# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0000910472-26-008126
**Filing Date:** 2026-5
**Character Count:** 114833
**Document Hash:** 58e1af1f82b7fd926a9558e0714073ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-008126.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0000910472-26-008126

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Northern Lights Fund Trust
- **CENTRAL INDEX KEY:** 0001314414

**ORGANIZATION NAME:**
- **EIN:** 043023766
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 261039227

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2600

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **STREET 2:** SUITE 200
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Strategy Shares
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Northern Lights Fund Trust
- **DATE OF NAME CHANGE:** 20050121

## Series and Classes Contracts Data

### Deer Park Total Return Credit Fund (Series ID: S000050429)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000159220 | Deer Park Total Return Credit Fund Class A | DPFAX           |
| C000159221 | Deer Park Total Return Credit Fund Class C | DPFCX           |
| C000159222 | Deer Park Total Return Credit Fund Class I | DPFNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Northern Lights Fund Trust

- **b. Investment Company Act file number:** 811-21720

- **c. CIK number of Registrant:** 0001314414

- **d. LEI of Registrant:** 549300BSYF57GRCG4861

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 225 PICTORIA DRIVE

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

  - **Telephone number:** 631-470-2600

**Item A.2. Information about the Series.**

- **a. Name of Series:** Deer Park Total Return Credit Fund

- **b. EDGAR series identifier (if any):** S000050429

- **c. LEI of Series:** 549300GEC4XMEL70QI78

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $94671069.58

**Total Liabilities:** $153677.61

**Net Assets:** $94517391.97

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 2.92148300 | **1-Year:** 50.47247600 | **5-Year:** 661.15388800 | **10-Year:** 388.51463200 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 304.21369200 | **1-Year:** 1967.62614300 | **5-Year:** 9926.16213300 | **10-Year:** 26790.30678200 | **30-Year:** 2815.00751600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000159220 | 0.48%                | 1.23%                | -1.75%               |
| Class ID C000159221 | 0.42%                | 1.17%                | -1.82%               |
| Class ID C000159222 | 0.50%                | 1.24%                | -1.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-197093.65              | $516957.62                                 |
| Month 2  | $480002.62               | $922740.12                                 |
| Month 3  | $-176496.32              | $-1688845.91                               |

### Schedule of Portfolio Investments

| Name                                                                                            | Title               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AFC Mortgage Loan                                                                               | AFC 1999-2 1A       | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523041 | PA      | $433775.84    | 0.46%             | 2029-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                                  | ACCR 2005-4 M3      | CUSIP: 004375EM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114000 | PA      | $95814.69     | 0.10%             | 2035-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2003-NC1 M4     | CUSIP: 004421CT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126700 | PA      | $112017.95    | 0.12%             | 2033-07-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M2     | CUSIP: 004421EX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7456 | PA      | $6482.39      | 0.01%             | 2034-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M4     | CUSIP: 004421EZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80583 | PA      | $69377.84     | 0.07%             | 2034-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M5     | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245351 | PA      | $209006.98    | 0.22%             | 2034-04-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                           | ARMT 2005-4 3A1     | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30117 | PA      | $30045.73     | 0.03%             | 2035-08-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 M3     | CUSIP: 00764MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372476 | PA      | $218255.03    | 0.23%             | 2034-04-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 B1     | CUSIP: 00764MBG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156672 | PA      | $7584.79      | 0.01%             | 2034-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-J3 2A1   | CUSIP: 021469AJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294588 | PA      | $268419.68    | 0.28%             | 2026-12-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XBI | CUSIP: 02146QAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18625616 | PA      | $3920.69      | 0.00%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XAD | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4271192 | PA      | $711.15       | 0.00%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA14 X2  | CUSIP: 02146SAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10434657 | PA      | $104.35       | 0.00%             | 2046-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Resecuritization Pass-Through Certificates Series 2008-2R                             | CWALT 2006-22R 2A2  | CUSIP: 02147LAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137364 | PA      | $67705.77     | 0.07%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-32CB A8  | CUSIP: 02147XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1505154 | PA      | $131688.02    | 0.14%             | 2036-11-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2005-2                                                      | AHMA 2006-2 1A1     | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154538 | PA      | $147682.44    | 0.16%             | 2046-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Amer Hm Mtg Ast Tr                                                                              | AHMA 2007-5 A1      | CUSIP: 026936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110189 | PA      | $106760.08    | 0.11%             | 2047-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES                                                                  | AMSI 2003-AR2 M2    | CUSIP: 03072SGY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6850000 | PA      | $380.86       | 0.00%             | 2033-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7        | AMSI 2005-R11 M6    | CUSIP: 03072SV69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1814899 | PA      | $1960318.59   | 2.07%             | 2036-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust 2006-M2                                                                 | ARSI 2006-M2 A2C    | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267414 | PA      | $86509.06     | 0.09%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE3 M6   | CUSIP: 04541GJY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41668 | PA      | $54618.74     | 0.06%             | 2034-06-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE9 M2   | CUSIP: 04541GNB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302146 | PA      | $269710.74    | 0.29%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2005-HE2 M5   | CUSIP: 04541GQF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    791285 | PA      | $844825.01    | 0.89%             | 2035-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT1 M6   | CUSIP: 04542BFF4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    176034 | PA      | $168485.82    | 0.18%             | 2032-12-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT3 M1   | CUSIP: 04542BGV8<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     12777 | PA      | $12766.52     | 0.01%             | 2033-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-C M2      | CUSIP: 05946XUF8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1650420 | PA      | $1051176.57   | 1.11%             | 2035-05-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-F 1A1     | CUSIP: 05946XYP2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     43567 | PA      | $34577.05     | 0.04%             | 2035-09-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Trust                                                                     | BOAMS 2007-1 2IO    | CUSIP: 05952HCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419949 | PA      | $79600.60     | 0.08%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk6                                                                                  | BANK 2017-BNK6 XG   | CUSIP: 060352AT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10834758 | PA      | $151729.95    | 0.16%             | 2060-07-15      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 1A5     | CUSIP: 06050AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132282 | PA      | $31391.71     | 0.03%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 XIO     | CUSIP: 06050AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298001 | PA      | $59267.97     | 0.06%             | 2046-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-1A M4     | CUSIP: 07324SDK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6143 | PA      | $5761.36      | 0.01%             | 2036-04-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-SP2 B1    | CUSIP: 07325KAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    856205 | PA      | $1612615.79   | 1.71%             | 2037-01-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                            | BAYV 2005-C B2      | CUSIP: 07325NBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430000 | PA      | $2109825.87   | 2.23%             | 2044-06-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 1999-2 AF2    | CUSIP: 07383GAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4769 | PA      | $4797.54      | 0.01%             | 2029-10-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-6 2A2    | CUSIP: 07384MW73<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106264 | PA      | $96933.96     | 0.10%             | 2034-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-7 1A1    | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33435 | PA      | $25793.40     | 0.03%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC4 M1   | CUSIP: 07384YKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159775 | PA      | $136015.52    | 0.14%             | 2033-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC5 B    | CUSIP: 07384YMG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12238 | PA      | $27398.59     | 0.03%             | 2033-10-25      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC6 M2   | CUSIP: 07384YNK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27216 | PA      | $18533.35     | 0.02%             | 2033-11-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M4   | CUSIP: 07384YPE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86246 | PA      | $85871.46     | 0.09%             | 2034-01-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M5   | CUSIP: 07384YPF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73148 | PA      | $94681.66     | 0.10%             | 2034-01-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE1 M6   | CUSIP: 07384YQC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112358 | PA      | $147983.06    | 0.16%             | 2034-02-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M4   | CUSIP: 07384YRB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9927 | PA      | $11573.61     | 0.01%             | 2034-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M6   | CUSIP: 07384YRD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514705 | PA      | $513121.59    | 0.54%             | 2034-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-SD1 M3   | CUSIP: 07384YSH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22022 | PA      | $0.22         | 0.00%             | 2042-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2003-6 B1     | CUSIP: 07386HEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163160 | PA      | $90714.39     | 0.10%             | 2034-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2005-7 25A1   | CUSIP: 07386HVW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341610 | PA      | $106471.82    | 0.11%             | 2035-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2007-SD2 1A2A | CUSIP: 07386UAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50071 | PA      | $48640.11     | 0.05%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M2   | CUSIP: 073879CD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59862 | PA      | $56270.37     | 0.06%             | 2034-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M6   | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51739 | PA      | $47654.53     | 0.05%             | 2034-07-25      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE6 M5   | CUSIP: 073879CY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112763 | PA      | $127215.35    | 0.13%             | 2034-08-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE7 M6   | CUSIP: 073879EZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182516 | PA      | $174343.28    | 0.18%             | 2034-08-25      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-AC5 A2   | CUSIP: 073879GN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20259 | PA      | $18083.45     | 0.02%             | 2034-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE8 M4   | CUSIP: 073879HH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618958 | PA      | $733172.80    | 0.78%             | 2034-09-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE9 M4   | CUSIP: 073879KF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376533 | PA      | $451710.46    | 0.48%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-FR3 M5   | CUSIP: 073879KU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912695 | PA      | $1010536.04   | 1.07%             | 2034-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE10 M5  | CUSIP: 073879MV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188378 | PA      | $226071.04    | 0.24%             | 2034-12-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar1                                                    | BSMF 2006-AR1 2A2   | CUSIP: 07401LAR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427444 | PA      | $1780993.30   | 1.88%             | 2036-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2007-Ar1                                                    | BSMF 2007-AR1 1A2   | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2140331 | PA      | $2131673.69   | 2.26%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar5                                                    | BSMF 2006-AR5 1A2   | CUSIP: 07401NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2266613 | PA      | $2243108.28   | 2.37%             | 2046-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                              | BSMF 2007-SL1 1A    | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13788 | PA      | $20610.31     | 0.02%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2007-AR3                                                    | BSMF 2007-AR3 1A2   | CUSIP: 07401VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1607238 | PA      | $1636063.80   | 1.73%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2007-AR3                                                    | BSMF 2007-AR3 21A2  | CUSIP: 07401VAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1356549 | PA      | $1355566.44   | 1.43%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                                | BCM 2001-A M2       | CUSIP: 09774XBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272042 | PA      | $347224.51    | 0.37%             | 2030-12-15      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                                                    | CBASS 2002-CB5 M2   | CUSIP: 12489WFT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $50000.00     | 0.05%             | 2032-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                             | CMALT 2007-A1 1A1   | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48622 | PA      | $44101.72     | 0.05%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-23                                                   | CWL 2006-23 1A      | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75057 | PA      | $72165.33     | 0.08%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-1 MV2      | CUSIP: 126670TX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1891677 | PA      | $1805564.00   | 1.91%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-BC1 M4     | CUSIP: 126670XU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2923056 | PA      | $2228909.25   | 2.36%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2005-1 MF4      | CUSIP: 126673WH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132574 | PA      | $112893.18    | 0.12%             | 2035-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2005-22T1 A2  | CUSIP: 12667GGP2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    333448 | PA      | $24963.11     | 0.03%             | 2035-06-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2006-HY10 2A1 | CUSIP: 12668BUH4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    107157 | PA      | $103669.28    | 0.11%             | 2036-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                                    | CWALT 2006-J5 1A4   | CUSIP: 12668EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130624 | PA      | $60855.80     | 0.06%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OA17 2X  | CUSIP: 12668PAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4629073 | PA      | $457932.01    | 0.48%             | 2046-12-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2006-OA2 X1P  | CUSIP: 126694Z68<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |  30424302 | PA      | $260562.85    | 0.28%             | 2046-05-20      | Floating      | 0.16%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-4CB B1   | CUSIP: 12669DN79<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    128666 | PA      | $77872.47     | 0.08%             | 2033-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-J2 B1    | CUSIP: 12669E4F0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     71786 | PA      | $67085.25     | 0.07%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2003-58 M      | CUSIP: 12669E6K7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    143295 | PA      | $138133.15    | 0.15%             | 2034-02-19      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-29 2X     | CUSIP: 12669GJD4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   3461623 | PA      | $34.62        | 0.00%             | 2035-02-25      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-25 1A2    | CUSIP: 12669GJZ5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     20664 | PA      | $16929.74     | 0.02%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-14 A3     | CUSIP: 12669GK75<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    211880 | PA      | $69581.79     | 0.07%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R2 1AS    | CUSIP: 12669GN72<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   5562974 | PA      | $217917.26    | 0.23%             | 2035-06-25      | Floating      | 1.81%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A1    | CUSIP: 12669GUR0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     12631 | PA      | $12099.14     | 0.01%             | 2035-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A2    | CUSIP: 12669GUS8<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    159048 | PA      | $117208.54    | 0.12%             | 2035-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R1 1AS    | CUSIP: 12669GWP2<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   4595698 | PA      | $197262.08    | 0.21%             | 2035-03-25      | Floating      | 2.34%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Reperforming Loan Remic Trust Certificates Series 2003-R2                                 | CWHL 2006-R1 AS     | CUSIP: 12669UCQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4708954 | PA      | $200995.11    | 0.21%             | 2036-01-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                                                  | CARR 2005-FRE1 M4   | CUSIP: 144531EJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5420086 | PA      | $2977392.48   | 3.15%             | 2035-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2 | CBAC 2006-2A A      | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392836 | PA      | $391555.20    | 0.41%             | 2039-01-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2001-B A5      | CUSIP: 152314DP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233401 | PA      | $158366.45    | 0.17%             | 2032-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2003-A M2      | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43774 | PA      | $43824.04     | 0.05%             | 2033-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2004-D MV2     | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9045 | PA      | $8713.59      | 0.01%             | 2034-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                               | CFAB 2003-3 1M2     | CUSIP: 161546FJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107139 | PA      | $102020.49    | 0.11%             | 2032-05-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 5A2   | CUSIP: 161630AR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18562 | PA      | $17669.09     | 0.02%             | 2037-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 7A1   | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4869 | PA      | $4902.69      | 0.01%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                         | CCMFC 2004-2A A2    | CUSIP: 16678RBD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21500 | PA      | $21369.32     | 0.02%             | 2035-05-25      | Floating      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2006-AR1 2A1  | CUSIP: 17307G3C0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     34706 | PA      | $35238.08     | 0.04%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB1 A31 | CUSIP: 17307GDL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |      8622 | PA      | $8622.16      | 0.01%             | 2034-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB2 1A  | CUSIP: 17307GEB0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     17857 | PA      | $17654.52     | 0.02%             | 2034-03-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-HE4 M5   | CUSIP: 17307GQ27<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   4712004 | PA      | $2477219.46   | 2.62%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-3 2A2B   | CUSIP: 17307GTK4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     79926 | PA      | $72784.76     | 0.08%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-WF2 MV6  | CUSIP: 17307GWB0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1361478 | PA      | $1480856.27   | 1.57%             | 2035-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Citicorp Mtg Sec                                                                                | CMSI 2007-7 APO     | CUSIP: 173104AH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31056 | PA      | $21570.92     | 0.02%             | 2037-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                              | CMSI 2006-4 1A12    | CUSIP: 17310DAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53321 | PA      | $17670.61     | 0.02%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CitiCorp Residential Mortgage Trust Series 2007 1                                               | CRMSI 2006-2 M3     | CUSIP: 17310EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1324486 | PA      | $1323418.78   | 1.40%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-OPX1 A4B | CUSIP: 17311FAG9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    291153 | PA      | $93764.79     | 0.10%             | 2037-01-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AMC2 A3A | CUSIP: 17311XAA3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     67322 | PA      | $50244.33     | 0.05%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AHL3 A1  | CUSIP: 17312GAS0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    190571 | PA      | $171389.64    | 0.18%             | 2037-05-25      | Floating      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AR8 2A1A | CUSIP: 17313FAR3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     31552 | PA      | $28251.74     | 0.03%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2015-GC35                                                   | CGCMT 2015-GC35 D   | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $1134518.18   | 1.20%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust Series 2006-A4                                              | CMALT 2007-A6 1A2   | CUSIP: 18976GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2342106 | PA      | $155465.69    | 0.16%             | 2037-06-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                                   | CNF 2001-2 M1       | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1079627 | PA      | $1105502.35   | 1.17%             | 2031-03-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2002-HE16 M2   | CUSIP: 22540V2M3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71944 | PA      | $78476.86     | 0.08%             | 2032-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2003-AR9 CB1   | CUSIP: 22541NR50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58097 | PA      | $56772.13     | 0.06%             | 2033-03-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | HEAT 2003-8 M3      | CUSIP: 22541QY55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135035 | PA      | $135028.26    | 0.14%             | 2034-04-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2004-AR7 CB1   | CUSIP: 22541SSC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582881 | PA      | $539812.56    | 0.57%             | 2034-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                     | CSFB 2004-7 DB1     | CUSIP: 2254W0KJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436986 | PA      | $279804.87    | 0.30%             | 2034-11-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OC6 2A2A | CUSIP: 23243DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27900000 | PA      | $104957.57    | 0.11%             | 2036-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B2    | CUSIP: 23332UBM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8758 | PA      | $7532.66      | 0.01%             | 2035-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B3    | CUSIP: 23332UBN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151023 | PA      | $66975.04     | 0.07%             | 2044-07-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST                                                                        | DSLA 2005-AR1 2A2   | CUSIP: 23332UCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        16 | PA      | $0.00         | 0.00%             | 2045-02-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                     | DELHE 1999-3 M1     | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80729 | PA      | $50875.54     | 0.05%             | 2030-01-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2007-OA5 A3   | CUSIP: 25150XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    939174 | PA      | $749617.11    | 0.79%             | 2047-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2005-5 1A3    | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34071 | PA      | $69996.12     | 0.07%             | 2035-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust 2002-B                                                                  | EMCM 2002-AA M2     | CUSIP: 268668AS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440711 | PA      | $439444.55    | 0.46%             | 2039-05-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                                                              | EMLT 2004-3 M9      | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446757 | PA      | $370773.27    | 0.39%             | 2034-12-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-90 SA      | CUSIP: 3136A7RN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    835913 | PA      | $84203.12     | 0.09%             | 2042-08-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-144 SH     | CUSIP: 3136ABJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3185383 | PA      | $347278.09    | 0.37%             | 2043-01-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FNR 2017-16 CS      | CUSIP: 3136AVA82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2992209 | PA      | $334159.13    | 0.35%             | 2047-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FNR 2017-14 DS      | CUSIP: 3136AVWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1962611 | PA      | $229723.06    | 0.24%             | 2047-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2017-68 SN      | CUSIP: 3136AXM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2013597 | PA      | $260125.36    | 0.28%             | 2047-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2018-64 SE      | CUSIP: 3136B23K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1466448 | PA      | $183208.96    | 0.19%             | 2048-09-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4238 NS         | CUSIP: 3137B4EB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    452478 | PA      | $48294.82     | 0.05%             | 2042-02-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4416 DS         | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2733819 | PA      | $318151.78    | 0.34%             | 2044-12-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4583 ST         | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    157966 | PA      | $16389.88     | 0.02%             | 2046-05-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4685 SA         | CUSIP: 3137BXSJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1325306 | PA      | $173830.98    | 0.18%             | 2047-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4718 SC         | CUSIP: 3137FAT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2928149 | PA      | $338710.37    | 0.36%             | 2047-09-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                          | FHR 4796 AS         | CUSIP: 3137FG4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    966127 | PA      | $138486.38    | 0.15%             | 2048-05-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNW 2003-W1 M       | CUSIP: 31392GWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     89821 | PA      | $78977.48     | 0.08%             | 2042-12-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| First American Funds Inc.                                                                       | FRST AM-GV OB-X     | CUSIP: 31846V336<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |   3302040 | PA      | $3302040.16   | 3.49%             |  |  |  | No            |                  1 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2002-FF4 M1    | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640958 | PA      | $553391.78    | 0.59%             | 2033-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2003-FF4 M2    | CUSIP: 32027NDV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283856 | PA      | $263818.91    | 0.28%             | 2033-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-B M6      | CUSIP: 35729PDV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16985 | PA      | $16874.00     | 0.02%             | 2034-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-C M3      | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       325 | PA      | $283.22       | 0.00%             | 2034-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                | GECMS 1999-HE2 B1   | CUSIP: 36157R3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11152 | PA      | $3661.47      | 0.00%             | 2029-07-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LOAN                                                                  | GMACM 2006-HE1 A    | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 140883114 | PA      | $88756.36     | 0.09%             | 2036-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2004-7 1A2      | CUSIP: 36228F5Q5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      7972 | PA      | $7732.30      | 0.01%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2003-2F 2A5     | CUSIP: 36228FMW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    155788 | PA      | $156428.49    | 0.17%             | 2032-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                              | GSR 2006-9F 6A1     | CUSIP: 3622X7AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040009 | PA      | $69054.00     | 0.07%             | 2036-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                                   | GSAA 2006-3 A1      | CUSIP: 362334BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47020 | PA      | $14969.27     | 0.02%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSAMP 2004-OPT B2   | CUSIP: 36242DNY5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    277161 | PA      | $219752.59    | 0.23%             | 2034-11-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC22                                                          | GSMS 2014-GC22 D    | CUSIP: 36253BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $1041577.25   | 1.10%             | 2047-06-10      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Gsmps Mtg Ln Trust                                                                              | GSMPS 2003-3 B1     | CUSIP: 36290PAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725632 | PA      | $7.26         | 0.00%             | 2043-06-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                                | GSR 2006-AR2 1B2    | CUSIP: 36297TAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13663 | PA      | $3023.31      | 0.00%             | 2035-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                             | GMSL 2005-A B1      | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    438764 | PA      | $384972.30    | 0.41%             | 2032-04-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2007-15 IO      | CUSIP: 38373MYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2536476 | PA      | $6517.47      | 0.01%             | 2047-03-16      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2012-72 IO      | CUSIP: 38378BVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    355998 | PA      | $1261.48      | 0.00%             | 2052-11-16      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-6 IO       | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3686924 | PA      | $49172.88     | 0.05%             | 2051-02-16      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-122 IO     | CUSIP: 38379KE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    243149 | PA      | $7.95         | 0.00%             | 2057-05-16      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2019-111 SK     | CUSIP: 38381YLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7940541 | PA      | $86386.73     | 0.09%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                                      | GPMF 2006-AR3 3A1   | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7355 | PA      | $7355.00      | 0.01%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Greenpoint 06-Ar8                                                                               | GPMF 2006-AR8 2A    | CUSIP: 39539HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26332087 | PA      | $147775.15    | 0.16%             | 2047-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS A      | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $756288.61    | 0.80%             | 2031-07-05      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS E      | CUSIP: 40390AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8113000 | PA      | $244572.06    | 0.26%             | 2031-07-05      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS F      | CUSIP: 40390AAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $161680.00    | 0.17%             | 2031-07-05      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2006-1 X1     | CUSIP: 41161PB36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9472465 | PA      | $94.72        | 0.00%             | 2036-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2005-8 1X     | CUSIP: 41161PQX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11346167 | PA      | $113.46       | 0.00%             | 2035-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                                                | HELT 2007-FRE1 M1   | CUSIP: 43710XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2711137 | PA      | $2644277.18   | 2.80%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust 2006 1                                                                  | HMBT 2005-1 B1      | CUSIP: 43739EAT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234166 | PA      | $153035.37    | 0.16%             | 2035-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-1 M1     | CUSIP: 449670ED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453975 | PA      | $453824.54    | 0.48%             | 2029-06-20      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-5 A6     | CUSIP: 449670EY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        32 | PA      | $31.62        | 0.00%             | 2037-03-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2002-2 M1      | CUSIP: 45254TLL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242527 | PA      | $109113.63    | 0.12%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2004-1 M2      | CUSIP: 45254TPB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730621 | PA      | $442013.35    | 0.47%             | 2034-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INHEL 2003-A MF1    | CUSIP: 456606DX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83961 | PA      | $201291.71    | 0.21%             | 2033-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INABS 2005-D M1     | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128638 | PA      | $122288.45    | 0.13%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A16 A3    | CUSIP: 45660L2V0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267472 | PA      | $110136.23    | 0.12%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A11 1AX   | CUSIP: 45660LB24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10750053 | PA      | $111872.58    | 0.12%             | 2035-10-25      | Floating      | 0.30%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR2 2A1B  | CUSIP: 45660LCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170747 | PA      | $120747.34    | 0.13%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR4 2A1A  | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  57035000 | PA      | $11407.00     | 0.01%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2004-AR9 5M2   | CUSIP: 45660N3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644830 | PA      | $480255.01    | 0.51%             | 2034-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2006-AR5 2A1   | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29226 | PA      | $28408.35     | 0.03%             | 2036-05-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2005-A1 IB2   | CUSIP: 466247MC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957411 | PA      | $945311.66    | 1.00%             | 2035-02-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A6 3A2   | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42085 | PA      | $22974.01     | 0.02%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt 06                                                                                | JPALT 2006-A2 5A1   | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306551 | PA      | $160250.43    | 0.17%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A7 2A2   | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106663 | PA      | $88786.08     | 0.09%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                      | JPMCC 2013-LC11 D   | CUSIP: 46639YAX5<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |    388922 | PA      | $2916.91      | 0.00%             | 2046-04-15      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                                             | JPMBB 2015-C28 E    | CUSIP: 46644FAZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $820957.90    | 0.87%             | 2048-10-15      | Floating      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2016-C1                                              | JPMBB 2016-C1 E     | CUSIP: 46645LAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3302000 | PA      | $2473661.27   | 2.62%             | 2049-03-15      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC C    | CUSIP: 46649GAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64000 | PA      | $3362.69      | 0.00%             | 2031-04-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC D    | CUSIP: 46649GAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000 | PA      | $848.80       | 0.00%             | 2031-04-15      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                           | LMT 2005-3 2A7      | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25056 | PA      | $22477.53     | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST                                                                                 | LXS 2006-18N A5A    | CUSIP: 52522GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085906 | PA      | $31507.84     | 0.03%             | 2036-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-1 1A4      | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139076 | PA      | $114437.90    | 0.12%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-16N 2A2    | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97401 | PA      | $90351.36     | 0.10%             | 2047-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                               | MASTR 2004-3 4A11   | CUSIP: 55265K8B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22976 | PA      | $17692.66     | 0.02%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A1     | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280918 | PA      | $22692.36     | 0.02%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A3     | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432181 | PA      | $34461.99     | 0.04%             | 2036-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-FRE1 M6   | CUSIP: 57643LDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101247 | PA      | $90906.99     | 0.10%             | 2034-07-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-OPT2 M4   | CUSIP: 57643LEZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24381 | PA      | $20069.04     | 0.02%             | 2034-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLCC 2003-G XA2     | CUSIP: 5899295Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1456357 | PA      | $4678.98      | 0.00%             | 2029-01-25      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2003-A1 M2     | CUSIP: 589929E95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27260 | PA      | $27176.99     | 0.03%             | 2032-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2004-A1 M1     | CUSIP: 59020UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14965 | PA      | $10253.08     | 0.01%             | 2034-02-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB6 B1   | CUSIP: 59020UJF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54765 | PA      | $46513.29     | 0.05%             | 2035-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB8 M1   | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       260 | PA      | $259.65       | 0.00%             | 2035-12-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2005-WMC1 M2   | CUSIP: 59020UQW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2865 | PA      | $2797.64      | 0.00%             | 2035-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                                 | MLCC 2007-3 M1      | CUSIP: 59022XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259271 | PA      | $103769.21    | 0.11%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2004-NC7 M4    | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |      2626 | PA      | $3871.02      | 0.00%             | 2034-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2005-WMC4 M6   | CUSIP: 61744CRF5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    122197 | PA      | $115936.29    | 0.12%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C29 E    | CUSIP: 61766EAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $1364679.45   | 1.44%             | 2049-05-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C30 E    | CUSIP: 61766NAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3976000 | PA      | $2468117.11   | 2.61%             | 2049-09-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                           | MHL 2005-2 2M2      | CUSIP: 61915RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16588 | PA      | $15929.78     | 0.02%             | 2035-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-2 M2     | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653565 | PA      | $491190.90    | 0.52%             | 2033-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                                             | NCMT 2007-1 M2      | CUSIP: 65106FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1243724 | PA      | $1857893.75   | 1.97%             | 2037-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                             | NAA 2004-AR1 5M1    | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110417 | PA      | $135564.38    | 0.14%             | 2034-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                                   | NHEL 2004-3 B1      | CUSIP: 66987XFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329739 | PA      | $292760.51    | 0.31%             | 2034-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M3     | CUSIP: 68389FEU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202353 | PA      | $176398.56    | 0.19%             | 2034-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M4     | CUSIP: 68389FEV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298286 | PA      | $251791.97    | 0.27%             | 2034-01-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-2 M4     | CUSIP: 68389FFK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471888 | PA      | $473902.96    | 0.50%             | 2034-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing Contract Trust 2001-A                                               | ORGN 2001-A M1      | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101148 | PA      | $101468.52    | 0.11%             | 2032-03-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Peoples Choice Home Loan Securities Trust Series 2005-4                                         | PCHLT 2004-2 M5     | CUSIP: 71085PAZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1271430 | PA      | $812921.47    | 0.86%             | 2034-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                                     | PRIME 2006-1 1A1    | CUSIP: 74161BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       370 | PA      | $0.04         | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs7 Trust                                                                      | RALI 2006-QS7 A4    | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105184 | PA      | $75983.59     | 0.08%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH7 1A2   | CUSIP: 75115LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460536 | PA      | $802184.74    | 0.85%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH5 AI2   | CUSIP: 75116EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  49048800 | PA      | $153839.11    | 0.16%             | 2037-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                           | RAMC 2002-3 B       | CUSIP: 75970NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302706 | PA      | $203601.85    | 0.22%             | 2032-12-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                              | RAMC 2003-2 M2A     | CUSIP: 759950AZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260668 | PA      | $225399.17    | 0.24%             | 2033-08-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2004-SL1 MI6   | CUSIP: 760985Z95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6258 | PA      | $6376.79      | 0.01%             | 2031-10-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QS7 CB    | CUSIP: 761118AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134752 | PA      | $121837.10    | 0.13%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QO1 A3    | CUSIP: 761118EQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3014371 | PA      | $1160016.90   | 1.23%             | 2035-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2005-RS8 M2    | CUSIP: 76112BZK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80989 | PA      | $80880.99     | 0.09%             | 2035-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Saco I Inc                                                                                      | SACO 1999-3 1B1     | CUSIP: 78386NBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80933 | PA      | $79420.79     | 0.08%             | 2039-04-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                             | SACO 2006-3 A1      | CUSIP: 785778QJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7561 | PA      | $159195.57    | 0.17%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                           | SBM7 1997-LB6 B2    | CUSIP: 79548KYB8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |    143937 | PA      | $22352.89     | 0.02%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII Inc.                                           | SBM7 2002-WMC1 M1   | CUSIP: 79549AKF5<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |     16965 | PA      | $16978.81     | 0.02%             | 2032-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2004-2 MV3     | CUSIP: 805564QM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52691 | PA      | $58234.54     | 0.06%             | 2035-08-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2005-1 B3      | CUSIP: 805564RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948250 | PA      | $50229.77     | 0.05%             | 2035-05-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2007-4 M1      | CUSIP: 80557CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $2968256.25   | 3.14%             | 2037-12-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC1 B2    | CUSIP: 81375WAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30746 | PA      | $35595.90     | 0.04%             | 2034-02-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC3 M2    | CUSIP: 81375WCK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142039 | PA      | $155291.71    | 0.16%             | 2034-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                             | SVHE 2004-WMC1 M4   | CUSIP: 83611MBY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28188 | PA      | $23772.93     | 0.03%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2003-BC2 B1    | CUSIP: 84751PAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166394 | PA      | $196871.74    | 0.21%             | 2034-06-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2004-BC1 B1    | CUSIP: 84751PCC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509793 | PA      | $569113.25    | 0.60%             | 2035-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust 2014-Star                                                        | SRPT 2014-STAR A    | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-O            | CORP              | US        |   4467482 | PA      | $2826010.59   | 2.99%             | 2027-11-15      | Floating      | 0.79%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC4 M4    | CUSIP: 86358EBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145759 | PA      | $137113.49    | 0.15%             | 2033-06-25      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC8 M2    | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68262 | PA      | $64389.60     | 0.07%             | 2033-08-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2001-SB1 A5    | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6385 | PA      | $3952.64      | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | ARC 2001-BC5 M1     | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164752 | PA      | $183267.28    | 0.19%             | 2031-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2002-AL1 A2    | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11799 | PA      | $9996.90      | 0.01%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-AL1 B1    | CUSIP: 86359AMH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164038 | PA      | $107253.72    | 0.11%             | 2031-04-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-9A B1II   | CUSIP: 86359ARN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123028 | PA      | $115262.95    | 0.12%             | 2033-03-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MOR                                                                  | SASC 2005-S1 M4     | CUSIP: 86359B4F5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14757000 | PA      | $40709.99     | 0.04%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                         | SAMI 2005-AR5 X2    | CUSIP: 86359LPH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734006 | PA      | $7313.56      | 0.01%             | 2035-07-19      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                                       | SAMI 2006-AR7 A10   | CUSIP: 86361HAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $598.23       | 0.00%             | 2036-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mort                                                                               | SAMI 2007-AR6 A2    | CUSIP: 86364RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983380 | PA      | $1467965.47   | 1.55%             | 2047-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                                  | STALT 2006-1F 1A4   | CUSIP: 86800RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446124 | PA      | $139237.76    | 0.15%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-5SL B3    | CUSIP: 881561BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14642 | PA      | $11782.66     | 0.01%             | 2034-10-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-7SL B3    | CUSIP: 881561CV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13079 | PA      | $12624.24     | 0.01%             | 2033-12-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2006-HF1 M1    | CUSIP: 881561R63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $160716.33    | 0.17%             | 2037-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UCFC Acceptance Corp Series 1998-D                                                              | UCFC 1998-D MF2     | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930278 | PA      | $941324.05    | 1.00%             | 2030-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                        | WFRBS 2013-C14 E    | CUSIP: 92890PBJ2<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $1164369.60   | 1.23%             | 2046-06-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                            | WAMU 2005-AR15 X    | CUSIP: 92922F6D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18056988 | PA      | $12443.07     | 0.01%             | 2045-11-25      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                  | WFCM 2013-LC12 D    | CUSIP: 94988QAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2392000 | PA      | $1655562.52   | 1.75%             | 2046-07-15      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 D     | CUSIP: 94989DAG4<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1631000 | PA      | $900327.66    | 0.95%             | 2048-02-15      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 E     | CUSIP: 94989DAJ8<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $819510.67    | 0.87%             | 2048-02-15      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Tr 2016-C36                                                                    | WFCM 2016-C36 D     | CUSIP: 95000MAC5<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1937250.75   | 2.05%             | 2059-11-15      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                                                              | WIMLT 1997-2 A7     | CUSIP: 971885AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33588 | PA      | $33412.79     | 0.04%             | 2028-03-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust 2007-1                                                                 | YMLT 2007-1 A       | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171113 | PA      | $52509.43     | 0.06%             | 2037-06-25      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-28

**Name of Applicant:** Northern Lights Fund Trust

**Signature:** James Colantino

**Name of Signer:** James Colantino

**Title:** Treasurer