</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 4 JUMBOS</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FANNIE MAE REMICS 2015-73</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-12-01</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 BC1102 GN 07/47 FIXED 4</title>
        <cusip>3617B4GK7</cusip>
        <identifiers>
          <isin value="US3617B4GK72"/>
        </identifiers>
        <balance>50027.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46819.420000</valUSD>
        <pctVal>0.0339315</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022477</cusip>
        <identifiers>
          <isin value="US01F0224778"/>
        </identifiers>
        <balance>850000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>767656.250000</valUSD>
        <pctVal>0.556344</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>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 AY8218 GN 01/47 FIXED 4</title>
        <cusip>36196YDX8</cusip>
        <identifiers>
          <isin value="US36196YDX85"/>
        </identifiers>
        <balance>21657.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20213.910000</valUSD>
        <pctVal>0.0146496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK3180 FN 03/48 FIXED 3.5</title>
        <cusip>3140HGRA7</cusip>
        <identifiers>
          <isin value="US3140HGRA72"/>
        </identifiers>
        <balance>144216.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130381.190000</valUSD>
        <pctVal>0.0944913</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>RESIDENTIAL ACCREDIT LOANS INC 2007-QH4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2</title>
        <cusip>74922TAB2</cusip>
        <identifiers>
          <isin value="US74922TAB26"/>
        </identifiers>
        <balance>17387.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14214.400000</valUSD>
        <pctVal>0.0103016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.91971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>50333.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46299.660000</valUSD>
        <pctVal>0.0335548</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>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.23200 04/26/24-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZRK39B8SZJ0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>63947.110000</valUSD>
        <pctVal>0.0463444</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="SWU024HW9-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"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.232000"/>
            <terminationDt>2031-04-26</terminationDt>
            <upfrontPmnt>28751.670000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>35195.440000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 84 IB</title>
        <cusip>38379PP35</cusip>
        <identifiers>
          <isin value="US38379PP356"/>
        </identifiers>
        <balance>317863.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46735.040000</valUSD>
        <pctVal>0.0338703</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</annualizedRt>
          <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-AR14</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A</title>
        <cusip>45668GAD4</cusip>
        <identifiers>
          <isin value="US45668GAD43"/>
        </identifiers>
        <balance>111034.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99242.360000</valUSD>
        <pctVal>0.071924</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>5.85971</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>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>26665.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24536.270000</valUSD>
        <pctVal>0.0177822</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>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FE</title>
        <cusip>38380QFT4</cusip>
        <identifiers>
          <isin value="US38380QFT40"/>
        </identifiers>
        <balance>1735072.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1764363.880000</valUSD>
        <pctVal>1.27869</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>6.48732</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2020-54</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2020 54 WF</title>
        <cusip>3136BBGN6</cusip>
        <identifiers>
          <isin value="US3136BBGN69"/>
        </identifiers>
        <balance>139199.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134316.290000</valUSD>
        <pctVal>0.0973432</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.60222</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5173 FR 08/42 FIXED 3</title>
        <cusip>3133KYXA2</cusip>
        <identifiers>
          <isin value="US3133KYXA27"/>
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        <balance>56658.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50089.730000</valUSD>
        <pctVal>0.0363016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.60000 02/02/24-1Y LCH</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU021G97"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>86387.910000</valUSD>
        <pctVal>0.062608</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU021G97-USD-SOFR-COMPOUND"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>71006.660000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 813844 FN 01/35 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31406MER34"/>
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        <balance>5842.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5925.380000</valUSD>
        <pctVal>0.0042943</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>7.294</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4</title>
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          <isin value="US3132XGUJ37"/>
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        <curCd>USD</curCd>
        <valUSD>80285.270000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B2811 FH 03/35 FLOATING VAR</title>
        <cusip>3128JNAM7</cusip>
        <identifiers>
          <isin value="US3128JNAM72"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1338.110000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4989</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4989 FA</title>
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          <isin value="US3137FUKP89"/>
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        <balance>782518.080000</balance>
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        <curCd>USD</curCd>
        <valUSD>782769.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A79966 FG 08/38 FIXED 5.5</title>
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          <isin value="US3128LECB62"/>
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        <curCd>USD</curCd>
        <valUSD>989.930000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.18500 10/10/23-7Y LCH</title>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE6330 G2 01/48 FIXED 3.5</title>
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          <isin value="US3617G1A737"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01622 FG 09/33 FIXED 5</title>
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          <isin value="US31292HYT57"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB6891 FN 08/53 FIXED 4.5</title>
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          <isin value="US3140QSUR08"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA8141 FR 03/50 FIXED 3.5</title>
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          <isin value="US3133A3BJ63"/>
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        <curCd>USD</curCd>
        <valUSD>568109.120000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 847995 FN 11/35 FLOATING VAR</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3306 FN 03/48 FIXED 4</title>
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          <isin value="US31418CU852"/>
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      <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>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AK2411 FN 02/42 FIXED 4</title>
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          <isin value="US3138E6VD55"/>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA6599 G2 04/50 FIXED 3</title>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A64440 FG 08/37 FIXED 6</title>
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        <curCd>USD</curCd>
        <valUSD>40082.010000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003636 G2 11/34 FIXED 5</title>
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          <isin value="US36202EBD04"/>
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        <balance>505.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>506.250000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782885 GN 12/39 FIXED 5.5</title>
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          <isin value="US36241LF277"/>
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        <curCd>USD</curCd>
        <valUSD>28198.150000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-16N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 16N A322</title>
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          <isin value="US52522DAH44"/>
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        <balance>344184.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>259713.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.09971</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05</title>
        <cusip>3132XGMZ6</cusip>
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          <isin value="US3132XGMZ60"/>
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        <balance>221351.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196040.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2</title>
        <cusip>3137HA4L7</cusip>
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          <isin value="US3137HA4L74"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>592463.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
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          <isin value="US91282CDP32"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE INTEREST STRIP 386</name>
        <lei>N/A</lei>
        <title>FANNIEMAE STRIP FNS 386 14</title>
        <cusip>3136FFSR1</cusip>
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          <isin value="US3136FFSR14"/>
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        <balance>11786.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3244.640000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH4379 FN 05/47 FIXED 4</title>
        <cusip>3140GS2M3</cusip>
        <identifiers>
          <isin value="US3140GS2M32"/>
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        <balance>114119.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106755.670000</valUSD>
        <pctVal>0.0773691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SC0050 FR 02/40 FIXED 3</title>
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          <isin value="US3132D9BT04"/>
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        <curCd>USD</curCd>
        <valUSD>460242.490000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4534</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4534 PZ</title>
        <cusip>3137BMGC4</cusip>
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          <isin value="US3137BMGC43"/>
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        <balance>177521.340000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5193 G2 05/48 FIXED 4.5</title>
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          <isin value="US36179TXW07"/>
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        <curCd>USD</curCd>
        <valUSD>51837.950000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA7479 FR 03/50 FIXED 3</title>
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          <isin value="US3133A2JY75"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 891584 FN 07/36 FIXED 6.5</title>
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          <isin value="US31410MRD47"/>
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        <curCd>USD</curCd>
        <valUSD>10867.160000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.11750 10/10/23-7Y LCH</title>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.75000 06/20/24-7Y CME</title>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-12</name>
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        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A</title>
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        <curCd>USD</curCd>
        <valUSD>101094.560000</valUSD>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FANNIE MAE 2001-81</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US31418EJL56"/>
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        <balance>62714.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60303.550000</valUSD>
        <pctVal>0.0437038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2019-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2019 62 SN</title>
        <cusip>3136B62S1</cusip>
        <identifiers>
          <isin value="US3136B62S11"/>
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        <balance>71579.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8567.900000</valUSD>
        <pctVal>0.0062094</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>0.55017</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7079 FN 07/35 FIXED VAR</title>
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        <identifiers>
          <isin value="US3138EP2M52"/>
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        <balance>326069.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>313386.790000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03205 FG 07/35 FIXED 5.5</title>
        <cusip>3128M43N1</cusip>
        <identifiers>
          <isin value="US3128M43N17"/>
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        <balance>3281.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3298.600000</valUSD>
        <pctVal>0.0023906</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR</title>
        <cusip>31336CLR2</cusip>
        <identifiers>
          <isin value="US31336CLR24"/>
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        <balance>2290.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2321.450000</valUSD>
        <pctVal>0.0016824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB9962 FN 07/43 FIXED 4</title>
        <cusip>31417HB86</cusip>
        <identifiers>
          <isin value="US31417HB861"/>
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        <balance>566012.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>535899.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <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>FANNIE MAE REMICS 2011-18</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 18 ZK</title>
        <cusip>31397QF94</cusip>
        <identifiers>
          <isin value="US31397QF941"/>
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        <balance>109239.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104373.150000</valUSD>
        <pctVal>0.0756424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-03-25</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B7241 FH 08/36 FLOATING VAR</title>
        <cusip>3128QPNH1</cusip>
        <identifiers>
          <isin value="US3128QPNH16"/>
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        <balance>4069.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4168.310000</valUSD>
        <pctVal>0.0030209</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>Floating</couponKind>
          <annualizedRt>6.713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 ZA</title>
        <cusip>38379FB65</cusip>
        <identifiers>
          <isin value="US38379FB654"/>
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        <balance>1371486.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1268381.120000</valUSD>
        <pctVal>0.919235</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03268 FG 09/37 FIXED 6</title>
        <cusip>3128M46D0</cusip>
        <identifiers>
          <isin value="US3128M46D08"/>
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        <balance>37381.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38290.650000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THROUGH SEC T-63</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1</title>
        <cusip>31395M2F5</cusip>
        <identifiers>
          <isin value="US31395M2F53"/>
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        <balance>69082.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65911.840000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA1741 FN 01/39 FIXED 5.5</title>
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          <isin value="US31416J5B39"/>
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        <balance>32109.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32239.820000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL CF1730 G2 07/51 FIXED 3.5</title>
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          <isin value="US3617W24P06"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>944964.250000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750OCW2 OTC ECAL FN 5.0 JUL24 97.265625 CALL</title>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <writtenOrPur>Written</writtenOrPur>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB6892 FN 08/53 FIXED 4.5</title>
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          <isin value="US3140QSUS80"/>
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        <balance>2269545.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2169550.090000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03392 FG 10/37 FIXED 6</title>
        <cusip>3128M5C57</cusip>
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          <isin value="US3128M5C571"/>
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        <balance>314.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>322.410000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 412301 GN 08/27 FIXED 7.5</title>
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        <identifiers>
          <isin value="US36206JAA25"/>
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        <balance>163.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163.390000</valUSD>
        <pctVal>0.0001184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 02/07/24-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU021L42"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>220060.780000</valUSD>
        <pctVal>0.159485</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="SWU021L42-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>2034-02-07</terminationDt>
            <upfrontPmnt>33500.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>186560.780000</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 MA1524 G2 12/43 FIXED 5</title>
        <cusip>36179NVR6</cusip>
        <identifiers>
          <isin value="US36179NVR69"/>
        </identifiers>
        <balance>35375.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35376.840000</valUSD>
        <pctVal>0.0256387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-12-20</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 BE7840 FN 02/47 FIXED 4</title>
        <cusip>3140FTWA5</cusip>
        <identifiers>
          <isin value="US3140FTWA56"/>
        </identifiers>
        <balance>88391.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82646.540000</valUSD>
        <pctVal>0.0598965</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>4</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>2024-08-14</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>
