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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.46825000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RAAC Series</name>
        <lei>N/A</lei>
        <title>RAAC Series 2006-SP1 Trust</title>
        <cusip>76112B3F5</cusip>
        <identifiers>
          <isin value="US76112B3F50"/>
        </identifiers>
        <balance>1524382.10000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1478103.54000000</valUSD>
        <pctVal>0.061987110515</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.56825000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BHMS Mortgage Trust</name>
        <lei>N/A</lei>
        <title>BHMS 2018-ATLS</title>
        <cusip>05549GAA9</cusip>
        <identifiers>
          <isin value="US05549GAA94"/>
          <other otherDesc="Sedol" value="BZ56PR9"/>
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        <balance>11150000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10439590.02000000</valUSD>
        <pctVal>0.437804255786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.43363000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140JAD88</cusip>
        <identifiers>
          <isin value="US3140JAD886"/>
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        <balance>12928420.47000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13759106.39000000</valUSD>
        <pctVal>0.577014549595</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31418C3K8</cusip>
        <identifiers>
          <isin value="US31418C3K80"/>
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        <balance>2348794.27000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2567068.12000000</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>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133KGP28</cusip>
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          <isin value="US3133KGP286"/>
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        <balance>5091024.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5410408.56000000</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>2049-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TNS0</cusip>
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          <isin value="US36179TNS05"/>
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        <balance>2666180.59000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2868763.63000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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 A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae I Pool</title>
        <cusip>36178DH20</cusip>
        <identifiers>
          <isin value="US36178DH209"/>
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        <balance>3518850.72000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3756533.71000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AARL1</cusip>
        <identifiers>
          <isin value="US3136AARL11"/>
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        <balance>652488.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124942.42000000</valUSD>
        <pctVal>0.005239700323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.98175000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TNQ4</cusip>
        <identifiers>
          <isin value="US36179TNQ49"/>
        </identifiers>
        <balance>668225.14000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>709322.14000000</valUSD>
        <pctVal>0.029746786130</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31402CTT9</cusip>
        <identifiers>
          <isin value="US31402CTT98"/>
          <other otherDesc="Sedol" value="B79JJP4"/>
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        <balance>1639.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1894.69000000</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>2034-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>31329QHG9</cusip>
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          <isin value="US31329QHG91"/>
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        <balance>738934.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>805366.40000000</valUSD>
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        <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>4.50000000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US TREASURY LONG BOND</title>
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          <ticker value="USN0P178"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9P910"/>
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        <balance>-44.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-74937.50000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                      <issuerName>US TREASURY N/B</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
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        <title>WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust</title>
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          <isin value="US92922FB647"/>
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        <balance>7256208.05000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6921766.52000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2014-CCRE20 Mortgage Trust</title>
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          <isin value="US12592LBM37"/>
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        <balance>1680000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-10</maturityDt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36202EUU1</cusip>
        <identifiers>
          <isin value="US36202EUU18"/>
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        <balance>345772.26000000</balance>
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        <curCd>USD</curCd>
        <valUSD>398025.57000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US TREASURY LONG BOND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN573"/>
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        <curCd>USD</curCd>
        <valUSD>-745933.33000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>US TREASURY N/B</issuerName>
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                  <cusip value="912810FT0"/>
                  <isin value="US912810FT08"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0P121"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9SQT9"/>
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        <balance>1200.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>18750.00000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                      <ticker value="TYU0"/>
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                  <payOffProf>Short</payOffProf>
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                      <issuerName>US TREASURY N/B</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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          <isin value="US3140Q95N97"/>
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        <balance>4481431.66000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4896734.22000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-01</maturityDt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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        <cusip>36179VBK5</cusip>
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          <isin value="US36179VBK52"/>
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        <balance>8827440.22000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9602489.65000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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>SILVERSTONE MASTER ISSUER</name>
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        <title>Silverstone Master Issuer PLC</title>
        <cusip>82846GAU4</cusip>
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          <isin value="US82846GAU40"/>
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        <balance>4480000.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4419793.30000000</valUSD>
        <pctVal>0.185352519852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-01-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.49900000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FMCT7</cusip>
        <identifiers>
          <isin value="US3137FMCT77"/>
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        <balance>5990176.53000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>423252.70000000</valUSD>
        <pctVal>0.017749914793</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.95158600</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW0WS034421"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9594287.28000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.16000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-209260000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2027-02-15</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fanniemae-Aces</name>
        <lei>N/A</lei>
        <title>Fannie Mae-Aces</title>
        <cusip>3136B57A7</cusip>
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          <isin value="US3136B57A75"/>
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        <balance>1499709.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1640812.37000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-25</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>10 YEAR US TREASURY NOTE</title>
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          <ticker value="TYQ0P139"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00SX34FT6"/>
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        <valUSD>30468.75000000</valUSD>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                      <ticker value="TYU0"/>
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                        <isin value="US912828X885"/>
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            <delta>XXXX</delta>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US12651YAA01"/>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2057-08-01</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138AFC65</cusip>
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          <isin value="US3138AFC658"/>
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        <balance>55350.78000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133A0MR2</cusip>
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          <isin value="US3133A0MR22"/>
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        <balance>991783.68000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1051941.38000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QANJ5</cusip>
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          <isin value="US3140QANJ56"/>
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        <balance>1049856.71000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1152568.28000000</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>
          <maturityDt>2049-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>New Residential Mortgage Loan</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2016-3</title>
        <cusip>64829HAD9</cusip>
        <identifiers>
          <isin value="US64829HAD98"/>
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        <balance>5593986.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5749163.82000000</valUSD>
        <pctVal>0.241102225545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25000000</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3131Y6Q93</cusip>
        <identifiers>
          <isin value="US3131Y6Q935"/>
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        <balance>30345.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32898.98000000</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>2042-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>Provident Funding Mortgage Loa</name>
        <lei>N/A</lei>
        <title>Provident Funding Mortgage Loan Trust 2005-1</title>
        <cusip>743873AW1</cusip>
        <identifiers>
          <isin value="US743873AW19"/>
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        <balance>1151.53000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1163.81000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.55106400</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TXW0</cusip>
        <identifiers>
          <isin value="US36179TXW07"/>
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        <balance>4560205.06000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4953892.85000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q9H97</cusip>
        <identifiers>
          <isin value="US3140Q9H978"/>
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        <balance>1329348.68000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1437527.65000000</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>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>5 YEAR US TREASURY NOTE</title>
        <cusip>000000000</cusip>
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          <ticker value="FVN0C125.5"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9V5C9"/>
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        <balance>-155.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-52070.39000000</valUSD>
        <pctVal>-0.00218367180</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                      <ticker value="FVU0"/>
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                    <balance>0.00000000</balance>
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                  <payOffProf>Long</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
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                        <cusip value="912828YV6"/>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>208.38000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan T</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust 2007-2AX</title>
        <cusip>61751TAB5</cusip>
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          <isin value="US61751TAB52"/>
          <other otherDesc="Sedol" value="B1RBM84"/>
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        <balance>29407.52000000</balance>
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        <curCd>USD</curCd>
        <valUSD>12162.76000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38375CWH9</cusip>
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          <isin value="US38375CWH95"/>
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        <balance>2754852.04000000</balance>
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        <curCd>USD</curCd>
        <valUSD>629557.25000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.41787000</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133KHTP1</cusip>
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          <isin value="US3133KHTP19"/>
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        <balance>851151.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>911555.87000000</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>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>10 YEAR US TREASURY NOTE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYN0P139"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9T6Q5"/>
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        <balance>440.00000000</balance>
        <units>NC</units>
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        <valUSD>240625.00000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                      <ticker value="TYU0"/>
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                  <payOffProf>Short</payOffProf>
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                      <issuerName>US TREASURY N/B</issuerName>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>Homebanc Mortgage Trust</name>
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          <isin value="US43739EAJ64"/>
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      <invstOrSec>
        <name>Renaissance Home Equity Loan T</name>
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        <balance>1055095.10000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <balance>9903490.93000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>US TREASURY N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <cusip>912828ZL7</cusip>
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          <isin value="US912828ZL77"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-30</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <balance>135153.52000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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          <isin value="US3138XBQG27"/>
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        <balance>13345.84000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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          <isin value="US36241LUX27"/>
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        <balance>1722058.27000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136ADKM0</cusip>
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          <isin value="US3136ADKM06"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140GQ4H6</cusip>
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          <isin value="US3140GQ4H64"/>
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        <balance>20199263.66000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
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                    <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
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                  <derivAddlInfo>
                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>US TREASURY LONG BOND</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <ticker value="USU0"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN573"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
                      <identifiers>
                        <cusip value="912810FT0"/>
                        <isin value="US912810FT08"/>
                        <other otherDesc="SEDOL" value="B0YBFV4"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-09-21</expDate>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>177.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>189690.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31413TFX5</cusip>
        <identifiers>
          <isin value="US31413TFX54"/>
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        <balance>33978.15000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39220.84000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X5F99</cusip>
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          <isin value="US3140X5F997"/>
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        <balance>3110193.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3366620.73000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2018-4</title>
        <cusip>46649CAA1</cusip>
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          <isin value="US46649CAA18"/>
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        <balance>13165379.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13311838.77000000</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>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31413YNW7</cusip>
        <identifiers>
          <isin value="US31413YNW74"/>
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        <balance>75411.46000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81148.76000000</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>2047-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA BC H435</name>
        <lei>N/A</lei>
        <title>GNMA BC H435</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="ZZZ140001"/>
        </identifiers>
        <balance>2600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2686531.25000000</valUSD>
        <pctVal>0.112664847211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-05-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.01000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138EPAJ3</cusip>
        <identifiers>
          <isin value="US3138EPAJ37"/>
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        <balance>1811467.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2079107.28000000</valUSD>
        <pctVal>0.087191356526</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q9NX7</cusip>
        <identifiers>
          <isin value="US3140Q9NX74"/>
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        <balance>1556993.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1683162.42000000</valUSD>
        <pctVal>0.070586648445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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 Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137BXR20</cusip>
        <identifiers>
          <isin value="US3137BXR204"/>
        </identifiers>
        <balance>51777439.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1830736.34000000</valUSD>
        <pctVal>0.076775444183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.60607700</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 A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TZ65</cusip>
        <identifiers>
          <isin value="US36179TZ650"/>
        </identifiers>
        <balance>7980962.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8664454.06000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>BANK OF MONTREAL</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
        <title>Bank of Montreal</title>
        <cusip>06367XF30</cusip>
        <identifiers>
          <isin value="US06367XF305"/>
          <other otherDesc="SEDOL" value="BD0NT68"/>
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        <balance>12200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12357841.04000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36202FDF0</cusip>
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          <isin value="US36202FDF09"/>
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        <balance>114968.64000000</balance>
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        <curCd>USD</curCd>
        <valUSD>131834.22000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A36E5</cusip>
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          <isin value="US3132A36E56"/>
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        <balance>27490.82000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31769.92000000</valUSD>
        <pctVal>0.001332332606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RF7</cusip>
        <identifiers>
          <isin value="US912810RF75"/>
          <other otherDesc="SEDOL" value="BK0HZL6"/>
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        <balance>29570517.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>39641182.08000000</valUSD>
        <pctVal>1.662429097864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.37500000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31415P4K1</cusip>
        <identifiers>
          <isin value="US31415P4K12"/>
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        <balance>11120.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12844.41000000</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>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31371K7E5</cusip>
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          <isin value="US31371K7E54"/>
          <other otherDesc="Sedol" value="B115HQ5"/>
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        <balance>7521.73000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8619.08000000</valUSD>
        <pctVal>0.000361457671</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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 or Freddie Mac</name>
        <lei>N/A</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F050668</cusip>
        <identifiers>
          <isin value="US01F0506687"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>874437.50000000</valUSD>
        <pctVal>0.036671215841</pctVal>
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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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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140H3ZJ8</cusip>
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        <balance>3458250.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3643078.76000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>FHLMC Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137BSPY3</cusip>
        <identifiers>
          <isin value="US3137BSPY32"/>
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        <balance>120700953.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2919864.70000000</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>2023-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.95074500</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3132H7BY9</cusip>
        <identifiers>
          <isin value="US3132H7BY91"/>
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        <balance>817416.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>896476.37000000</valUSD>
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        <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>4.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q9HZ9</cusip>
        <identifiers>
          <isin value="US3140Q9HZ96"/>
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        <balance>2209243.14000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2449414.56000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138EGQ64</cusip>
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          <isin value="US3138EGQ641"/>
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        <balance>47020.96000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54076.80000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
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          <ticker value="USN0P179.5"/>
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        <balance>-88.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-224125.00000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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                      <ticker value="USU0"/>
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                    <curCd>USD</curCd>
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                  <payOffProf>Short</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
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                        <cusip value="912810FT0"/>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>1910.26000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Impac CMB Trust</name>
        <lei>N/A</lei>
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        <cusip>45254NKF3</cusip>
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          <isin value="US45254NKF32"/>
          <other otherDesc="Sedol" value="B02LFB6"/>
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        <balance>6053494.35000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5976469.08000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.90825000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140K43B4</cusip>
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          <isin value="US3140K43B41"/>
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        <balance>982137.89000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1045848.73000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-01</maturityDt>
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          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae I Pool</title>
        <cusip>36178WDN6</cusip>
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          <isin value="US36178WDN65"/>
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        <balance>24020947.20000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW0WS034447"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-39784711.15000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Series 2019-UVIL</title>
        <cusip>12656DAA1</cusip>
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          <isin value="US12656DAA19"/>
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        <balance>10000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9068144.00000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.15950000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Blackbird Capital Aircraft</name>
        <lei>N/A</lei>
        <title>Blackbird Capital Aircraft Lease Securitization Ltd 2016-1</title>
        <cusip>09228YAB8</cusip>
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          <isin value="US09228YAB83"/>
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        <balance>19348589.76000000</balance>
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        <curCd>USD</curCd>
        <valUSD>15119756.18000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-16</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.21300000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SW0WS033761"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7192929.61000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <upfrontRcpt>-349716.52000000</upfrontRcpt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q92W2</cusip>
        <identifiers>
          <isin value="US3140Q92W24"/>
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        <balance>602989.14000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>651608.99000000</valUSD>
        <pctVal>0.027326474352</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>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>1</fairValLevel>
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        <name>Freddie Mac</name>
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      <invstOrSec>
        <name>Residential Asset Mortgage Pro</name>
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          <isin value="US75156XAC56"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bayview Financial Asset Trust</name>
        <lei>N/A</lei>
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          <isin value="US07325QAC96"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
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      <invstOrSec>
        <name>OFFICE CHERIFIEN DES PHO</name>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Rosslyn Portfolio Trust 2017 R</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Fannie Mae</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>CHEVY CHASE MORTGAGE FUNDING C</name>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US TREASURY LONG BOND</title>
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        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140FXG89</cusip>
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          <isin value="US3140FXG897"/>
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        <balance>8456327.10000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9517317.60000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-09-01</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>New Residential Mortgage Loan</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2019-2</title>
        <cusip>64830DAB9</cusip>
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          <isin value="US64830DAB91"/>
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        <balance>31937680.71000000</balance>
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        <curCd>USD</curCd>
        <valUSD>34310024.41000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.25000000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36188MYN3</cusip>
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          <isin value="US36188MYN37"/>
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        <balance>980936.41000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1084103.75000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SW9WP029060"/>
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        <balance>-284810000.00000000</balance>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. LLC</name>
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                      <other otherDesc="INTERNAL" value="SW9WP029060SO"/>
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                    <balance>0.00000000</balance>
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            <principalAmt>-284810000.00000000</principalAmt>
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            <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3128MJ5M8</cusip>
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          <isin value="US3128MJ5M80"/>
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        <balance>185315.55000000</balance>
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        <curCd>USD</curCd>
        <valUSD>196206.72000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US TREASURY LONG BOND</title>
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          <ticker value="USN0P178.5"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00V276JX9"/>
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        <balance>-131.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-257906.25000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
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                    <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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                  <derivAddlInfo>
                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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                      <ticker value="USU0"/>
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                  <payOffProf>Short</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
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                        <cusip value="912810FT0"/>
                        <isin value="US912810FT08"/>
                        <other otherDesc="SEDOL" value="B0YBFV4"/>
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                  <expDate>2020-09-21</expDate>
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            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
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            <expDt>2020-06-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16148.37000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3128P8FW6</cusip>
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          <isin value="US3128P8FW65"/>
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        <balance>4121301.89000000</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>
          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Navient Student Loan Trust</name>
        <lei>N/A</lei>
        <title>Navient Private Education Refi Loan Trust 2019-F</title>
        <cusip>63935CAB7</cusip>
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          <isin value="US63935CAB72"/>
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        <balance>26620000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.60000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36202FZD1</cusip>
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          <isin value="US36202FZD13"/>
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        <balance>8198.58000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGA</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138WGA61</cusip>
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          <isin value="US3138WGA613"/>
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        <balance>2555923.60000000</balance>
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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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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36241LW51</cusip>
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          <isin value="US36241LW512"/>
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        <balance>143025.76000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
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          <isin value="US3133A2GY03"/>
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        <balance>199143.66000000</balance>
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        <curCd>USD</curCd>
        <valUSD>210239.48000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Adjustable Rate Mor</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust</title>
        <cusip>86359BLE9</cusip>
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          <isin value="US86359BLE91"/>
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        <balance>154510.77000000</balance>
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        <curCd>USD</curCd>
        <valUSD>145377.14000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828N71</cusip>
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          <isin value="US912828N712"/>
          <other otherDesc="SEDOL" value="BDHLRC7"/>
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        <balance>108629.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>115445.21000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</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>UCFC Manufactured Housing Cont</name>
        <lei>N/A</lei>
        <title>UCFC Manufactured Housing Contract</title>
        <cusip>90263ABX7</cusip>
        <identifiers>
          <isin value="US90263ABX72"/>
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        <balance>3601801.64000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>La Hipotecaria SA</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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        <name>Fannie Mae</name>
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          <isin value="US3140J8N829"/>
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        <balance>167143.36000000</balance>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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          <isin value="US3138W9CG39"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XFG4</cusip>
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          <isin value="US30711XFG43"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investo</name>
        <lei>N/A</lei>
        <title>Merrill Lynch Mortgage Investors Trust Series 2006-FF1</title>
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          <isin value="US59023WAE84"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
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          <isin value="US3131Y0ZB11"/>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="SW0WS034405"/>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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          <isin value="US31410GE904"/>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
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          <isin value="US92922FYA01"/>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <name>Freddie Mac</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Ginnie Mae II Pool</title>
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        <name>Countrywide Asset-Backed Certi</name>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <name>Freddie Mac</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q9XV0</cusip>
        <identifiers>
          <isin value="US3140Q9XV09"/>
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        <balance>1500501.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1622708.20000000</valUSD>
        <pctVal>0.068051384632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Corp Trust 2019-SOHO</title>
        <cusip>36257XAA9</cusip>
        <identifiers>
          <isin value="US36257XAA90"/>
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        <balance>13100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12616341.45000000</valUSD>
        <pctVal>0.529090507259</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.08363000</annualizedRt>
          <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 or Freddie Mac</name>
        <lei>N/A</lei>
        <title>FNCI 2 6/20</title>
        <cusip>01F020463</cusip>
        <identifiers>
          <isin value="US01F0204630"/>
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        <balance>68700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70873711.28000000</valUSD>
        <pctVal>2.972225189140</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>2.00000000</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 or Freddie Mac</name>
        <lei>N/A</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F022667</cusip>
        <identifiers>
          <isin value="US01F0226674"/>
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        <balance>149900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155538815.28000000</valUSD>
        <pctVal>6.522818917128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136ABQH9</cusip>
        <identifiers>
          <isin value="US3136ABQH90"/>
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        <balance>115377.95000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133224.93000000</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>2042-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138WGHT4</cusip>
        <identifiers>
          <isin value="US3138WGHT45"/>
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        <balance>241347.92000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>264399.88000000</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>2046-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>STATE OF QATAR</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>Qatar Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1405782159"/>
          <other otherDesc="SEDOL" value="BDDRJ90"/>
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        <balance>1580000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1686176.00000000</valUSD>
        <pctVal>0.070713028709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</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 A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UCC4</cusip>
        <identifiers>
          <isin value="US36179UCC45"/>
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        <balance>16141196.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17474164.59000000</valUSD>
        <pctVal>0.732812649649</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810QP6</cusip>
        <identifiers>
          <isin value="US912810QP66"/>
          <other otherDesc="SEDOL" value="B3XRK75"/>
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        <balance>2899503.60000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4247089.77000000</valUSD>
        <pctVal>0.178109865660</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.12500000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140KAFH4</cusip>
        <identifiers>
          <isin value="US3140KAFH47"/>
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        <balance>398833.49000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>421055.98000000</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>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>DP WORLD PLC</name>
        <lei>549300M3U2DNF4QVSS04</lei>
        <title>DP World PLC</title>
        <cusip>23330JAB7</cusip>
        <identifiers>
          <isin value="US23330JAB70"/>
          <other otherDesc="SEDOL" value="BFXC1B5"/>
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        <balance>20510000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>20872534.76000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.62500000</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>Mortgage Repurchase Agreement</name>
        <lei>N/A</lei>
        <title>Mortgage Repurchase Agreement Financing Trust Series 2020-2</title>
        <cusip>61916BAV2</cusip>
        <identifiers>
          <isin value="US61916BAV27"/>
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        <balance>17590000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92400000</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>10 YEAR US TREASURY NOTE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYQ0C139.5"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00SX31TL7"/>
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        <balance>-175.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-109375.00000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
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                    <lei>549300EX04Q2QBFQTQ27</lei>
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                      <ticker value="TYU0"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN6F2"/>
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                  <payOffProf>Long</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
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                        <cusip value="912828X88"/>
                        <isin value="US912828X885"/>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38378XUN9</cusip>
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          <isin value="US38378XUN91"/>
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        <balance>32017787.48000000</balance>
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        <curCd>USD</curCd>
        <valUSD>907476.95000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138ELYW7</cusip>
        <identifiers>
          <isin value="US3138ELYW77"/>
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        <balance>297863.15000000</balance>
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        <curCd>USD</curCd>
        <valUSD>355185.00000000</valUSD>
        <pctVal>0.014895365075</pctVal>
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        <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>6.50000000</annualizedRt>
          <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 &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>9730000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4272.96000000</valUSD>
        <pctVal>0.000179194783</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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                      <other otherDesc="INTERNAL" value="SW9WP028401SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.88000000"/>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>9730000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.88000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-259653.29000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0P138"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9T5G8"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                      <ticker value="TYU0"/>
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                    <invCountry>US</invCountry>
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                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
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                        <cusip value="912828X88"/>
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                  </descRefInstrmnt>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>251974.17000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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          <isin value="US36179QGC96"/>
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        <balance>3368862.76000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3626635.94000000</valUSD>
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        <issuerCat>USGA</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-20</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae I Pool</title>
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          <isin value="US36178NF954"/>
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        <balance>17327423.60000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-15</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>3617MKK99</cusip>
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          <isin value="US3617MKK998"/>
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        <balance>1997214.98000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2177005.05000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-20</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RW0</cusip>
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          <isin value="US912810RW09"/>
          <other otherDesc="SEDOL" value="BF0SHC9"/>
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        <balance>13312536.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>16653287.22000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</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>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>90 DAY EURO DOLLAR TIME DEPOSIT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="EDM0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG0011S3RL8"/>
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        <balance>12743.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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                <issuerName>90 DAY EURO DOLLAR TIME DEPOSIT</issuerName>
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                  <cusip value="000000000"/>
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            </descRefInstrmnt>
            <expDate>2020-06-15</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
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          <isin value="US36179TJ225"/>
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        <balance>2201793.51000000</balance>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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          <isin value="US3140Q7YP65"/>
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        <balance>3622262.56000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>AMBAC LSNI LLC</name>
        <lei>N/A</lei>
        <title>Ambac LSNI LLC</title>
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          <isin value="US02315QAA67"/>
          <other otherDesc="Sedol" value="BG04C29"/>
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        <valUSD>32393.80000000</valUSD>
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        <invCountry>KY</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>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SW0WS032045"/>
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        <balance>1.00000000</balance>
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        <valUSD>-8583016.57000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140J94B4</cusip>
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          <isin value="US3140J94B42"/>
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        <balance>1200152.01000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1317561.66000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Asset Securities Co</name>
        <lei>N/A</lei>
        <title>Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A</title>
        <cusip>86359ARF2</cusip>
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          <isin value="US86359ARF20"/>
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        <balance>146243.30000000</balance>
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        <valUSD>144219.92000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SW0WS035444"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1156134.06000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.12500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 DAY OVERNIGHT FEDS FUNDS EFFECTIVE RATE" floatingRtSpread="0.00000000" pmntAmt="-440105000.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2024-08-31</terminationDt>
            <upfrontPmnt>174410.29000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>440105000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>981723.77000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140FXF98</cusip>
        <identifiers>
          <isin value="US3140FXF980"/>
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        <balance>2906844.32000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3221290.52000000</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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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>Reperforming Loan REMIC Trust 2006-R2</title>
        <cusip>125435AA5</cusip>
        <identifiers>
          <isin value="US125435AA57"/>
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        <balance>239313.32000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209793.40000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.58825000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X4MM5</cusip>
        <identifiers>
          <isin value="US3140X4MM53"/>
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        <balance>1050481.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1144875.82000000</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>2049-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3128M9VA7</cusip>
        <identifiers>
          <isin value="US3128M9VA75"/>
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        <balance>61051.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70446.87000000</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>6.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>90 DAY EURO DOLLAR TIME DEPOSIT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="EDZ1"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG002CBN1H1"/>
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        <balance>-7605.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-11879495.50000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>90 DAY EURO DOLLAR TIME DEPOSIT</issuerName>
                <issueTitle>90 DAY EURO DOLLAR TIME DEPOSIT</issueTitle>
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                  <cusip value="000000000"/>
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            <expDate>2021-12-13</expDate>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0CG2</cusip>
        <identifiers>
          <isin value="US3137G0CG25"/>
          <other otherDesc="Sedol" value="BQV0VD0"/>
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        <balance>4184225.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4213193.49000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-25</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>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X6QN4</cusip>
        <identifiers>
          <isin value="US3140X6QN49"/>
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        <balance>3500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3777229.72000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Hertz Vehicle Financing LLC</name>
        <lei>549300FPK70TCB78NG05</lei>
        <title>Hertz Vehicle Financing II LP</title>
        <cusip>42806DBQ1</cusip>
        <identifiers>
          <isin value="US42806DBQ16"/>
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        <balance>8000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7741543.20000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certi</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates</title>
        <cusip>23244AAA3</cusip>
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          <isin value="US23244AAA34"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.49825000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QCQ90</cusip>
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          <isin value="US3140QCQ905"/>
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        <balance>2661233.45000000</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>
          <maturityDt>2050-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>N/A</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F030660</cusip>
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          <isin value="US01F0306609"/>
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        <balance>-18100000.00000000</balance>
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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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UMK5</cusip>
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          <isin value="US36179UMK50"/>
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        <balance>4835801.33000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5138209.13000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140HVMZ4</cusip>
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          <isin value="US3140HVMZ46"/>
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        <balance>3511000.00000000</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>Fixed</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138WJM96</cusip>
        <identifiers>
          <isin value="US3138WJM968"/>
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        <balance>2543530.17000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2689844.22000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RR1</cusip>
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          <isin value="US912810RR14"/>
          <other otherDesc="SEDOL" value="BYXFH64"/>
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        <balance>44031527.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56040535.97000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179Q6P1</cusip>
        <identifiers>
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        <balance>641534.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>690566.71000000</valUSD>
        <pctVal>0.028960241155</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>FHLMC Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137BLN20</cusip>
        <identifiers>
          <isin value="US3137BLN208"/>
          <other otherDesc="Sedol" value="BZ163X5"/>
        </identifiers>
        <balance>94562666.38000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2425986.29000000</valUSD>
        <pctVal>0.101738393960</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.59816700</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X42D7</cusip>
        <identifiers>
          <isin value="US3140X42D78"/>
        </identifiers>
        <balance>2219316.74000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2431187.74000000</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>2049-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31374CND4</cusip>
        <identifiers>
          <isin value="US31374CND47"/>
        </identifiers>
        <balance>63356.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72393.94000000</valUSD>
        <pctVal>0.003035978899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <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 or Freddie Mac</name>
        <lei>N/A</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F040669</cusip>
        <identifiers>
          <isin value="US01F0406698"/>
        </identifiers>
        <balance>24000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25551562.32000000</valUSD>
        <pctVal>1.071553835375</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QAB25</cusip>
        <identifiers>
          <isin value="US3140QAB257"/>
        </identifiers>
        <balance>1326103.74000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1451734.14000000</valUSD>
        <pctVal>0.060881259086</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>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Asset Mortgage Pro</name>
        <lei>N/A</lei>
        <title>RAMP Series 2005-SL1 Trust</title>
        <cusip>76112BMS6</cusip>
        <identifiers>
          <isin value="US76112BMS69"/>
        </identifiers>
        <balance>30618.75000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24490.27000000</valUSD>
        <pctVal>0.001027046503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.00000000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179VFS4</cusip>
        <identifiers>
          <isin value="US36179VFS43"/>
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        <balance>2178403.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2344650.91000000</valUSD>
        <pctVal>0.098327438602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3132H7BP8</cusip>
        <identifiers>
          <isin value="US3132H7BP84"/>
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        <balance>580180.45000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>628985.82000000</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>2043-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AC3A7</cusip>
        <identifiers>
          <isin value="US3136AC3A71"/>
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        <balance>400150.32000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48506.54000000</valUSD>
        <pctVal>0.002034214907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2012-K20 Mortgage Trust</title>
        <cusip>30290QAE8</cusip>
        <identifiers>
          <isin value="US30290QAE89"/>
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        <balance>20217723.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64591.58000000</valUSD>
        <pctVal>0.002708771949</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.20000000</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</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136A8FA3</cusip>
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          <isin value="US3136A8FA33"/>
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        <balance>574551.93000000</balance>
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        <curCd>USD</curCd>
        <valUSD>33392.38000000</valUSD>
        <pctVal>0.001400373582</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>3.00000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q83V5</cusip>
        <identifiers>
          <isin value="US3140Q83V59"/>
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        <balance>909706.67000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>984176.48000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QADC1</cusip>
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          <isin value="US3140QADC14"/>
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        <balance>8564273.50000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9432848.33000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36202FSG2</cusip>
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          <isin value="US36202FSG27"/>
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        <balance>284466.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>327497.30000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</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>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW9WP028385"/>
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        <balance>-53540000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-69.05000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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                    <curCd>USD</curCd>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <curCd>USD</curCd>
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            <principalAmt>-53540000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.55000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>264953.95000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="FVN0C125.75"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9V5N7"/>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1750.00000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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                      <ticker value="FVU0"/>
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                  <payOffProf>Long</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>923.67000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>VNO Mortgage Trust</name>
        <lei>N/A</lei>
        <title>VNDO 2012-6AVE Mortgage Trust</title>
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          <isin value="US91830CAA62"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UEA6</cusip>
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          <isin value="US36179UEA60"/>
          <other otherDesc="Sedol" value="BDFVSF9"/>
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        <balance>3010991.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3262493.10000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2017-RPL1 Trust</title>
        <cusip>22945AAA7</cusip>
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          <isin value="US22945AAA79"/>
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        <balance>22057275.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22200978.95000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QA2E9</cusip>
        <identifiers>
          <isin value="US3140QA2E96"/>
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        <balance>960417.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1026621.07000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140K8NK3</cusip>
        <identifiers>
          <isin value="US3140K8NK32"/>
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        <balance>294730.26000000</balance>
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        <curCd>USD</curCd>
        <valUSD>311152.08000000</valUSD>
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        <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>3.50000000</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>Towd Point Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Trust 2019-HY2</title>
        <cusip>89177HAA0</cusip>
        <identifiers>
          <isin value="US89177HAA05"/>
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        <balance>19638208.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19385325.70000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2005-AR9 Trust</title>
        <cusip>92922FU48</cusip>
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          <isin value="US92922FU480"/>
          <other otherDesc="Sedol" value="B5L59R8"/>
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        <balance>71250.02000000</balance>
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        <curCd>USD</curCd>
        <valUSD>66922.36000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.80825000</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>GS Mortgage-Backed Securities</name>
        <lei>N/A</lei>
        <title>GS Mortgage-Backed Securities Trust 2018-RPL1</title>
        <cusip>36256BAC4</cusip>
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          <isin value="US36256BAC46"/>
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        <balance>27487627.97000000</balance>
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        <curCd>USD</curCd>
        <valUSD>28768644.89000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</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>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38377YTW0</cusip>
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          <isin value="US38377YTW02"/>
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        <balance>97378.59000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6854.17000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <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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      <invstOrSec>
        <name>UNITED MEXICAN STATES</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>Mexico Government International Bond</title>
        <cusip>91086QAZ1</cusip>
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          <isin value="US91086QAZ19"/>
          <other otherDesc="SEDOL" value="B4KRNP4"/>
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        <balance>3430000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3727741.15000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2110-10-12</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38378XSQ5</cusip>
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          <isin value="US38378XSQ50"/>
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        <balance>89627351.61000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140JHYV9</cusip>
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          <isin value="US3140JHYV91"/>
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        <balance>1724187.70000000</balance>
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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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          <maturityDt>2048-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QADH0</cusip>
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          <isin value="US3140QADH01"/>
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        <balance>688797.54000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138WJMB1</cusip>
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          <isin value="US3138WJMB11"/>
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        <balance>4260714.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4506457.95000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2046-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      <invstOrSec>
        <name>Argent Securities Inc.</name>
        <lei>N/A</lei>
        <title>Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W7</title>
        <cusip>040104BF7</cusip>
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          <isin value="US040104BF78"/>
          <other otherDesc="Sedol" value="BZ0BVS2"/>
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        <balance>96373.89000000</balance>
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        <curCd>USD</curCd>
        <valUSD>86890.73000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29325000</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 Asset-Backed Certi</name>
        <lei>N/A</lei>
        <title>CWABS Asset-Backed Certificates Trust 2007-13</title>
        <cusip>126698AC3</cusip>
        <identifiers>
          <isin value="US126698AC30"/>
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        <balance>24108.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22405.18000000</valUSD>
        <pctVal>0.000939604250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.06825000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31410VT26</cusip>
        <identifiers>
          <isin value="US31410VT265"/>
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        <balance>3491.39000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3866.91000000</valUSD>
        <pctVal>0.000162166296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</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</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133KHTJ5</cusip>
        <identifiers>
          <isin value="US3133KHTJ58"/>
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        <balance>798069.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>865058.94000000</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>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RL4</cusip>
        <identifiers>
          <isin value="US912810RL44"/>
          <other otherDesc="SEDOL" value="BVXLS02"/>
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        <balance>11180424.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13405283.21000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75000000</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>Credit Suisse Mortgage Trust</name>
        <lei>549300818AKCJ4Q9TD76</lei>
        <title>CSMC 2014-USA OA LLC</title>
        <cusip>12649AAC3</cusip>
        <identifiers>
          <isin value="US12649AAC36"/>
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        <balance>3290000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3164516.44000000</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>2037-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.95300000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QADD9</cusip>
        <identifiers>
          <isin value="US3140QADD96"/>
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        <balance>13179215.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14612024.45000000</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>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>COMM Mortgage Trust</name>
        <lei>549300MGZ5FI5VFL1177</lei>
        <title>COMM 2013-CCRE12 Mortgage Trust</title>
        <cusip>12591KAH8</cusip>
        <identifiers>
          <isin value="US12591KAH86"/>
          <other otherDesc="SEDOL" value="BD6CTY7"/>
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        <balance>160000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161516.59000000</valUSD>
        <pctVal>0.006773508379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.76200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TUB9</cusip>
        <identifiers>
          <isin value="US36179TUB96"/>
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        <balance>2401615.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2574993.72000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A5KC8</cusip>
        <identifiers>
          <isin value="US3132A5KC85"/>
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        <balance>2759343.93000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2983101.72000000</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>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38382AKD6</cusip>
        <identifiers>
          <isin value="US38382AKD62"/>
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        <balance>1497000.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1608240.51000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133A0MT8</cusip>
        <identifiers>
          <isin value="US3133A0MT87"/>
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        <balance>594948.26000000</balance>
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        <curCd>USD</curCd>
        <valUSD>634813.56000000</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>2050-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140JQQE6</cusip>
        <identifiers>
          <isin value="US3140JQQE67"/>
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        <balance>8767352.08000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9294642.90000000</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>2049-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>
        <name>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
        <cusip>3136FG5L7</cusip>
        <identifiers>
          <isin value="US3136FG5L76"/>
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        <balance>56296.53000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8968.32000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138WHLP5</cusip>
        <identifiers>
          <isin value="US3138WHLP59"/>
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        <balance>2914456.19000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3120878.70000000</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>
          <maturityDt>2046-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38381XEZ5</cusip>
        <identifiers>
          <isin value="US38381XEZ50"/>
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        <balance>11402231.37000000</balance>
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        <curCd>USD</curCd>
        <valUSD>11950047.02000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3128M9PU0</cusip>
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          <isin value="US3128M9PU04"/>
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        <balance>25364.82000000</balance>
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        <curCd>USD</curCd>
        <valUSD>30210.70000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137FGSM8</cusip>
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          <isin value="US3137FGSM82"/>
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        <balance>2411226.56000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2492990.53000000</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>2048-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FED HOME LN DISCOUNT NT</name>
        <lei>2549001DPIFGXC1TOL40</lei>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A5J71</cusip>
        <identifiers>
          <isin value="US3132A5J715"/>
        </identifiers>
        <balance>878423.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>950200.13000000</valUSD>
        <pctVal>0.039848467225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136A35F4</cusip>
        <identifiers>
          <isin value="US3136A35F45"/>
          <other otherDesc="SEDOL" value="BYT45Z0"/>
        </identifiers>
        <balance>5975.83000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6551.65000000</valUSD>
        <pctVal>0.000274756024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>3132HBXZ3</cusip>
        <identifiers>
          <isin value="US3132HBXZ39"/>
        </identifiers>
        <balance>577681.33000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>633746.47000000</valUSD>
        <pctVal>0.026577375272</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36202FB62</cusip>
        <identifiers>
          <isin value="US36202FB627"/>
        </identifiers>
        <balance>8111.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9091.10000000</valUSD>
        <pctVal>0.000381252737</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STATE OF QATAR</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>Qatar Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1806502453"/>
          <other otherDesc="SEDOL" value="BFX2LZ9"/>
        </identifiers>
        <balance>18110000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19332334.45000000</valUSD>
        <pctVal>0.810738571177</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A3MG2</cusip>
        <identifiers>
          <isin value="US3132A3MG24"/>
        </identifiers>
        <balance>7987.09000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9168.86000000</valUSD>
        <pctVal>0.000384513752</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>American Home Mortgage Investm</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Investment Trust 2005-1</title>
        <cusip>02660TEA7</cusip>
        <identifiers>
          <isin value="US02660TEA79"/>
        </identifiers>
        <balance>3326294.75000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3179501.37000000</valUSD>
        <pctVal>0.133338495898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.10725000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TLT0</cusip>
        <identifiers>
          <isin value="US36179TLT06"/>
        </identifiers>
        <balance>12535025.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13479666.36000000</valUSD>
        <pctVal>0.565295695298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae I Pool</title>
        <cusip>3617MKLU1</cusip>
        <identifiers>
          <isin value="US3617MKLU18"/>
        </identifiers>
        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1298684.64000000</valUSD>
        <pctVal>0.054462834385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <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 - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0AL3</cusip>
        <identifiers>
          <isin value="US3137G0AL38"/>
        </identifiers>
        <balance>3710943.75000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3569577.95000000</valUSD>
        <pctVal>0.149697106387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36825000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140J5RS0</cusip>
        <identifiers>
          <isin value="US3140J5RS01"/>
        </identifiers>
        <balance>10484519.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11881717.27000000</valUSD>
        <pctVal>0.498282631491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31410GRN5</cusip>
        <identifiers>
          <isin value="US31410GRN50"/>
          <other otherDesc="Sedol" value="B55BCX9"/>
        </identifiers>
        <balance>23742.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27714.75000000</valUSD>
        <pctVal>0.001162271264</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31385XLY1</cusip>
        <identifiers>
          <isin value="US31385XLY12"/>
        </identifiers>
        <balance>10300.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11802.72000000</valUSD>
        <pctVal>0.000494969729</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 5 YEAR TREASURY NOTE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R4ZBQB6"/>
        </identifiers>
        <balance>28190.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5794552.39000000</valUSD>
        <pctVal>0.243005682393</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
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                  <cusip value="912828YV6"/>
                  <isin value="US912828YV68"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-30</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>5794552.39000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179T4Q5</cusip>
        <identifiers>
          <isin value="US36179T4Q56"/>
        </identifiers>
        <balance>1435796.64000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1556477.46000000</valUSD>
        <pctVal>0.065273871360</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>3617MB5S4</cusip>
        <identifiers>
          <isin value="US3617MB5S42"/>
        </identifiers>
        <balance>299188.56000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>329089.12000000</valUSD>
        <pctVal>0.013800984233</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XAB0</cusip>
        <identifiers>
          <isin value="US30711XAB01"/>
          <other otherDesc="Sedol" value="BFSS5V6"/>
        </identifiers>
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        <name>SMB Private Education Loan Tru</name>
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        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Fannie Mae</name>
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        <name>Government National Mortgage A</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X47B6</cusip>
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          <isin value="US3140X47B67"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US22945AAC36"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>WF-RBS COMMERCIAL MORTGAGE TRU</name>
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        <title>WFRBS Commercial Mortgage Trust 2012-C7</title>
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          <isin value="US92936TAF93"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>US TREASURY N/B</name>
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          <isin value="US912810RK60"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31419AZY6</cusip>
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          <isin value="US31419AZY62"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Ginnie Mae II Pool</title>
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          <isin value="US36179VDS60"/>
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        <name>COMM Mortgage Trust</name>
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        <name>Government National Mortgage A</name>
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        <name>Government National Mortgage A</name>
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      <invstOrSec>
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      <invstOrSec>
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        <name>Fannie Mae</name>
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        <name>CNOOC FINANCE 2015 US</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <title>Delta Air Lines Inc</title>
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        <curCd>USD</curCd>
        <valUSD>2205442.56000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31418AAP3</cusip>
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          <isin value="US31418AAP30"/>
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        <balance>19307.34000000</balance>
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        <curCd>USD</curCd>
        <valUSD>21287.56000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
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          <isin value="US36202F2A30"/>
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        <balance>45243.77000000</balance>
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        <curCd>USD</curCd>
        <valUSD>52074.40000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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      <invstOrSec>
        <name>BAC CAPITAL TRUST XIV</name>
        <lei>549300QO5OB3VGJT6S64</lei>
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          <isin value="US05518VAA35"/>
          <other otherDesc="SEDOL" value="B1RMD73"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>175651.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>N/A</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac REMICS</title>
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          <isin value="US3137AGE555"/>
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        <balance>405842.62000000</balance>
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        <curCd>USD</curCd>
        <valUSD>70489.38000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <other otherDesc="INTERNAL" value="SW0WS034322"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
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          <isin value="US3132A5KB03"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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          <isin value="US3138WGBJ27"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
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        <name>Government National Mortgage A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217028.19000000</valUSD>
        <pctVal>0.009101493930</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</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>Flagstar Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Flagstar Mortgage Trust 2018-2</title>
        <cusip>33851HAD5</cusip>
        <identifiers>
          <isin value="US33851HAD52"/>
        </identifiers>
        <balance>23724354.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24950458.03000000</valUSD>
        <pctVal>1.046345372607</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.50000000</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>MASTR Adjustable Rate Mortgage</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2005-7</title>
        <cusip>576433D52</cusip>
        <identifiers>
          <isin value="US576433D529"/>
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        <balance>70279.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50287.74000000</valUSD>
        <pctVal>0.002108912950</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.63275900</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 Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FLNB6</cusip>
        <identifiers>
          <isin value="US3137FLNB67"/>
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        <balance>6592363.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>288576.74000000</valUSD>
        <pctVal>0.012102019777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.55914300</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>New Residential Mortgage Loan</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2017-4</title>
        <cusip>64829NAA2</cusip>
        <identifiers>
          <isin value="US64829NAA28"/>
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        <balance>25993380.22000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27827743.46000000</valUSD>
        <pctVal>1.167009862683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.00000000</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>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2007-3</title>
        <cusip>75971FAB9</cusip>
        <identifiers>
          <isin value="US75971FAB94"/>
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        <balance>240986.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>194783.75000000</valUSD>
        <pctVal>0.008168630620</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.16825000</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 Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
        <cusip>3136FG4D6</cusip>
        <identifiers>
          <isin value="US3136FG4D69"/>
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        <balance>11784.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1559.37000000</valUSD>
        <pctVal>0.000065395175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QCYN0</cusip>
        <identifiers>
          <isin value="US3140QCYN06"/>
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        <balance>6429642.45000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6816958.71000000</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>2050-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136A93P1</cusip>
        <identifiers>
          <isin value="US3136A93P18"/>
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        <balance>299760.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10789.35000000</valUSD>
        <pctVal>0.000452472112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
        <cusip>3136FLEV4</cusip>
        <identifiers>
          <isin value="US3136FLEV40"/>
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        <balance>179701.47000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10353.78000000</valUSD>
        <pctVal>0.000434205647</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Trust 2015-5</title>
        <cusip>46644XAK8</cusip>
        <identifiers>
          <isin value="US46644XAK81"/>
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        <balance>1548774.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1569108.62000000</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>2045-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.74088800</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>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
        <cusip>3136FG4E4</cusip>
        <identifiers>
          <isin value="US3136FG4E43"/>
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        <balance>6447.88000000</balance>
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        <curCd>USD</curCd>
        <valUSD>868.61000000</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>2039-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Regal Trust IV</name>
        <lei>N/A</lei>
        <title>Regal Trust IV</title>
        <cusip>758842AA6</cusip>
        <identifiers>
          <isin value="US758842AA60"/>
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        <balance>203.41000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>193.59000000</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>2031-09-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.48400000</annualizedRt>
          <isDefault>N</isDefault>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>3622AAKS2</cusip>
        <identifiers>
          <isin value="US3622AAKS20"/>
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        <balance>596887.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>633101.05000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TSF3</cusip>
        <identifiers>
          <isin value="US36179TSF39"/>
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        <balance>17110.63000000</balance>
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        <curCd>USD</curCd>
        <valUSD>18151.66000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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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 A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38379FFB0</cusip>
        <identifiers>
          <isin value="US38379FFB04"/>
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        <balance>391259.61000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62278.08000000</valUSD>
        <pctVal>0.002611750884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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>Residential Funding Securities</name>
        <lei>N/A</lei>
        <title>RFSC Series 2002-RP2 Trust</title>
        <cusip>760985PC9</cusip>
        <identifiers>
          <isin value="US760985PC98"/>
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        <balance>2624.36000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2474.85000000</valUSD>
        <pctVal>0.000103787587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.66825000</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</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3133KGNJ3</cusip>
        <identifiers>
          <isin value="US3133KGNJ30"/>
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        <balance>375582.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>404644.97000000</valUSD>
        <pctVal>0.016969563901</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
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        <balance>20605.26000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0P126.75"/>
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        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                      <ticker value="TYU0"/>
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                      <issuerName>US TREASURY N/B</issuerName>
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      <invstOrSec>
        <name>Towd Point Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US89172YAA82"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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          <isin value="US36178WDM82"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US TREASURY LONG BOND</title>
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          <ticker value="USN0C182"/>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                      <ticker value="USU0"/>
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                  <payOffProf>Long</payOffProf>
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                      <issuerName>US TREASURY N/B</issuerName>
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      <invstOrSec>
        <name>Freddie Mac Multifamily Variab</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140K8Z46</cusip>
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      <invstOrSec>
        <name>Fanniemae Strip</name>
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        <title>Fannie Mae Interest Strip</title>
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          <isin value="US3136FG4Y07"/>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <balance>4672000.00000000</balance>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
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        <balance>34171.72000000</balance>
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        <issuerCat>USGA</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-9</title>
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          <isin value="US12669GYY15"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
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          <isin value="US36179UGE64"/>
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        <balance>4356876.90000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3131Y1UD0</cusip>
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          <isin value="US3131Y1UD05"/>
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        <balance>924056.24000000</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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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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          <other otherDesc="INTERNAL" value="SW0WS035188"/>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>IHS MARKIT LTD</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <fairValLevel>1</fairValLevel>
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                      <ticker value="TYU0"/>
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        <name>Government National Mortgage A</name>
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        <title>Ginnie Mae II Pool</title>
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          <isin value="US36202FDW32"/>
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        <name>COMM Mortgage Trust</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae I Pool</title>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Gold Pool</title>
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        <balance>17648.04000000</balance>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMBB Commercial Mortgage Secu</name>
        <lei>N/A</lei>
        <title>JPMBB Commercial Mortgage Securities Trust 2013-C17</title>
        <cusip>46640UAF9</cusip>
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      <invstOrSec>
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          <ticker value="TYU0"/>
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        <name>Government National Mortgage A</name>
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        <name>Government National Mortgage A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-01</maturityDt>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="USQ0C178"/>
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        <fairValLevel>1</fairValLevel>
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        <name>Fannie Mae</name>
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        <name>Government National Mortgage A</name>
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        <name>Government National Mortgage A</name>
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        <name>Credit Suisse Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage A</name>
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      <invstOrSec>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage A</name>
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        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <name>Freddie Mac</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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      <invstOrSec>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
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        <cusip>30711XAD6</cusip>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0C139.5"/>
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        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
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                      <ticker value="TYU0"/>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
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                        <cusip value="912828X88"/>
                        <isin value="US912828X885"/>
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                  <expDate>2020-09-21</expDate>
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            <delta>XXXX</delta>
            <unrealizedAppr>20168.30000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
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          <isin value="US3132A5HZ18"/>
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        <balance>190544.38000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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          <isin value="US3140Q9VM28"/>
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        <balance>223031.06000000</balance>
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        <curCd>USD</curCd>
        <valUSD>240697.01000000</valUSD>
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        <invCountry>US</invCountry>
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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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0P138.5"/>
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        <curCd>USD</curCd>
        <valUSD>-94187.50000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                      <ticker value="TYU0"/>
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                  <payOffProf>Short</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
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                        <cusip value="912828X88"/>
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            <delta>XXXX</delta>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <other otherDesc="INTERNAL" value="SW0WS034686"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>N/A</lei>
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        <cusip>01F042665</cusip>
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        <balance>5200000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
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        <cusip>3128P8F48</cusip>
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          <isin value="US3128P8F484"/>
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        <balance>3582142.16000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3774844.39000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <payOffProf>Short</payOffProf>
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                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
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            <expDt>2020-06-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>180767.01000000</unrealizedAppr>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TYN0P138.75"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00V276WB4"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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                      <ticker value="TYU0"/>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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          <isin value="US3140K5XW21"/>
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        <curCd>USD</curCd>
        <valUSD>460552.72000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Merrill Lynch Mortgage Investo</name>
        <lei>N/A</lei>
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          <isin value="US59020U5U55"/>
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        <balance>507171.05000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>387346.56000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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          <isin value="US36202FHY51"/>
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        <balance>20241.21000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>GNMA BC-H437 FA</name>
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          <other otherDesc="INTERNAL" value="ZZZ140201"/>
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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>
          <annualizedRt>0.00000100</annualizedRt>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="USN0C181"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AKTB9</cusip>
        <identifiers>
          <isin value="US3136AKTB92"/>
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        <balance>1393972.46000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93366.74000000</valUSD>
        <pctVal>0.003915513544</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>Variable</couponKind>
          <annualizedRt>2.63350000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW0WS032920"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-27344474.06000000</valUSD>
        <pctVal>-1.14674303231</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="389723000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.52000000"/>
            <terminationDt>2026-07-31</terminationDt>
            <upfrontPmnt>1343277.79000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-389723000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-28687751.85000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINT SPECTRUM / SPEC I</name>
        <lei>N/A</lei>
        <title>Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC</title>
        <cusip>85208NAD2</cusip>
        <identifiers>
          <isin value="US85208NAD21"/>
          <other otherDesc="SEDOL" value="BFY1RH9"/>
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        <balance>1240000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1318919.80000000</valUSD>
        <pctVal>0.055311434680</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.73800000</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</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138MDZ88</cusip>
        <identifiers>
          <isin value="US3138MDZ881"/>
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        <balance>18149.04000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19886.61000000</valUSD>
        <pctVal>0.000833983180</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTL BK RECON &amp; DEVELOP</name>
        <lei>ZTMSNXROF84AHWJNKQ93</lei>
        <title>International Bank for Reconstruction &amp; Development</title>
        <cusip>459058GK3</cusip>
        <identifiers>
          <isin value="US459058GK33"/>
          <other otherDesc="SEDOL" value="BFC3RF5"/>
        </identifiers>
        <balance>35000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34992874.70000000</valUSD>
        <pctVal>1.467493401225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.28000000</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>WF-RBS COMMERCIAL MORTGAGE TRU</name>
        <lei>N/A</lei>
        <title>WFRBS Commercial Mortgage Trust 2014-C24</title>
        <cusip>92939KBR8</cusip>
        <identifiers>
          <isin value="US92939KBR86"/>
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        <balance>1670000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1502639.78000000</valUSD>
        <pctVal>0.063016084859</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.20400000</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>Applebees/IHOP Funding LLC</name>
        <lei>N/A</lei>
        <title>Applebee's Funding LLC / IHOP Funding LLC</title>
        <cusip>03789XAD0</cusip>
        <identifiers>
          <isin value="US03789XAD03"/>
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        <balance>5000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4085400.00000000</valUSD>
        <pctVal>0.171329094644</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.19400000</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 A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>21H022671</cusip>
        <identifiers>
          <isin value="US21H0226710"/>
        </identifiers>
        <balance>24900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26128464.66000000</valUSD>
        <pctVal>1.095747342892</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TSG1</cusip>
        <identifiers>
          <isin value="US36179TSG12"/>
        </identifiers>
        <balance>5774338.06000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6166648.09000000</valUSD>
        <pctVal>0.258610230149</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2003-2</title>
        <cusip>759950AW8</cusip>
        <identifiers>
          <isin value="US759950AW86"/>
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        <balance>718736.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>677215.42000000</valUSD>
        <pctVal>0.028400329169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.04825000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138LUTG0</cusip>
        <identifiers>
          <isin value="US3138LUTG09"/>
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        <balance>206442.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>225330.42000000</valUSD>
        <pctVal>0.009449663889</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>4.50000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q7EW3</cusip>
        <identifiers>
          <isin value="US3140Q7EW37"/>
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        <balance>780308.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>842115.54000000</valUSD>
        <pctVal>0.035315732377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AFRB2</cusip>
        <identifiers>
          <isin value="US3136AFRB26"/>
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        <balance>1409346.32000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107026.89000000</valUSD>
        <pctVal>0.004488378167</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31410GPR8</cusip>
        <identifiers>
          <isin value="US31410GPR82"/>
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        <balance>126966.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149072.98000000</valUSD>
        <pctVal>0.006251661697</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>6.50000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140Q8W35</cusip>
        <identifiers>
          <isin value="US3140Q8W359"/>
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        <balance>3673189.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3968492.79000000</valUSD>
        <pctVal>0.166426366283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31397QCF3</cusip>
        <identifiers>
          <isin value="US31397QCF37"/>
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        <balance>161210.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40489.52000000</valUSD>
        <pctVal>0.001698005777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.36175000</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</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A5HL2</cusip>
        <identifiers>
          <isin value="US3132A5HL22"/>
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        <balance>5903977.86000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6262230.53000000</valUSD>
        <pctVal>0.262618663328</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>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31397UUU1</cusip>
        <identifiers>
          <isin value="US31397UUU14"/>
        </identifiers>
        <balance>375719.15000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>437483.92000000</valUSD>
        <pctVal>0.018346728333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Banc of America Funding Corpor</name>
        <lei>N/A</lei>
        <title>Banc of America Funding 2005-E Trust</title>
        <cusip>05946XXW8</cusip>
        <identifiers>
          <isin value="US05946XXW81"/>
        </identifiers>
        <balance>24652.16000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17749.91000000</valUSD>
        <pctVal>0.000744376562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31400000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3131Y0YL0</cusip>
        <identifiers>
          <isin value="US3131Y0YL02"/>
        </identifiers>
        <balance>1308023.55000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1415174.21000000</valUSD>
        <pctVal>0.059348048211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US LONG BOND(CBT) SEP20</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USN0C179"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RK9TPZ3"/>
        </identifiers>
        <balance>89.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>143234.38000000</valUSD>
        <pctVal>0.006006808794</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>US TREASURY LONG BOND</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <ticker value="USU0"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN573"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
                      <identifiers>
                        <cusip value="912810FT0"/>
                        <isin value="US912810FT08"/>
                        <other otherDesc="SEDOL" value="B0YBFV4"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-09-21</expDate>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>179.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>15142.91000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMBAC ASSURANCE CORP</name>
        <lei>549300RYYRVPPB8NC636</lei>
        <title>Ambac Assurance Corp</title>
        <cusip>023138AA8</cusip>
        <identifiers>
          <isin value="US023138AA88"/>
          <other otherDesc="SEDOL" value="B8D0LR6"/>
        </identifiers>
        <balance>8943.93000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11961.25000000</valUSD>
        <pctVal>0.000501617989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.10000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMAC Mortgage Corporation Loan</name>
        <lei>N/A</lei>
        <title>GMACM Mortgage Loan Trust 2006-AR1</title>
        <cusip>36185MDN9</cusip>
        <identifiers>
          <isin value="US36185MDN92"/>
          <other otherDesc="SEDOL" value="B27Y4G2"/>
        </identifiers>
        <balance>543851.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>459138.62000000</valUSD>
        <pctVal>0.019254859764</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75112700</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31418ABH0</cusip>
        <identifiers>
          <isin value="US31418ABH05"/>
        </identifiers>
        <balance>22112.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24372.98000000</valUSD>
        <pctVal>0.001022127722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-07-24</ncom:dateSigned>
      <ncom:nameOfApplicant>Legg Mason Partners Institutional Trust</ncom:nameOfApplicant>
      <ncom:signature>Christopher Berarducci</ncom:signature>
      <ncom:signerName>Christopher Berarducci</ncom:signerName>
      <ncom:title>Principal Financial Officer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
