# EDGAR Filing Document

**Accession Number:** 0001970751
**File Stem:** 0000894189-26-007299
**Filing Date:** 2026-3
**Character Count:** 1033510
**Document Hash:** 3e06bec6fd87a3b4866d26254b584d8e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-007299.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000894189-26-007299

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Advisor Managed Portfolios
- **CENTRAL INDEX KEY:** 0001970751

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23859
- **FILM NUMBER:** 26705432

**BUSINESS ADDRESS:**
- **STREET 1:** 615 EAST MICHIGAN STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** (626) 914-7385

**MAIL ADDRESS:**
- **STREET 1:** 615 EAST MICHIGAN STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

## Series and Classes Contracts Data

### Regan Total Return Income Fund (Series ID: S000082971)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000246397 | Investor Class      | RCTRX           |
| C000246398 | Institutional Class | RCIRX           |

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES - 47.7%** | **Par** | **Value**  |
| ABN Amro Mortgage Corp. | ABN Amro Mortgage Corp. | ABN Amro Mortgage Corp. |
| &nbsp;&nbsp; Series 2002-9, Class M, 5.75%, 12/25/2032 | $79445 | $79474 |
| &nbsp;&nbsp; Series 2003-3, Class A4, 5.75%, 02/25/2033 | 33930 | 33734 |
|  ABSC Manufactured Housing Contract, Series 2004-CN1, Class A2, 8.40%, 12/02/2030 <sup>(a)(b)</sup> | 1088234 | 1097288 |
|  Accredited Mortgage Loan Trust, Series 2004-4, Class A1A, 4.53% (1 mo. Term SOFR + 0.79%), 01/25/2035 | 44855 | 44841 |
| ACE Securities Corp. | ACE Securities Corp. | ACE Securities Corp. |
| &nbsp;&nbsp; Series 2004-RM1, Class M3, 6.02% (1 mo. Term SOFR + 2.29%), 07/25/2034 | 176647 | 171313 |
| &nbsp;&nbsp; Series 2006-ASL1, Class A, 4.13% (1 mo. Term SOFR + 0.39%), 02/25/2036 | 262576 | 17808 |
| &nbsp;&nbsp; Series 2006-SL3, Class A1, 4.05% (1 mo. Term SOFR + 0.31%), 06/25/2036 | 9093539 | 75038 |
| &nbsp;&nbsp; Series 2006-SL4, Class A1, 4.09% (1 mo. Term SOFR + 0.35%), 09/25/2036 | 1751875 | 64378 |
| &nbsp;&nbsp; Series 2007-D1, Class A3, 7.25%, 02/25/2038 <sup>(a)(c)</sup> | 1640229 | 1264449 |
| &nbsp;&nbsp; Series 2007-D1, Class A4, 6.93%, 02/25/2038 <sup>(a)(c)</sup> | 347256 | 296900 |
| &nbsp;&nbsp; Series 2007-HE5, Class A2C, 4.21% (1 mo. Term SOFR + 0.47%), 07/25/2037 | 6518161 | 2063306 |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust |
| &nbsp;&nbsp; Series 2004-2, Class 6A1, 5.55%, 02/25/2035 <sup>(b)</sup> | 6709 | 6668 |
| &nbsp;&nbsp; Series 2004-4, Class 3A1, 4.58%, 03/25/2035 <sup>(b)</sup> | 22792 | 22445 |
| &nbsp;&nbsp; Series 2005-10, Class 1A1, 5.55%, 01/25/2036 <sup>(b)</sup> | 182259 | 174076 |
| &nbsp;&nbsp; Series 2005-10, Class 6A21, 4.35% (1 mo. Term SOFR + 0.61%), 01/25/2036 | 92652 | 88570 |
| &nbsp;&nbsp; Series 2005-3, Class 7A1, 6.82%, 07/25/2035 <sup>(b)</sup> | 146770 | 140664 |
| &nbsp;&nbsp; Series 2005-6A, Class 2A1, 4.47% (1 mo. Term SOFR + 0.73%), 11/25/2035 | 114967 | 30551 |
| &nbsp;&nbsp; Series 2005-7, Class 1A1, 5.45%, 10/25/2035 <sup>(b)</sup> | 150463 | 108654 |
| &nbsp;&nbsp; Series 2005-7, Class 2A21, 4.61%, 10/25/2035 <sup>(b)</sup> | 884066 | 775199 |
| &nbsp;&nbsp; Series 2005-7, Class 5A1, 4.79%, 10/25/2035 <sup>(b)</sup> | 1761511 | 1240938 |
| &nbsp;&nbsp; Series 2006-1, Class 1A1, 4.50%, 03/25/2036 <sup>(b)</sup> | 56598 | 52538 |
|  Aegis Asset Backed Securities Trust, Series 2004-5, Class M2, 5.68% (1 mo. Term SOFR + 1.94%), 12/25/2034 | 143708 | 131932 |
|  AFC Home Equity Loan Trust, Series 2000-1, Class 2A, 4.49% (1 mo. Term SOFR + 0.75%), 03/25/2030 | 100219 | 96912 |
|  Alliance Bancorp Trust, Series 2007-OA1, Class A1, 4.33% (1 mo. Term SOFR + 0.59%), 07/25/2037 | 557545 | 498013 |
| American Home Mortgage Assets LLC | American Home Mortgage Assets LLC | American Home Mortgage Assets LLC |
| &nbsp;&nbsp; Series 2006-1, Class 1A1, 4.06% (1 mo. Term SOFR + 0.32%), 05/25/2046 | 892139 | 842137 |
| &nbsp;&nbsp; Series 2006-2, Class 1A1, 4.99% (MTA + 0.96%), 09/25/2046 | 431963 | 406221 |
| &nbsp;&nbsp; Series 2006-6, Class A1A, 4.04% (1 mo. Term SOFR + 0.30%), 12/25/2046 | 59397 | 51811 |
| &nbsp;&nbsp; Series 2007-3, Class 11A1, 4.27% (1 mo. Term SOFR + 0.53%), 06/25/2037 | 136577 | 133020 |
| American Home Mortgage Investment Trust | American Home Mortgage Investment Trust | American Home Mortgage Investment Trust |
| &nbsp;&nbsp; Series 2004-3, Class MH1, 4.64% (1 mo. Term SOFR + 1.01%), 10/25/2034 | 82721 | 80906 |
| &nbsp;&nbsp; Series 2005-2, Class 2A3, 7.13% (1 mo. Term SOFR + 3.25%), 09/25/2045 | 486538 | 395882 |
| &nbsp;&nbsp; Series 2005-4, Class 5A, 5.88% (6 mo. Term SOFR + 2.18%), 11/25/2045 | 830533 | 305636 |
| &nbsp;&nbsp; Series 2006-3, Class 12A1, 4.23% (1 mo. Term SOFR + 0.49%), 12/25/2046 | 265282 | 251285 |
| &nbsp;&nbsp; Series 2007-1, Class GA1A, 4.01% (1 mo. Term SOFR + 0.27%), 05/25/2047 | 6391517 | 4889195 |
| &nbsp;&nbsp; Series 2007-1, Class GIOP, 2.08%, 05/25/2047 <sup>(d)</sup> | 21042054 | 3265965 |
| &nbsp;&nbsp; Series 2007-2, Class 12A1, 4.39% (1 mo. Term SOFR + 0.65%), 03/25/2037 | 975261 | 345148 |
| &nbsp;&nbsp; Series 2007-A, Class 4A, 4.75% (1 mo. Term SOFR + 1.01%), 07/25/2046 <sup>(a)</sup> | 109975 | 22393 |
|  Angel Oak Mortgage Trust LLC, Series 2024-4, Class A1, 6.20%, 01/25/2069 <sup>(a)(c)</sup> | 215321 | 217857 |
|  Argent Securities Inc., Series 2006-W5, Class A2B, 4.05% (1 mo. Term SOFR + 0.31%), 06/25/2036 | 298702 | 80988 |
|  Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-W7, Series 2006-W4, Class A2D, 4.39% (1 mo. Term SOFR + 0.65%), 05/25/2036 | 267765 | 63535 |
| ASG Resecuritization Trust | ASG Resecuritization Trust | ASG Resecuritization Trust |
| &nbsp;&nbsp; Series 2011-1, Class 2H1, 6.00%, 09/28/2036 <sup>(a)(b)(e)</sup> | 3222000 | 1006875 |
| &nbsp;&nbsp; Series 2013-2, Class 1M40, 4.98%, 12/28/2035 <sup>(a)(b)(e)</sup> | 2108685 | 1907042 |
| Asset Backed Funding Certificates | Asset Backed Funding Certificates | Asset Backed Funding Certificates |
| &nbsp;&nbsp; Series 2005-AQ1W, Class A5, 4.81%, 06/25/2035 <sup>(c)(e)</sup> | 14947865 | 14424690 |
| &nbsp;&nbsp; Series 2005-WF1, Class M8, 5.72% (1 mo. Term SOFR + 1.99%), 04/25/2034 | 324122 | 329198 |
| &nbsp;&nbsp; Series 2007-WMC1, Class A1A, 5.10% (1 mo. Term SOFR + 1.36%), 06/25/2037 | 142608 | 101952 |
|  Asset Backed Securities Corp. Home Equity, Series 2005-HE2, Class M4, 5.08% (1 mo. Term SOFR + 1.34%), 02/25/2035 | 199370 | 192077 |
| Banc of America Alternative Loan Trust | Banc of America Alternative Loan Trust | Banc of America Alternative Loan Trust |
| &nbsp;&nbsp; Series 2005-10, Class 1CB1, 4.25% (1 mo. Term SOFR + 0.51%), 11/25/2035 | 402007 | 351391 |
| &nbsp;&nbsp; Series 2005-11, Class 1CB3, 5.50%, 12/25/2035 | 184360 | 168746 |
| &nbsp;&nbsp; Series 2005-11, Class 1CB5, 5.50%, 12/25/2035 | 154136 | 141082 |
| &nbsp;&nbsp; Series 2006-4, Class 3CB4, 6.00%, 05/25/2046 | 152314 | 141891 |
| &nbsp;&nbsp; Series 2006-5, Class CB7, 6.00%, 06/25/2046 | 747608 | 657510 |
| &nbsp;&nbsp; Series 2006-6, Class 2A10, 6.00%, 07/25/2046 | 424089 | 359725 |
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Banc of America Alternative Loan Trust (Continued) | Banc of America Alternative Loan Trust (Continued) | Banc of America Alternative Loan Trust (Continued) |
| &nbsp;&nbsp; Series 2006-6, Class 2A8, 6.00%, 07/25/2046 | 305774 | 259367 |
| &nbsp;&nbsp; Series 2006-6, Class CB1, 4.50% (1 mo. Term SOFR + 0.76%), 07/25/2046 | 483139 | 374962 |
| &nbsp;&nbsp; Series 2007-1, Class 1A1, 3.79%, 04/25/2028 <sup>(b)</sup> | 207151 | 189721 |
| &nbsp;&nbsp; Series 2007-2, Class 1A1, 5.50%, 06/25/2037 | 583944 | 514276 |
| &nbsp;&nbsp; Series 2007-2, Class 3A2, 4.21% (1 mo. Term SOFR + 0.47%), 06/25/2037 | 117310 | 85570 |
| Banc of America Funding Corp. | Banc of America Funding Corp. | Banc of America Funding Corp. |
| &nbsp;&nbsp; Series 2003-2, Class B1, 6.50%, 06/25/2032 <sup>(b)</sup> | 144837 | 143738 |
| &nbsp;&nbsp; Series 2005-1, Class 1A6, 5.50%, 02/25/2035 | 23717 | 23464 |
| &nbsp;&nbsp; Series 2005-3, Class 1A10, 5.25%, 06/25/2035 | 248141 | 230298 |
| &nbsp;&nbsp; Series 2005-5, Class 3A5, 5.50%, 08/25/2035 | 123321 | 116074 |
| &nbsp;&nbsp; Series 2005-6, Class 1A3, 5.75%, 10/25/2035 | 938354 | 777395 |
| &nbsp;&nbsp; Series 2005-6, Class 1A8, 6.00%, 10/25/2035 | 268486 | 226922 |
| &nbsp;&nbsp; Series 2005-7, Class 4A3, 5.75%, 11/25/2035 | 66099 | 64791 |
| &nbsp;&nbsp; Series 2005-8, Class 1A1, 5.50%, 01/25/2036 | 193962 | 159712 |
| &nbsp;&nbsp; Series 2005-B, Class 2A1, 4.67%, 04/20/2035 <sup>(b)</sup> | 257066 | 241742 |
| &nbsp;&nbsp; Series 2005-E, Class 8A1, 5.46% (MTA + 1.43%), 06/20/2035 | 1078257 | 858090 |
| &nbsp;&nbsp; Series 2005-H, Class 1A1, 4.97%, 11/20/2035 <sup>(b)</sup> | 78305 | 70266 |
| &nbsp;&nbsp; Series 2006-4, Class A5, 6.00%, 07/25/2036 | 2275184 | 1816133 |
| &nbsp;&nbsp; Series 2006-7, Class 1A1, 4.30% (1 mo. Term SOFR + 0.56%), 09/25/2036 | 589733 | 461810 |
| &nbsp;&nbsp; Series 2006-7, Class 1A3, 2.70% (-1 x 1 mo. Term SOFR + 6.44%), 09/25/2036 <sup>(d)(f)</sup> | 217314 | 26135 |
| &nbsp;&nbsp; Series 2006-B, Class 2A1, 4.64%, 03/20/2036 <sup>(b)</sup> | 35573 | 32620 |
| &nbsp;&nbsp; Series 2006-G, Class 3A3, 5.97% (12 mo. Term SOFR + 2.47%), 07/20/2036 | 2816 | 2804 |
| &nbsp;&nbsp; Series 2006-H, Class 2A2, 4.69%, 09/20/2046 <sup>(b)</sup> | 337447 | 294648 |
| &nbsp;&nbsp; Series 2006-I, Class 6A1, 4.23% (1 mo. Term SOFR + 0.49%), 12/20/2046 | 1188922 | 1073203 |
| &nbsp;&nbsp; Series 2007-1, Class 1A3, 6.00%, 01/25/2037 | 42632 | 37247 |
| &nbsp;&nbsp; Series 2007-1, Class TA1A, 3.91% (1 mo. Term SOFR + 0.17%), 01/25/2037 | 202653 | 177966 |
| &nbsp;&nbsp; Series 2007-1, Class TA3A, 4.17% (1 mo. Term SOFR + 0.43%), 01/25/2037 | 505297 | 450058 |
| &nbsp;&nbsp; Series 2007-2, Class 1A16, 4.45% (1 mo. Term SOFR + 0.71%), 03/25/2037 | 248296 | 179947 |
| &nbsp;&nbsp; Series 2007-2, Class 1A31, 6.00%, 03/25/2037 | 344911 | 262901 |
| &nbsp;&nbsp; Series 2007-2, Class TA1B, 5.81%, 03/25/2037 <sup>(b)</sup> | 45480 | 47212 |
| &nbsp;&nbsp; Series 2007-4, Class 3A1, 4.22% (1 mo. Term SOFR + 0.48%), 06/25/2037 | 150269 | 115897 |
| &nbsp;&nbsp; Series 2007-8, Class 4A1, 6.00%, 08/25/2037 | 76418 | 61853 |
| &nbsp;&nbsp; Series 2007-A, Class 2A1, 4.17% (1 mo. Term SOFR + 0.43%), 02/20/2047 | 769814 | 727130 |
| &nbsp;&nbsp; Series 2007-C, Class 7A4, 4.29% (1 mo. Term SOFR + 0.55%), 05/20/2047 | 211602 | 198565 |
| &nbsp;&nbsp; Series 2007-C, Class 7A5, 4.45% (1 mo. Term SOFR + 0.71%), 05/20/2047 | 938334 | 886399 |
| &nbsp;&nbsp; Series 2009-R14A, Class 2A, 7.27% (-2 x 1 mo. Term SOFR + 14.80%), 07/26/2035 <sup>(a)(f)</sup> | 413868 | 351251 |
| &nbsp;&nbsp; Series 2010-R6, Class 3A4, 6.25%, 09/26/2037 <sup>(a)(b)</sup> | 583902 | 191700 |
| &nbsp;&nbsp; Series 2010-R8, Class 1A4, 5.75%, 05/26/2036 <sup>(a)</sup> | 264187 | 149484 |
| &nbsp;&nbsp; Series 2014-R6, Class 3A2, 4.34%, 10/26/2036 <sup>(a)(b)(e)</sup> | 817625 | 745061 |
| &nbsp;&nbsp; Series 2015-R2, Class 3A3, 3.63%, 04/29/2037 <sup>(a)(b)</sup> | 1675800 | 1518628 |
| &nbsp;&nbsp; Series 2016-R2, Class 1A2, 10.43%, 05/01/2033 <sup>(a)(b)</sup> | 2024703 | 2122577 |
|  Banc of America Funding Corporation, Series 2006-4, Class A11, 6.00%, 07/25/2036 | 156652 | 125045 |
| Banc of America Mortgage Securities | Banc of America Mortgage Securities | Banc of America Mortgage Securities |
| &nbsp;&nbsp; Series 2003-H, Class 2A2, 6.66%, 09/25/2033 <sup>(b)</sup> | 537480 | 516533 |
| &nbsp;&nbsp; Series 2005-E, Class 3A1, 5.39%, 06/25/2035 <sup>(b)</sup> | 203941 | 196053 |
| &nbsp;&nbsp; Series 2005-F, Class 2A2, 5.60%, 07/25/2035 <sup>(b)</sup> | 255978 | 243867 |
| &nbsp;&nbsp; Series 2007-3, Class 1A1, 6.00%, 09/25/2037 | 1503227 | 1246462 |
| Banc of America Mortgage Securities, Inc. | Banc of America Mortgage Securities, Inc. | Banc of America Mortgage Securities, Inc. |
| &nbsp;&nbsp; Series 2005-3, Class 2A3, 5.50%, 03/25/2035 | 411754 | 378637 |
| &nbsp;&nbsp; Series 2005-8, Class A12, 5.50%, 09/25/2035 | 686725 | 601290 |
| &nbsp;&nbsp; Series 2005-A, Class 1A1, 3.97%, 02/25/2035 <sup>(b)</sup> | 103463 | 89289 |
| &nbsp;&nbsp; Series 2005-G, Class 2A1, 5.23%, 08/25/2035 <sup>(b)</sup> | 394350 | 375823 |
| &nbsp;&nbsp; Series 2005-I, Class 3A1, 3.98%, 10/25/2035 <sup>(b)</sup> | 465792 | 374570 |
| &nbsp;&nbsp; Series 2005-J, Class 2A1, 5.10%, 11/25/2035 <sup>(b)</sup> | 48606 | 44293 |
| &nbsp;&nbsp; Series 2006-2, Class A2, 6.00% (1 mo. Term SOFR + 6.00%), 07/25/2046 | 256166 | 228013 |
| &nbsp;&nbsp; Series 2006-2, Class A3, 4.45% (1 mo. Term SOFR + 0.71%), 07/25/2046 | 632220 | 515331 |
| &nbsp;&nbsp; Series 2007-1, Class 1A4, 6.00%, 03/25/2037 | 993872 | 860222 |
| &nbsp;&nbsp; Series 2007-1, Class 2A11, 4.45% (1 mo. Term SOFR + 0.71%), 01/25/2037 | 722736 | 617779 |
| &nbsp;&nbsp; Series 2007-2, Class A1, 4.20% (1 mo. Term SOFR + 0.46%), 05/25/2037 | 1660872 | 1095611 |
| &nbsp;&nbsp; Series 2007-2, Class A6, 5.75%, 05/25/2037 | 158150 | 117045 |
| &nbsp;&nbsp; Series 2007-2, Class A7, 5.50%, 05/25/2037 | 60826 | 46820 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Banc of America Mortgage Securities, Inc. (Continued) | Banc of America Mortgage Securities, Inc. (Continued) | Banc of America Mortgage Securities, Inc. (Continued) |
| &nbsp;&nbsp; Series 2007-3, Class 2A13, 4.85% (1 mo. Term SOFR + 1.11%), 09/25/2037 <sup>(e)</sup> | 471569 | 326267 |
|  Bank of America NA, Series 2008-R4, Class 1A4, 4.52% (1 mo. Term SOFR + 0.56%), 07/25/2037 <sup>(a)</sup> | 1384770 | 958866 |
| BankAmerica Manufactured Housing Contract Trust | BankAmerica Manufactured Housing Contract Trust | BankAmerica Manufactured Housing Contract Trust |
| &nbsp;&nbsp; Series 1997-1, Class B1, 6.94%, 03/15/2026 | 600000 | 34995 |
| &nbsp;&nbsp; Series 1998-2, Class B1, 7.18%, 12/10/2026 <sup>(b)</sup> | 2177312 | 160689 |
|  Bayview Financial Acquisition Trust, Series 2006-C, Class 2A3, 4.28% (1 mo. Term SOFR + 0.55%), 11/28/2036 | 710054 | 675452 |
| BCAP LLC Trust | BCAP LLC Trust | BCAP LLC Trust |
| &nbsp;&nbsp; Series 2007-AA4, Class 12A1, 4.38%, 06/25/2047 <sup>(b)</sup> | 2487965 | 947754 |
| &nbsp;&nbsp; Series 2008-RR3, Class A1B, 6.70%, 10/25/2036 <sup>(a)(b)</sup> | 2676023 | 795773 |
| &nbsp;&nbsp; Series 2009-RR4, Class 1A2, 6.50%, 06/26/2037 <sup>(a)(b)</sup> | 72468 | 16216 |
| &nbsp;&nbsp; Series 2010-RR9, Class 6A2, 6.00%, 10/26/2035 <sup>(a)(b)(e)</sup> | 5896631 | 5030416 |
| &nbsp;&nbsp; Series 2011-RR4, Class 7A1, 5.25%, 04/26/2037 <sup>(a)(e)</sup> | 1802118 | 1009186 |
| &nbsp;&nbsp; Series 2011-RR4, Class 8A1, 5.25%, 02/26/2036 <sup>(a)(b)</sup> | 1203027 | 451835 |
| &nbsp;&nbsp; Series 2011-RR9, Class 6A6, 4.33%, 01/26/2036 <sup>(a)(b)(e)</sup> | 3251415 | 1355433 |
| &nbsp;&nbsp; Series 2012-RR4, Class 4A7, 4.06%, 02/26/2036 <sup>(a)(b)</sup> | 1803034 | 959639 |
| Bear Stearns Adjustable Rate Mortgage Trust | Bear Stearns Adjustable Rate Mortgage Trust | Bear Stearns Adjustable Rate Mortgage Trust |
| &nbsp;&nbsp; Series 2003-5, Class 2B1, 4.71%, 08/25/2033 <sup>(b)</sup> | 44512 | 37285 |
| &nbsp;&nbsp; Series 2003-6, Class 2A1, 6.37%, 08/25/2033 <sup>(b)</sup> | 80518 | 79644 |
| &nbsp;&nbsp; Series 2004-10, Class 12A5, 4.89%, 01/25/2035 <sup>(b)</sup> | 42247 | 40849 |
| &nbsp;&nbsp; Series 2005-12, Class 23A1, 4.42%, 02/25/2036 <sup>(b)</sup> | 399440 | 367809 |
| &nbsp;&nbsp; Series 2006-1, Class A1, 6.53% (1 yr. CMT Rate + 2.25%), 02/25/2036 | 79206 | 76753 |
| &nbsp;&nbsp; Series 2006-2, Class 2A1, 4.33%, 07/25/2036 <sup>(b)</sup> | 167950 | 144423 |
| &nbsp;&nbsp; Series 2006-2, Class 3A1, 4.21%, 07/25/2036 <sup>(b)</sup> | 296314 | 253768 |
| &nbsp;&nbsp; Series 2006-4, Class 2A1, 4.10%, 10/25/2036 <sup>(b)</sup> | 273244 | 229570 |
| &nbsp;&nbsp; Series 2007-2, Class 4A1, 5.85% (1 yr. CMT Rate + 2.20%), 12/25/2046 | 748436 | 676552 |
| Bear Stearns Alt-A Trust | Bear Stearns Alt-A Trust | Bear Stearns Alt-A Trust |
| &nbsp;&nbsp; Series 2003-6, Class 2A1, 5.48%, 01/25/2034 <sup>(b)</sup> | 120218 | 113642 |
| &nbsp;&nbsp; Series 2004-3, Class A1, 4.49% (1 mo. Term SOFR + 0.75%), 04/25/2034 | 116814 | 116131 |
| &nbsp;&nbsp; Series 2004-4, Class M1, 4.70% (1 mo. Term SOFR + 0.97%), 06/25/2034 | 1252479 | 1346491 |
| &nbsp;&nbsp; Series 2004-4, Class M2, 5.72% (1 mo. Term SOFR + 1.99%), 06/25/2034 | 218354 | 218040 |
| &nbsp;&nbsp; Series 2005-7, Class 23A1, 4.28%, 09/25/2035 <sup>(b)</sup> | 243876 | 98992 |
| &nbsp;&nbsp; Series 2006-3, Class 34A1, 4.06%, 05/25/2036 <sup>(b)</sup> | 3005563 | 1229710 |
| &nbsp;&nbsp; Series 2006-6, Class 31A1, 4.40%, 11/25/2036 <sup>(b)</sup> | 1043761 | 571469 |
| &nbsp;&nbsp; Series 2006-7, Class 23A1, 5.25%, 12/25/2046 <sup>(b)</sup> | 1544721 | 1034396 |
|  Bear Stearns Alt-A Trust II, Series 2007-1, Class 1A1, 4.19%, 09/25/2047 <sup>(b)</sup> | 6626399 | 3088296 |
| Bear Stearns Asset Backed Securities Trust | Bear Stearns Asset Backed Securities Trust | Bear Stearns Asset Backed Securities Trust |
| &nbsp;&nbsp; Series 2003-AC4, Class A, 5.50%, 09/25/2033 <sup>(c)</sup> | 71941 | 64766 |
| &nbsp;&nbsp; Series 2004-AC5, Class A1, 5.25%, 10/25/2034 <sup>(c)</sup> | 103616 | 100241 |
| &nbsp;&nbsp; Series 2004-FR2, Class M5, 4.83% (1 mo. Term SOFR + 2.74%), 06/25/2034 | 334034 | 413374 |
| &nbsp;&nbsp; Series 2004-HE7, Class M2, 5.57% (1 mo. Term SOFR + 1.84%), 08/25/2034 | 3109 | 3090 |
| &nbsp;&nbsp; Series 2004-HE8, Class M3, 5.61% (1 mo. Term SOFR + 2.21%), 09/25/2034 | 385326 | 380886 |
| &nbsp;&nbsp; Series 2004-HE9, Class M2, 5.19% (1 mo. Term SOFR + 1.91%), 11/25/2034 | 1731545 | 1684697 |
| &nbsp;&nbsp; Series 2005-AC2, Class 1M1, 4.52% (1 mo. Term SOFR + 0.79%), 04/25/2035 | 110646 | 67269 |
| &nbsp;&nbsp; Series 2005-AC6, Class 1A3, 5.50%, 09/25/2035 <sup>(b)</sup> | 270005 | 258562 |
| &nbsp;&nbsp; Series 2005-AC6, Class 1A4, 5.40%, 09/25/2035 <sup>(b)</sup> | 166544 | 159500 |
| &nbsp;&nbsp; Series 2005-AC8, Class A3, 3.80% (-1 x 1 mo. Term SOFR + 7.54%), 11/25/2035 <sup>(d)(f)</sup> | 3017321 | 765193 |
| &nbsp;&nbsp; Series 2005-SD2, Class 2M3, 7.60% (1 mo. Term SOFR + 3.86%), 12/25/2044 | 2687497 | 3285385 |
| &nbsp;&nbsp; Series 2006-AC3, Class 1A1, 4.25% (1 mo. Term SOFR + 0.51%), 05/25/2036 | 2696534 | 633814 |
| &nbsp;&nbsp; Series 2006-IM1, Class A1, 4.31% (1 mo. Term SOFR + 0.57%), 04/25/2036 | 2404849 | 2609447 |
| &nbsp;&nbsp; Series 2006-SD3, Class 23A2, 4.25% (1 mo. Term SOFR + 0.51%), 07/25/2036 | 835900 | 740596 |
| &nbsp;&nbsp; Series 2006-ST1, Class A1, 4.80% (1 mo. Term SOFR + 1.06%), 10/25/2036 <sup>(e)</sup> | 209951 | 151899 |
| &nbsp;&nbsp; Series 2006-ST1, Class A2, 3.20% (-1 x 1 mo. Term SOFR + 6.94%), 10/25/2036 <sup>(d)(e)(f)</sup> | 2881763 | 205326 |
| &nbsp;&nbsp; Series 2007-AC5, Class A3, 6.00%, 07/25/2037 | 3780099 | 1310087 |
| &nbsp;&nbsp; Series 2007-AC6, Class A1, 6.50%, 10/25/2037 | 1370732 | 534470 |
| &nbsp;&nbsp; Series 2007-HE2, Class 23A, 4.13% (1 mo. Term SOFR + 0.39%), 03/25/2037 | 76634 | 73904 |
| &nbsp;&nbsp; Series 2007-HE5, Class 2A, 4.07% (1 mo. Term SOFR + 0.33%), 06/25/2047 | 321922 | 320864 |
| &nbsp;&nbsp; Series 2007-SD1, Class 1A3A, 6.50%, 10/25/2036 | 1408468 | 461008 |
| &nbsp;&nbsp; Series 2007-SD1, Class 22A1, 4.90%, 10/25/2036 <sup>(b)</sup> | 828677 | 348466 |
|  Bear Stearns Cos. LLC, Series 2008-R2, Class 2A2, 4.11%, 06/25/2047 <sup>(a)(b)</sup> | 3392627 | 2619386 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Bear Stearns Mortgage Funding Trust | Bear Stearns Mortgage Funding Trust | Bear Stearns Mortgage Funding Trust |
| &nbsp;&nbsp; Series 2006-AR3, Class 2A1, 4.25% (1 mo. Term SOFR + 0.51%), 11/25/2036 | 63456 | 59461 |
| &nbsp;&nbsp; Series 2007-AR4, Class G2AB, 4.33% (1 mo. Term SOFR + 0.59%), 06/25/2037 | 6973967 | 6274212 |
| &nbsp;&nbsp; Series 2007-AR5, Class 1A1A, 4.19% (1 mo. Term SOFR + 0.45%), 06/25/2047 | 378061 | 335961 |
| &nbsp;&nbsp; Series 2007-AR5, Class 1A2G, 4.29% (1 mo. Term SOFR + 0.55%), 06/25/2047 | 1176720 | 1025033 |
| Bear Stearns Structured Products, Inc. | Bear Stearns Structured Products, Inc. | Bear Stearns Structured Products, Inc. |
| &nbsp;&nbsp; Series 2007-R6, Class 1A1, 5.00%, 01/26/2036 <sup>(b)(e)</sup> | 655465 | 475212 |
| &nbsp;&nbsp; Series 2007-R6, Class 2A1, 3.94%, 12/26/2046 <sup>(b)(e)</sup> | 204412 | 145132 |
|  Bombardier Capital Mortgage Securitization Corp., Series 2000-A, Class A2, 7.58%, 06/15/2030 <sup>(b)</sup> | 3879580 | 229756 |
| BRAVO Residential Funding Trust | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust |
| &nbsp;&nbsp; Series 2022-NQM3, Class A1, 5.11%, 07/25/2062 <sup>(a)(b)</sup> | 742453 | 741458 |
| &nbsp;&nbsp; Series 2023-NQM5, Class A1, 6.51%, 06/25/2063 <sup>(a)(c)</sup> | 1070740 | 1076000 |
| &nbsp;&nbsp; Series 2023-NQM8, Class A1, 6.39%, 10/25/2063 <sup>(a)(c)</sup> | 1899144 | 1912910 |
| &nbsp;&nbsp; Series 2024-NQM2, Class A1, 6.29%, 02/25/2064 <sup>(a)(c)</sup> | 3496445 | 3527635 |
| &nbsp;&nbsp; Series 2024-NQM3, Class A1, 6.19%, 03/25/2064 <sup>(a)(c)</sup> | 1628641 | 1644614 |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2006-FRE1, Class A4, 4.10% (1 mo. Term SOFR + 0.36%), 04/25/2036 | 1450000 | 1346019 |
| &nbsp;&nbsp; Series 2006-FRE2, Class A2, 3.97% (1 mo. Term SOFR + 0.23%), 10/25/2036 | 3561587 | 2777490 |
| CC Funding Corp./DE | CC Funding Corp./DE | CC Funding Corp./DE |
| &nbsp;&nbsp; Series 2003-4A, Class B1, 4.83%, 10/25/2034 <sup>(a)(b)</sup> | 249665 | 236407 |
| &nbsp;&nbsp; Series 2004-1A, Class A2, 4.18% (1 mo. Term SOFR + 0.44%), 01/25/2035 <sup>(a)</sup> | 403275 | 400409 |
| &nbsp;&nbsp; Series 2004-3A, Class A2, 4.15% (1 mo. Term SOFR + 0.41%), 08/25/2035 <sup>(a)</sup> | 38241 | 37573 |
| &nbsp;&nbsp; Series 2004-4A, Class B1, 3.67%, 10/25/2035 <sup>(a)(b)</sup> | 2333296 | 1973729 |
| &nbsp;&nbsp; Series 2006-1A, Class A1, 4.00% (1 mo. Term SOFR + 0.26%), 12/25/2046 <sup>(a)</sup> | 347558 | 308225 |
| &nbsp;&nbsp; Series 2006-2A, Class A2, 4.25% (1 mo. Term SOFR + 0.29%), 04/25/2047 <sup>(a)</sup> | 2878346 | 2238768 |
| &nbsp;&nbsp; Series 2006-4A, Class A1, 4.20% (1 mo. Term SOFR + 0.24%), 11/25/2047 <sup>(a)</sup> | 735146 | 777293 |
| &nbsp;&nbsp; Series 2006-4A, Class A2, 4.25% (1 mo. Term SOFR + 0.29%), 11/25/2047 <sup>(a)</sup> | 51580 | 46948 |
|  Charlie Mac LLC, Series 2004-1, Class A8, 4.40% (1 mo. Term SOFR + 0.66%), 08/25/2034 | 25687 | 24139 |
|  Chase Funding Mortgage Loan Asset-Backed, Series 2003-5, Class 1M2, 5.64%, 09/25/2032 <sup>(b)</sup> | 72328 | 66838 |
| Chase Mortgage Finance Corp. | Chase Mortgage Finance Corp. | Chase Mortgage Finance Corp. |
| &nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 02/25/2034 | 155328 | 156004 |
| &nbsp;&nbsp; Series 2005-A1, Class 2A4, 4.67%, 12/25/2035 <sup>(b)</sup> | 275243 | 261466 |
| &nbsp;&nbsp; Series 2006-S1, Class A5, 6.50%, 05/25/2036 | 4064585 | 1720938 |
| &nbsp;&nbsp; Series 2006-S2, Class 1A19, 6.25%, 10/25/2036 | 440315 | 157699 |
| &nbsp;&nbsp; Series 2006-S4, Class A1, 4.50% (1 mo. Term SOFR + 0.76%), 12/25/2036 | 2412348 | 736586 |
| &nbsp;&nbsp; Series 2006-S4, Class A2, 1.50% (-1 x 1 mo. Term SOFR + 5.24%), 12/25/2036 <sup>(d)(f)</sup> | 648949 | 52216 |
| &nbsp;&nbsp; Series 2007-A1, Class 11M1, 4.61%, 03/25/2037 <sup>(b)</sup> | 85739 | 79616 |
| &nbsp;&nbsp; Series 2007-A1, Class 1A5, 6.73%, 02/25/2037 <sup>(b)</sup> | 1167 | 1169 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A7, 4.57%, 12/25/2037 <sup>(b)</sup> | 108635 | 89051 |
| &nbsp;&nbsp; Series 2007-A3, Class 3A1, 4.75%, 12/25/2037 <sup>(b)</sup> | 277362 | 241904 |
| &nbsp;&nbsp; Series 2007-S1, Class A1, 4.45% (1 mo. Term SOFR + 0.71%), 02/25/2037 | 6455759 | 1878055 |
| &nbsp;&nbsp; Series 2019-ATR1, Class A11, 4.80% (1 mo. Term SOFR + 1.06%), 04/25/2049 <sup>(a)</sup> | 63048 | 60671 |
| &nbsp;&nbsp; Series 2019-ATR1, Class B4, 4.39%, 04/25/2049 <sup>(a)(b)</sup> | 144000 | 113503 |
| Chaseflex Trust | Chaseflex Trust | Chaseflex Trust |
| &nbsp;&nbsp; Series 2005-2, Class 1A1, 6.00%, 06/25/2035 | 683985 | 419836 |
| &nbsp;&nbsp; Series 2006-1, Class A5, 6.16%, 06/25/2036 <sup>(b)</sup> | 30805 | 29521 |
| &nbsp;&nbsp; Series 2007-1, Class 2A6, 6.00%, 02/25/2037 | 1860851 | 591447 |
| &nbsp;&nbsp; Series 2007-3, Class 1A2, 4.31% (1 mo. Term SOFR + 0.57%), 07/25/2037 | 10687664 | 3149893 |
| &nbsp;&nbsp; Series 2007-M1, Class 1A1, 4.15% (1 mo. Term SOFR + 0.41%), 08/25/2037 | 257687 | 231030 |
|  Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A2, 4.08% (1 mo. Term SOFR + 0.34%), 05/25/2036 <sup>(a)</sup> | 218028 | 211206 |
|  CIM Trust, Series 2019-INV1, Class A2, 4.99% (30 day avg SOFR US + 1.11%), 02/25/2049 <sup>(a)</sup> | 211852 | 205622 |
| Citicorp Mortgage Securities, Inc. | Citicorp Mortgage Securities, Inc. | Citicorp Mortgage Securities, Inc. |
| &nbsp;&nbsp; Series 2005-8, Class 1A7, 5.50%, 11/25/2035 | 4179325 | 4117800 |
| &nbsp;&nbsp; Series 2006-3, Class 1A4, 6.00%, 06/25/2036 | 1219427 | 1123415 |
| &nbsp;&nbsp; Series 2006-4, Class 1A4, 6.00%, 08/25/2036 | 909955 | 841855 |
| &nbsp;&nbsp; Series 2007-5, Class 1A9, 6.00%, 06/25/2037 | 46569 | 41874 |
| Citigroup Financial Products, Inc. | Citigroup Financial Products, Inc. | Citigroup Financial Products, Inc. |
| &nbsp;&nbsp; Series 1997-HUD1, Class A4, 2.59%, 12/25/2030 <sup>(b)(e)</sup> | 205451 | 90604 |
| &nbsp;&nbsp; Series 2004-HYB3, Class 1A, 4.96%, 09/25/2034 <sup>(b)</sup> | 75432 | 68210 |
| &nbsp;&nbsp; Series 2005-10, Class 1A2A, 4.16%, 12/25/2035 <sup>(b)</sup> | 112965 | 69021 |
| &nbsp;&nbsp; Series 2005-2, Class 1A1, 5.46%, 05/25/2035 <sup>(b)</sup> | 156612 | 150092 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Citigroup Financial Products, Inc. (Continued) | Citigroup Financial Products, Inc. (Continued) | Citigroup Financial Products, Inc. (Continued) |
| &nbsp;&nbsp; Series 2005-WF1, Class M2, 6.03%, 11/25/2034 <sup>(c)</sup> | 337412 | 297905 |
| &nbsp;&nbsp; Series 2005-WF2, Class AF6A, 6.13%, 08/25/2035 <sup>(c)</sup> | 746240 | 694760 |
| &nbsp;&nbsp; Series 2006-8, Class A1, 4.45% (1 mo. Term SOFR + 0.71%), 10/25/2035 <sup>(a)</sup> | 5295369 | 2347469 |
| &nbsp;&nbsp; Series 2007-WFH3, Class M1, 4.24% (1 mo. Term SOFR + 0.50%), 06/25/2037 | 187627 | 187378 |
|  Citigroup Mortgage Loan Trust Inc., Series 2014-12, Class 2A5, 3.26%, 02/25/2037 <sup>(a)(b)</sup> | 2054334 | 1561529 |
| Citigroup Mortgage Loan Trust, Inc. | Citigroup Mortgage Loan Trust, Inc. | Citigroup Mortgage Loan Trust, Inc. |
| &nbsp;&nbsp; Series 2004-HYB2, Class 2A, 6.75%, 03/25/2034 <sup>(b)</sup> | 132578 | 123268 |
| &nbsp;&nbsp; Series 2005-11, Class A2A, 6.48% (1 yr. CMT Rate + 2.40%), 10/25/2035 | 107062 | 109521 |
| &nbsp;&nbsp; Series 2005-7, Class 2A2A, 6.39%, 09/25/2035 <sup>(b)</sup> | 1340905 | 1038940 |
| &nbsp;&nbsp; Series 2005-7, Class 2A3A, 3.90%, 09/25/2035 <sup>(b)</sup> | 727461 | 525878 |
| &nbsp;&nbsp; Series 2005-8, Class 2A3, 5.50%, 09/25/2035 | 695134 | 648845 |
| &nbsp;&nbsp; Series 2005-9, Class 1A1, 4.11% (1 mo. Term SOFR + 0.37%), 11/25/2035 | 1160065 | 1025163 |
| &nbsp;&nbsp; Series 2005-9, Class 22A2, 6.00%, 11/25/2035 | 770313 | 784464 |
| &nbsp;&nbsp; Series 2006-AR1, Class 1A1, 6.56% (1 yr. CMT Rate + 2.40%), 10/25/2035 | 367208 | 356407 |
| &nbsp;&nbsp; Series 2006-AR1, Class 2A1, 6.05% (1 yr. CMT Rate + 2.40%), 03/25/2036 | 30161 | 30626 |
| &nbsp;&nbsp; Series 2006-AR2, Class 1A1, 5.71%, 03/25/2036 <sup>(b)</sup> | 207171 | 153355 |
| &nbsp;&nbsp; Series 2006-AR7, Class 1A3A, 5.04%, 07/25/2046 <sup>(b)</sup> | 853123 | 810638 |
| &nbsp;&nbsp; Series 2006-AR7, Class 2A2A, 4.70%, 11/25/2036 <sup>(b)</sup> | 185636 | 159601 |
| &nbsp;&nbsp; Series 2006-WF1, Class A2C, 6.10%, 03/25/2036 <sup>(c)</sup> | 566778 | 258815 |
| &nbsp;&nbsp; Series 2007-10, Class 2A4A, 6.82%, 09/25/2037 <sup>(b)</sup> | 17896 | 17597 |
| &nbsp;&nbsp; Series 2007-2, Class 1A2, 4.20% (1 mo. Term SOFR + 0.46%), 11/25/2036 | 1526694 | 1217834 |
| &nbsp;&nbsp; Series 2007-9, Class 3A1, 6.50%, 06/25/2037 <sup>(a)</sup> | 478236 | 473988 |
| &nbsp;&nbsp; Series 2007-AR1, Class A4, 4.27% (1 mo. Term SOFR + 0.53%), 01/25/2037 | 5929947 | 1086379 |
| &nbsp;&nbsp; Series 2007-OPX1, Class A2, 4.25% (1 mo. Term SOFR + 0.51%), 01/25/2037 | 1134396 | 486712 |
| &nbsp;&nbsp; Series 2007-OPX1, Class A3A, 7.47%, 01/25/2037 <sup>(c)</sup> | 2405249 | 1035353 |
| &nbsp;&nbsp; Series 2009-8, Class 2A2, 6.10%, 04/25/2037 <sup>(a)(b)(e)</sup> | 1962358 | 1076844 |
| &nbsp;&nbsp; Series 2012-7, Class 11A2, 4.88%, 09/25/2035 <sup>(a)(b)(d)</sup> | 622749 | 562014 |
| Citimortgage Alternative Loan Trust | Citimortgage Alternative Loan Trust | Citimortgage Alternative Loan Trust |
| &nbsp;&nbsp; Series 2006-A1, Class 1A5, 5.50%, 04/25/2036 | 171860 | 159130 |
| &nbsp;&nbsp; Series 2006-A5, Class 1A2, 2.70% (-1 x 1 mo. Term SOFR + 6.44%), 10/25/2036 <sup>(d)(f)</sup> | 1001578 | 132159 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A1, 6.00%, 12/25/2036 <sup>(b)</sup> | 370117 | 331225 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A12, 6.00%, 12/25/2036 | 294657 | 265226 |
| &nbsp;&nbsp; Series 2007-A1, Class 1A9, 1.55% (-1 x 1 mo. Term SOFR + 5.29%), 01/25/2037 <sup>(d)(f)</sup> | 1008871 | 80010 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A1, 6.00%, 03/25/2037 <sup>(b)</sup> | 460363 | 414083 |
| &nbsp;&nbsp; Series 2007-A4, Class 1A13, 5.75%, 04/25/2037 | 203877 | 181629 |
| &nbsp;&nbsp; Series 2007-A4, Class 1A6, 5.75%, 04/25/2037 | 104374 | 92957 |
| &nbsp;&nbsp; Series 2007-A4, Class 1A9, 4.45% (1 mo. Term SOFR + 0.71%), 04/25/2037 | 1237673 | 1031257 |
| &nbsp;&nbsp; Series 2007-A5, Class 1A3, 4.35% (1 mo. Term SOFR + 0.61%), 05/25/2037 | 238746 | 199588 |
| CitiMortgage, Inc. | CitiMortgage, Inc. | CitiMortgage, Inc. |
| &nbsp;&nbsp; Series 2005-1, Class 1A4, 5.50%, 02/25/2035 | 16439 | 16142 |
| &nbsp;&nbsp; Series 2005-1, Class 1A7, 4.25% (1 mo. Term SOFR + 0.51%), 02/25/2035 | 187018 | 174311 |
| COLT 2023-2 Mortgage Loan Trust | COLT 2023-2 Mortgage Loan Trust | COLT 2023-2 Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2024-1, Class A1, 5.84%, 02/25/2069 <sup>(a)(c)</sup> | 5253951 | 5290434 |
| &nbsp;&nbsp; Series 2024-4, Class A1, 5.95%, 07/25/2069 <sup>(a)(c)</sup> | 24411537 | 24678562 |
| COLT Funding LLC | COLT Funding LLC | COLT Funding LLC |
| &nbsp;&nbsp; Series 2023-3, Class A1, 7.18%, 09/25/2068 <sup>(a)(c)</sup> | 4949284 | 5003923 |
| &nbsp;&nbsp; Series 2023-4, Class A1, 7.16%, 10/25/2068 <sup>(a)(c)</sup> | 1949790 | 1973749 |
| &nbsp;&nbsp; Series 2023-4, Class B1, 8.38%, 10/25/2068 <sup>(a)(b)</sup> | 2688000 | 2729831 |
| Conseco Finance Securitizations Corp. | Conseco Finance Securitizations Corp. | Conseco Finance Securitizations Corp. |
| &nbsp;&nbsp; Series 1999-6, Class A1, 7.36%, 06/01/2030 <sup>(a)(b)</sup> | 12739754 | 3097865 |
| &nbsp;&nbsp; Series 2001-2, Class M1, 7.69%, 03/01/2031 <sup>(b)</sup> | 980116 | 991668 |
| &nbsp;&nbsp; Series 2001-4, Class M2, 8.59%, 09/01/2033 <sup>(b)</sup> | 2295268 | 2317438 |
| &nbsp;&nbsp; Series 2002-1, Class M2, 9.55%, 12/01/2033 <sup>(b)</sup> | 1288203 | 1270511 |
| Conseco Financial Corp. | Conseco Financial Corp. | Conseco Financial Corp. |
| &nbsp;&nbsp; Series 1996-8, Class B1, 7.95%, 11/15/2026 <sup>(b)</sup> | 582576 | 587640 |
| &nbsp;&nbsp; Series 1998-8, Class M1, 6.98%, 09/01/2030 <sup>(b)</sup> | 1471811 | 1489890 |
| &nbsp;&nbsp; Series 1999-4, Class A7, 7.41%, 05/01/2031 | 2098566 | 538951 |
| &nbsp;&nbsp; Series 1999-5, Class A6, 7.50%, 03/01/2030 <sup>(b)</sup> | 6245650 | 1554435 |
| Conseco, Inc./Old | Conseco, Inc./Old | Conseco, Inc./Old |
| &nbsp;&nbsp; Series 1995-5, Class B2, 7.65%, 09/15/2026 <sup>(b)</sup> | 3859471 | 39 |
| &nbsp;&nbsp; Series 1997-7, Class M1, 7.03%, 07/15/2028 <sup>(b)</sup> | 246428 | 250271 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Conseco, Inc./Old (Continued) | Conseco, Inc./Old (Continued) | Conseco, Inc./Old (Continued) |
| &nbsp;&nbsp; Series 1998-3, Class M1, 6.86%, 03/01/2030 <sup>(b)</sup> | 1045776 | 1079902 |
| &nbsp;&nbsp; Series 1999-1, Class M1, 6.56%, 11/01/2028 <sup>(b)</sup> | 7437897 | 7541126 |
| Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust |
| &nbsp;&nbsp; Series 2003-J2, Class M, 6.00%, 10/25/2033 | 125889 | 126978 |
| &nbsp;&nbsp; Series 2003-J3, Class 1A3, 5.25%, 11/25/2033 | 85329 | 85180 |
| &nbsp;&nbsp; Series 2004-28CB, Class 2A5, 4.25% (1 mo. Term SOFR + 0.51%), 01/25/2035 | 91742 | 78739 |
| &nbsp;&nbsp; Series 2004-30CB, Class 2A3, 5.75%, 02/25/2035 | 1849286 | 1220449 |
| &nbsp;&nbsp; Series 2004-34T1, Class A2, 5.50%, 02/25/2035 | 674372 | 607965 |
| &nbsp;&nbsp; Series 2004-J5, Class M2, 5.50% (1 mo. Term SOFR + 1.76%), 08/25/2034 | 140631 | 139269 |
| &nbsp;&nbsp; Series 2005-11CB, Class 2A3, 5.50%, 06/25/2035 | 173854 | 140880 |
| &nbsp;&nbsp; Series 2005-11CB, Class 3A2, 4.35% (1 mo. Term SOFR + 0.61%), 06/25/2035 | 707850 | 491847 |
| &nbsp;&nbsp; Series 2005-14, Class 2A1, 4.27% (1 mo. Term SOFR + 0.53%), 05/25/2035 | 90604 | 88160 |
| &nbsp;&nbsp; Series 2005-16, Class A3, 4.35% (1 mo. Term SOFR + 0.61%), 06/25/2035 <sup>(e)</sup> | 180705 | 163538 |
| &nbsp;&nbsp; Series 2005-17, Class 2A1, 4.33% (1 mo. Term SOFR + 0.59%), 07/25/2035 | 505191 | 422182 |
| &nbsp;&nbsp; Series 2005-19CB, Class A2, 8.48% (-2 x 1 mo. Term SOFR + 16.69%), 06/25/2035 <sup>(f)</sup> | 246943 | 201378 |
| &nbsp;&nbsp; Series 2005-2, Class 2A1, 5.37%, 03/25/2035 <sup>(b)</sup> | 70962 | 69089 |
| &nbsp;&nbsp; Series 2005-20CB, Class 1A2, 5.50%, 07/25/2035 | 394046 | 311047 |
| &nbsp;&nbsp; Series 2005-20CB, Class 1A3, 5.50%, 07/25/2035 | 1679447 | 1325703 |
| &nbsp;&nbsp; Series 2005-21CB, Class A3, 5.25%, 06/25/2035 | 249850 | 186394 |
| &nbsp;&nbsp; Series 2005-21CB, Class A7, 5.50%, 06/25/2035 | 42278 | 32090 |
| &nbsp;&nbsp; Series 2005-24, Class 4A2, 4.45% (1 mo. Term SOFR + 0.71%), 07/20/2035 | 317260 | 271888 |
| &nbsp;&nbsp; Series 2005-27, Class 1A4, 3.50%, 08/25/2035 <sup>(b)</sup> | 363005 | 315009 |
| &nbsp;&nbsp; Series 2005-27, Class 1A5, 3.59%, 08/25/2035 <sup>(b)</sup> | 344143 | 312121 |
| &nbsp;&nbsp; Series 2005-27, Class 1A6, 5.08% (1 mo. Term SOFR + 1.34%), 08/25/2035 | 333360 | 263719 |
| &nbsp;&nbsp; Series 2005-27, Class 2A1, 5.38% (MTA + 1.35%), 08/25/2035 | 1418315 | 1235760 |
| &nbsp;&nbsp; Series 2005-28CB, Class 1A9, 4.40% (1 mo. Term SOFR + 0.66%), 08/25/2035 | 1951367 | 1550251 |
| &nbsp;&nbsp; Series 2005-28CB, Class 3A3, 4.55% (1 mo. Term SOFR + 0.81%), 08/25/2035 | 2362612 | 721039 |
| &nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 08/25/2035 | 102134 | 37995 |
| &nbsp;&nbsp; Series 2005-29CB, Class A2, 4.15% (1 mo. Term SOFR + 0.41%), 07/25/2035 | 543687 | 263985 |
| &nbsp;&nbsp; Series 2005-29CB, Class A4, 5.00%, 07/25/2035 | 53185 | 28217 |
| &nbsp;&nbsp; Series 2005-34CB, Class 1A2, 1.25% (-1 x 1 mo. Term SOFR + 4.99%), 09/25/2035 <sup>(d)(f)</sup> | 291046 | 21328 |
| &nbsp;&nbsp; Series 2005-36, Class 4A1, 4.24%, 08/25/2035 <sup>(b)</sup> | 189715 | 176849 |
| &nbsp;&nbsp; Series 2005-43, Class 3A1, 4.07%, 10/25/2035 <sup>(b)</sup> | 611825 | 575643 |
| &nbsp;&nbsp; Series 2005-45, Class 2A1, 6.08% (MTA + 2.05%), 10/20/2035 | 479022 | 343657 |
| &nbsp;&nbsp; Series 2005-46CB, Class A14, 5.50%, 10/25/2035 | 238662 | 163798 |
| &nbsp;&nbsp; Series 2005-48T1, Class A3, 4.32% (1 mo. Term SOFR + 0.58%), 11/25/2035 | 7434674 | 3469601 |
| &nbsp;&nbsp; Series 2005-49CB, Class A7, 5.50%, 11/25/2035 | 559457 | 347330 |
| &nbsp;&nbsp; Series 2005-50CB, Class 2A1, 6.00%, 11/25/2035 | 918593 | 389184 |
| &nbsp;&nbsp; Series 2005-50CB, Class 3A1, 6.00%, 11/25/2035 | 1127839 | 422303 |
| &nbsp;&nbsp; Series 2005-51, Class 2A1, 4.45% (1 mo. Term SOFR + 0.71%), 11/20/2035 | 44650 | 38578 |
| &nbsp;&nbsp; Series 2005-51, Class 3A2A, 5.32% (MTA + 1.29%), 11/20/2035 | 683157 | 622392 |
| &nbsp;&nbsp; Series 2005-53T2, Class 2A6, 4.35% (1 mo. Term SOFR + 0.61%), 11/25/2035 | 2385526 | 1212705 |
| &nbsp;&nbsp; Series 2005-53T2, Class 2A7, 1.65% (-1 x 1 mo. Term SOFR + 5.39%), 11/25/2035 <sup>(d)(f)</sup> | 2385526 | 250528 |
| &nbsp;&nbsp; Series 2005-56, Class 4A1, 4.47% (1 mo. Term SOFR + 0.73%), 11/25/2035 | 864243 | 809262 |
| &nbsp;&nbsp; Series 2005-57CB, Class 3A3, 5.50%, 12/25/2035 | 347379 | 154392 |
| &nbsp;&nbsp; Series 2005-59, Class 1A1, 4.51% (1 mo. Term SOFR + 0.77%), 11/20/2035 | 324538 | 318140 |
| &nbsp;&nbsp; Series 2005-60T1, Class A7, 7.73% (-7 x 1 mo. Term SOFR + 35.09%), 12/25/2035 <sup>(f)</sup> | 102500 | 66948 |
| &nbsp;&nbsp; Series 2005-64CB, Class 1A12, 4.65% (1 mo. Term SOFR + 0.91%), 12/25/2035 | 170838 | 144324 |
| &nbsp;&nbsp; Series 2005-65CB, Class 1A5, 4.60% (1 mo. Term SOFR + 0.86%), 01/25/2036 | 356611 | 212297 |
| &nbsp;&nbsp; Series 2005-65CB, Class 1A7, 5.50%, 01/25/2036 | 1118331 | 721896 |
| &nbsp;&nbsp; Series 2005-65CB, Class 1A9, 5.50%, 01/25/2036 | 1842223 | 1186705 |
| &nbsp;&nbsp; Series 2005-65CB, Class 2A4, 5.50%, 12/25/2035 | 1061380 | 712551 |
| &nbsp;&nbsp; Series 2005-6CB, Class 1A6, 5.50%, 04/25/2035 | 660737 | 562243 |
| &nbsp;&nbsp; Series 2005-70CB, Class A4, 5.50%, 12/25/2035 | 359909 | 225311 |
| &nbsp;&nbsp; Series 2005-72, Class A1, 4.39% (1 mo. Term SOFR + 0.65%), 01/25/2036 | 1258252 | 1169886 |
| &nbsp;&nbsp; Series 2005-73CB, Class 1A7, 5.50%, 01/25/2036 | 187369 | 181566 |
| &nbsp;&nbsp; Series 2005-76, Class 3A1, 4.37% (1 mo. Term SOFR + 0.63%), 01/25/2046 | 1097165 | 1037268 |
| &nbsp;&nbsp; Series 2005-9CB, Class 1A4, 1.20% (-1 x 1 mo. Term SOFR + 4.94%), 05/25/2035 <sup>(d)(f)</sup> | 819758 | 45938 |
| &nbsp;&nbsp; Series 2005-J10, Class 1A13, 4.55% (1 mo. Term SOFR + 0.81%), 10/25/2035 | 284644 | 162903 |
| &nbsp;&nbsp; Series 2005-J2, Class 1A6, 1.15% (-1 x 1 mo. Term SOFR + 4.89%), 04/25/2035 <sup>(d)(f)</sup> | 343163 | 20039 |
| &nbsp;&nbsp; Series 2005-J3, Class 2A1, 4.35% (1 mo. Term SOFR + 0.61%), 05/25/2035 | 462480 | 354208 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Countrywide Alternative Loan Trust (Continued) | Countrywide Alternative Loan Trust (Continued) | Countrywide Alternative Loan Trust (Continued) |
| &nbsp;&nbsp; Series 2005-J7, Class 1A7, 4.55% (1 mo. Term SOFR + 0.81%), 07/25/2035 | 1000753 | 418566 |
| &nbsp;&nbsp; Series 2005-J8, Class 1A5, 5.50%, 07/25/2035 | 287386 | 196048 |
| &nbsp;&nbsp; Series 2005-J9, Class 1A1, 4.55% (1 mo. Term SOFR + 0.81%), 08/25/2035 | 3407731 | 1612666 |
| &nbsp;&nbsp; Series 2006-14CB, Class A5, 4.55% (1 mo. Term SOFR + 0.81%), 06/25/2036 | 2914516 | 1226759 |
| &nbsp;&nbsp; Series 2006-18CB, Class A11, 4.35% (1 mo. Term SOFR + 0.61%), 07/25/2036 | 883357 | 332883 |
| &nbsp;&nbsp; Series 2006-18CB, Class A5, 4.20% (1 mo. Term SOFR + 0.46%), 07/25/2036 | 5613894 | 2049770 |
| &nbsp;&nbsp; Series 2006-18CB, Class A6, 13.22% (-4 x 1 mo. Term SOFR + 28.14%), 07/25/2036 <sup>(f)</sup> | 6147940 | 6299097 |
| &nbsp;&nbsp; Series 2006-18CB, Class A7, 4.20% (1 mo. Term SOFR + 0.46%), 07/25/2036 | 3420368 | 1248860 |
| &nbsp;&nbsp; Series 2006-20CB, Class A4, 4.20% (1 mo. Term SOFR + 0.46%), 07/25/2036 | 2622267 | 770933 |
| &nbsp;&nbsp; Series 2006-23CB, Class 2A5, 4.25% (1 mo. Term SOFR + 0.51%), 08/25/2036 | 8854284 | 1597195 |
| &nbsp;&nbsp; Series 2006-24CB, Class A16, 5.75%, 08/25/2036 | 168849 | 81105 |
| &nbsp;&nbsp; Series 2006-24CB, Class A2, 6.00%, 08/25/2036 | 336688 | 167517 |
| &nbsp;&nbsp; Series 2006-24CB, Class A22, 6.00%, 08/25/2036 | 411087 | 204534 |
| &nbsp;&nbsp; Series 2006-24CB, Class A9, 6.00%, 08/25/2036 | 538447 | 267901 |
| &nbsp;&nbsp; Series 2006-25CB, Class A9, 6.00%, 10/25/2036 | 962402 | 481999 |
| &nbsp;&nbsp; Series 2006-26CB, Class A20, 4.20% (1 mo. Term SOFR + 0.46%), 09/25/2036 | 1505559 | 474488 |
| &nbsp;&nbsp; Series 2006-26CB, Class A6, 6.25%, 09/25/2036 | 10871 | 4982 |
| &nbsp;&nbsp; Series 2006-26CB, Class A8, 6.25%, 09/25/2036 | 41651 | 19088 |
| &nbsp;&nbsp; Series 2006-28CB, Class A3, 6.50%, 10/25/2036 | 402520 | 198213 |
| &nbsp;&nbsp; Series 2006-2CB, Class A4, 4.25% (1 mo. Term SOFR + 0.51%), 03/25/2036 | 4004046 | 1247186 |
| &nbsp;&nbsp; Series 2006-32CB, Class A16, 5.50%, 11/25/2036 | 44671 | 23028 |
| &nbsp;&nbsp; Series 2006-32CB, Class A3, 6.00%, 11/25/2036 | 337130 | 182303 |
| &nbsp;&nbsp; Series 2006-32CB, Class A7, 4.58% (1 mo. Term SOFR + 0.84%), 11/25/2036 | 1523547 | 682505 |
| &nbsp;&nbsp; Series 2006-33CB, Class 2A1, 6.00%, 11/25/2036 | 249862 | 125263 |
| &nbsp;&nbsp; Series 2006-34, Class A5, 6.25%, 11/25/2046 | 1282103 | 559878 |
| &nbsp;&nbsp; Series 2006-36T2, Class 1A10, 10.37% (-5 x 1 mo. Term SOFR + 27.53%), 12/25/2036 <sup>(f)</sup> | 813519 | 498071 |
| &nbsp;&nbsp; Series 2006-36T2, Class 1A9, 4.75% (1 mo. Term SOFR + 1.01%), 12/25/2036 | 353175 | 109227 |
| &nbsp;&nbsp; Series 2006-39CB, Class 2A1, 4.30% (1 mo. Term SOFR + 0.56%), 01/25/2037 | 3939373 | 421013 |
| &nbsp;&nbsp; Series 2006-39CB, Class 2A2, 2.70% (-1 x 1 mo. Term SOFR + 6.44%), 01/25/2037 <sup>(d)(f)</sup> | 2564503 | 143758 |
| &nbsp;&nbsp; Series 2006-39CB, Class 2A4, 4.30% (1 mo. Term SOFR + 0.56%), 01/25/2037 | 2644298 | 282604 |
| &nbsp;&nbsp; Series 2006-40T1, Class 2A1, 6.00%, 12/25/2036 | 1137691 | 302576 |
| &nbsp;&nbsp; Series 2006-40T1, Class 2A4, 6.00%, 12/25/2036 | 2166904 | 576303 |
| &nbsp;&nbsp; Series 2006-40T1, Class 2A6, 2.75% (-1 x 1 mo. Term SOFR + 6.49%), 12/25/2036 <sup>(d)(f)</sup> | 6710136 | 683517 |
| &nbsp;&nbsp; Series 2006-41CB, Class 1A7, 6.00%, 01/25/2037 | 288396 | 143268 |
| &nbsp;&nbsp; Series 2006-41CB, Class 1A9, 6.00%, 01/25/2037 | 247086 | 122746 |
| &nbsp;&nbsp; Series 2006-42, Class 1A5, 6.00%, 01/25/2047 | 469973 | 250740 |
| &nbsp;&nbsp; Series 2006-43CB, Class 3A3, 2.78% (-1 x 1 mo. Term SOFR + 6.52%), 02/25/2037 <sup>(d)(f)</sup> | 6855840 | 993407 |
| &nbsp;&nbsp; Series 2006-45T1, Class 2A15, 5.50%, 02/25/2037 | 2381100 | 1200328 |
| &nbsp;&nbsp; Series 2006-46, Class A2, 4.37% (1 mo. Term SOFR + 0.63%), 02/25/2047 | 7052840 | 2490217 |
| &nbsp;&nbsp; Series 2006-7CB, Class 3A1, 5.25%, 12/31/2026 | 76539 | 73094 |
| &nbsp;&nbsp; Series 2006-8T1, Class 1A4, 6.00%, 04/25/2036 | 73945 | 34081 |
| &nbsp;&nbsp; Series 2006-HY10, Class 3A1, 4.13%, 05/25/2036 <sup>(b)</sup> | 239271 | 210708 |
| &nbsp;&nbsp; Series 2006-HY13, Class 4A1, 4.73%, 02/25/2037 <sup>(b)</sup> | 374921 | 336110 |
| &nbsp;&nbsp; Series 2006-J1, Class 1A13, 5.50%, 02/25/2036 | 67785 | 45242 |
| &nbsp;&nbsp; Series 2006-J2, Class A2, 1.65% (-1 x 1 mo. Term SOFR + 5.39%), 04/25/2036 <sup>(d)(f)</sup> | 2010847 | 220101 |
| &nbsp;&nbsp; Series 2006-J4, Class 1A1, 4.65% (1 mo. Term SOFR + 0.91%), 07/25/2036 | 3714739 | 662934 |
| &nbsp;&nbsp; Series 2006-J4, Class 2A3, 4.55% (1 mo. Term SOFR + 0.81%), 07/25/2036 | 1122422 | 496725 |
| &nbsp;&nbsp; Series 2006-J5, Class 1A1, 6.50%, 09/25/2036 | 902367 | 438700 |
| &nbsp;&nbsp; Series 2006-J5, Class 1A5, 6.50%, 09/25/2036 | 212666 | 103391 |
| &nbsp;&nbsp; Series 2006-OA10, Class 1A1, 4.99% (MTA + 0.96%), 08/25/2046 | 251580 | 232369 |
| &nbsp;&nbsp; Series 2006-OA10, Class 2A1, 4.23% (1 mo. Term SOFR + 0.49%), 08/25/2046 | 648861 | 576682 |
| &nbsp;&nbsp; Series 2006-OA12, Class A1C, 4.41% (1 mo. Term SOFR + 0.39%), 09/20/2046 | 277395 | 251373 |
| &nbsp;&nbsp; Series 2006-OA17, Class 1A1A, 4.04% (1 mo. Term SOFR + 0.31%), 12/20/2046 | 338374 | 303860 |
| &nbsp;&nbsp; Series 2006-OA22, Class A2, 4.27% (1 mo. Term SOFR + 0.53%), 02/25/2047 <sup>(e)</sup> | 294415 | 259085 |
| &nbsp;&nbsp; Series 2006-OA9, Class 2A1A, 4.27% (1 mo. Term SOFR + 0.53%), 07/20/2046 | 59705 | 51763 |
| &nbsp;&nbsp; Series 2007-11T1, Class A12, 4.20% (1 mo. Term SOFR + 0.46%), 05/25/2037 | 357064 | 106133 |
| &nbsp;&nbsp; Series 2007-12T1, Class A7, 4.35% (1 mo. Term SOFR + 0.61%), 06/25/2037 | 3532625 | 1118199 |
| &nbsp;&nbsp; Series 2007-12T1, Class A8, 1.65% (-1 x 1 mo. Term SOFR + 5.39%), 06/25/2037 <sup>(d)(f)</sup> | 6732529 | 748036 |
| &nbsp;&nbsp; Series 2007-14T2, Class A1, 6.00%, 07/25/2037 | 6824366 | 3489494 |
| &nbsp;&nbsp; Series 2007-15CB, Class A6, 5.75%, 07/25/2037 | 787281 | 438585 |
| &nbsp;&nbsp; Series 2007-16CB, Class 1A5, 4.25% (1 mo. Term SOFR + 0.51%), 08/25/2037 | 1330158 | 811222 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Countrywide Alternative Loan Trust (Continued) | Countrywide Alternative Loan Trust (Continued) | Countrywide Alternative Loan Trust (Continued) |
| &nbsp;&nbsp; Series 2007-16CB, Class 2A2, 22.53% (-8 x 1 mo. Term SOFR + 53.63%), 08/25/2037 <sup>(f)</sup> | 701293 | 953798 |
| &nbsp;&nbsp; Series 2007-16CB, Class 4A7, 6.00%, 08/25/2037 | 250180 | 180434 |
| &nbsp;&nbsp; Series 2007-16CB, Class 5A1, 6.25%, 08/25/2037 | 213570 | 94201 |
| &nbsp;&nbsp; Series 2007-17CB, Class 1A10, 12.21% (-5 x 1 mo. Term SOFR + 29.37%), 08/25/2037 <sup>(f)</sup> | 687271 | 599633 |
| &nbsp;&nbsp; Series 2007-18CB, Class 1A6, 15.92% (-6 x 1 mo. Term SOFR + 38.31%), 08/25/2037 <sup>(f)</sup> | 382613 | 303986 |
| &nbsp;&nbsp; Series 2007-18CB, Class 1A7, 4.32% (1 mo. Term SOFR + 0.58%), 08/25/2037 | 1234522 | 348256 |
| &nbsp;&nbsp; Series 2007-1T1, Class 2A1, 4.32% (1 mo. Term SOFR + 0.58%), 03/25/2037 | 3079562 | 1113495 |
| &nbsp;&nbsp; Series 2007-22, Class 2A16, 6.50%, 09/25/2037 | 1049719 | 365512 |
| &nbsp;&nbsp; Series 2007-23CB, Class A4, 2.65% (-1 x 1 mo. Term SOFR + 6.39%), 09/25/2037 <sup>(d)(f)</sup> | 3486784 | 557129 |
| &nbsp;&nbsp; Series 2007-23CB, Class A7, 4.25% (1 mo. Term SOFR + 0.51%), 09/25/2037 | 1770099 | 584648 |
| &nbsp;&nbsp; Series 2007-24, Class A1, 4.40% (1 mo. Term SOFR + 0.66%), 10/25/2037 | 4538224 | 901193 |
| &nbsp;&nbsp; Series 2007-24, Class A6, 4.85% (1 mo. Term SOFR + 1.11%), 10/25/2037 | 210698 | 46517 |
| &nbsp;&nbsp; Series 2007-24, Class A7, 2.15% (-1 x 1 mo. Term SOFR + 5.89%), 10/25/2037 <sup>(d)(f)</sup> | 210698 | 18567 |
| &nbsp;&nbsp; Series 2007-25, Class 1A2, 6.50%, 11/25/2037 | 1257046 | 539598 |
| &nbsp;&nbsp; Series 2007-2CB, Class 2A1, 4.45% (1 mo. Term SOFR + 0.71%), 03/25/2037 | 288713 | 111745 |
| &nbsp;&nbsp; Series 2007-2CB, Class 2A2, 1.30% (-1 x 1 mo. Term SOFR + 5.04%), 03/25/2037 <sup>(d)(f)</sup> | 409486 | 37215 |
| &nbsp;&nbsp; Series 2007-3T1, Class 1A2, 4.35% (1 mo. Term SOFR + 0.61%), 04/25/2037 | 3832610 | 1221325 |
| &nbsp;&nbsp; Series 2007-3T1, Class 1A3, 4.35% (1 mo. Term SOFR + 0.61%), 04/25/2037 | 1371047 | 436907 |
| &nbsp;&nbsp; Series 2007-3T1, Class 1A4, 4.35% (1 mo. Term SOFR + 0.61%), 04/25/2037 | 2350366 | 748984 |
| &nbsp;&nbsp; Series 2007-5CB, Class 1A11, 6.00%, 04/25/2037 | 577551 | 276546 |
| &nbsp;&nbsp; Series 2007-5CB, Class 1A18, 1.80% (-1 x 1 mo. Term SOFR + 5.54%), 04/25/2037 <sup>(d)(f)</sup> | 351315 | 40038 |
| &nbsp;&nbsp; Series 2007-5CB, Class 1A24, 0.00%, 04/25/2037 <sup>(g)</sup> | 285026 | 9159 |
| &nbsp;&nbsp; Series 2007-9T1, Class 1A4, 4.35% (1 mo. Term SOFR + 0.61%), 05/25/2037 | 1156943 | 397966 |
| &nbsp;&nbsp; Series 2007-9T1, Class 1A5, 1.65% (-1 x 1 mo. Term SOFR + 5.39%), 05/25/2037 <sup>(d)(f)</sup> | 1156943 | 119174 |
| &nbsp;&nbsp; Series 2007-HY8C, Class A1, 4.17% (1 mo. Term SOFR + 0.43%), 09/25/2047 | 836195 | 784876 |
| &nbsp;&nbsp; Series 2007-J1, Class 2A6, 4.45% (1 mo. Term SOFR + 0.71%), 03/25/2037 | 1772119 | 513199 |
| &nbsp;&nbsp; Series 2007-OA2, Class 1A1, 4.87% (MTA + 0.84%), 03/25/2047 | 223294 | 196480 |
| &nbsp;&nbsp; Series 2007-OA3, Class X, 2.00%, 04/25/2047 <sup>(b)(d)</sup> | 8993511 | 815268 |
| &nbsp;&nbsp; Series 2007-OA7, Class A1A, 4.21% (1 mo. Term SOFR + 0.47%), 05/25/2047 | 1752957 | 1629275 |
| &nbsp;&nbsp; Series 2007-OH1, Class A1D, 4.06% (1 mo. Term SOFR + 0.32%), 04/25/2047 | 55442 | 49577 |
| &nbsp;&nbsp; Series 2008-1R, Class 1A1, 4.54% (1 mo. Term SOFR + 0.58%), 08/25/2037 | 2476554 | 698204 |
| &nbsp;&nbsp; Series 2008-1R, Class 2A3, 6.00%, 08/25/2037 | 1681922 | 753886 |
| &nbsp;&nbsp; Series 2008-2R, Class 4A1, 6.25%, 08/25/2037 <sup>(b)</sup> | 1127380 | 495306 |
| Countrywide Asset-Backed Certificates | Countrywide Asset-Backed Certificates | Countrywide Asset-Backed Certificates |
| &nbsp;&nbsp; Series 2004-BC3, Class M2, 4.75% (1 mo. Term SOFR + 1.01%), 06/25/2034 | 205063 | 205109 |
| &nbsp;&nbsp; Series 2004-BC3, Class M5, 5.72% (1 mo. Term SOFR + 1.99%), 04/25/2034 | 616461 | 567414 |
| &nbsp;&nbsp; Series 2005-17, Class 1AF4, 6.55%, 05/25/2036 <sup>(c)</sup> | 1613890 | 1344181 |
| &nbsp;&nbsp; Series 2005-AB4, Class 2A1, 4.39% (1 mo. Term SOFR + 0.65%), 03/25/2036 | 257150 | 235828 |
| &nbsp;&nbsp; Series 2006-1, Class AF6, 4.37%, 07/25/2036 <sup>(b)</sup> | 17620 | 17440 |
| &nbsp;&nbsp; Series 2006-13, Class 1AF6, 3.95%, 01/25/2037 | 142554 | 136066 |
| &nbsp;&nbsp; Series 2006-15, Class A4, 4.24%, 10/25/2046 <sup>(b)</sup> | 556299 | 566690 |
| &nbsp;&nbsp; Series 2006-15, Class A6, 4.24%, 10/25/2046 <sup>(b)</sup> | 76117 | 79740 |
| &nbsp;&nbsp; Series 2007-BC3, Class 2A4, 4.35% (1 mo. Term SOFR + 0.61%), 11/25/2047 | 305542 | 279687 |
| &nbsp;&nbsp; Series 2007-QX1, Class A1, 4.94% (1 mo. Term SOFR + 0.61%), 05/25/2037 <sup>(a)</sup> | 5357237 | 4989493 |
| &nbsp;&nbsp; Series 2007-SD1, Class A1, 4.75% (1 mo. Term SOFR + 1.01%), 03/25/2047 <sup>(a)</sup> | 995434 | 754599 |
| Countrywide Home Loan Mortgage Pass Through Trust | Countrywide Home Loan Mortgage Pass Through Trust | Countrywide Home Loan Mortgage Pass Through Trust |
| &nbsp;&nbsp; Series 2003-48, Class 2A3, 6.26%, 10/25/2033 <sup>(b)</sup> | 227694 | 110117 |
| &nbsp;&nbsp; Series 2003-56, Class M, 10.25%, 12/25/2033 <sup>(b)</sup> | 7767 | 8943 |
| &nbsp;&nbsp; Series 2003-R4, Class 2A, 4.74%, 01/25/2034 <sup>(a)(b)</sup> | 168338 | 146033 |
| &nbsp;&nbsp; Series 2004-15, Class 5A, 5.29%, 10/20/2034 <sup>(b)</sup> | 114436 | 107557 |
| &nbsp;&nbsp; Series 2004-18, Class A1, 6.00%, 10/25/2034 | 107885 | 106780 |
| &nbsp;&nbsp; Series 2004-2, Class 3A1, 6.87%, 03/25/2034 <sup>(b)</sup> | 242079 | 241587 |
| &nbsp;&nbsp; Series 2004-29, Class 1A1, 4.39% (1 mo. Term SOFR + 0.65%), 02/25/2035 | 124978 | 121625 |
| &nbsp;&nbsp; Series 2004-29, Class 2A1, 4.51% (1 mo. Term SOFR + 0.77%), 02/25/2035 | 42429 | 40072 |
| &nbsp;&nbsp; Series 2004-29, Class 3A1, 3.26%, 02/25/2035 <sup>(b)</sup> | 136532 | 113020 |
| &nbsp;&nbsp; Series 2004-9, Class A7, 5.25%, 06/25/2034 | 164405 | 161285 |
| &nbsp;&nbsp; Series 2004-J5, Class A4, 5.50%, 07/25/2034 <sup>(e)</sup> | 51083 | 48784 |
| &nbsp;&nbsp; Series 2005-17, Class 1A8, 5.50%, 09/25/2035 | 471439 | 469476 |
| &nbsp;&nbsp; Series 2005-19, Class 2A1, 4.20% (1 mo. Term SOFR + 0.46%), 08/25/2035 | 330988 | 56292 |
| &nbsp;&nbsp; Series 2005-21, Class A12, 7.75% (-4 x 1 mo. Term SOFR + 21.95%), 10/25/2035 <sup>(f)</sup> | 91173 | 60834 |
| &nbsp;&nbsp; Series 2005-25, Class A17, 5.50%, 11/25/2035 | 394261 | 177551 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Countrywide Home Loan Mortgage Pass Through Trust (Continued) | Countrywide Home Loan Mortgage Pass Through Trust (Continued) | Countrywide Home Loan Mortgage Pass Through Trust (Continued) |
| &nbsp;&nbsp; Series 2005-30, Class A8, 5.50%, 01/25/2036 | 91707 | 53765 |
| &nbsp;&nbsp; Series 2005-7, Class 3A1, 3.86%, 03/25/2035 <sup>(b)</sup> | 851466 | 687807 |
| &nbsp;&nbsp; Series 2005-7, Class 3A2, 3.43%, 03/25/2035 <sup>(b)</sup> | 630763 | 496174 |
| &nbsp;&nbsp; Series 2005-9, Class 1A1, 4.45% (1 mo. Term SOFR + 0.71%), 05/25/2035 <sup>(e)</sup> | 213291 | 184497 |
| &nbsp;&nbsp; Series 2005-9, Class 1A3, 4.31% (1 mo. Term SOFR + 0.57%), 05/25/2035 | 97192 | 86383 |
| &nbsp;&nbsp; Series 2005-HYB8, Class 4A1, 4.50%, 12/20/2035 <sup>(b)</sup> | 98296 | 89113 |
| &nbsp;&nbsp; Series 2005-J3, Class 1A3, 5.20% (1 mo. Term SOFR + 1.46%), 09/25/2035 | 1148770 | 767964 |
| &nbsp;&nbsp; Series 2005-J3, Class 2A1, 4.20% (1 mo. Term SOFR + 0.46%), 09/25/2035 | 436127 | 369865 |
| &nbsp;&nbsp; Series 2005-R1, Class 2A2, 6.50%, 03/25/2035 <sup>(a)</sup> | 231089 | 300197 |
| &nbsp;&nbsp; Series 2005-R2, Class 1AF1, 4.19% (1 mo. Term SOFR + 0.45%), 06/25/2035 <sup>(a)</sup> | 38926 | 37832 |
| &nbsp;&nbsp; Series 2006-10, Class 1A11, 5.85%, 05/25/2036 | 159373 | 58497 |
| &nbsp;&nbsp; Series 2006-20, Class 1A35, 6.00%, 02/25/2037 | 631518 | 273241 |
| &nbsp;&nbsp; Series 2006-6, Class A9, 6.00%, 04/25/2036 | 2158099 | 1045798 |
| &nbsp;&nbsp; Series 2006-8, Class 1A1, 6.00%, 05/25/2036 | 1992159 | 1143180 |
| &nbsp;&nbsp; Series 2006-9, Class A1, 6.00%, 05/25/2036 | 40432 | 17939 |
| &nbsp;&nbsp; Series 2006-9, Class A17, 4.35% (1 mo. Term SOFR + 0.61%), 05/25/2036 | 1075663 | 366774 |
| &nbsp;&nbsp; Series 2006-HYB2, Class 1A1, 5.35%, 04/20/2036 <sup>(b)</sup> | 203318 | 179787 |
| &nbsp;&nbsp; Series 2006-J2, Class 1A6, 6.00%, 04/25/2036 | 714260 | 338431 |
| &nbsp;&nbsp; Series 2006-J4, Class A3, 6.25%, 09/25/2036 | 164953 | 57593 |
| &nbsp;&nbsp; Series 2006-J4, Class A4, 6.25%, 09/25/2036 | 102098 | 35647 |
| &nbsp;&nbsp; Series 2006-J4, Class A9, 6.25%, 09/25/2036 | 59706 | 20846 |
| &nbsp;&nbsp; Series 2007-10, Class A6, 6.00%, 07/25/2037 <sup>(d)</sup> | 396370 | 119806 |
| &nbsp;&nbsp; Series 2007-11, Class A12, 6.00%, 08/25/2037 | 554142 | 229706 |
| &nbsp;&nbsp; Series 2007-14, Class A6, 6.00%, 09/25/2037 | 32280 | 15351 |
| &nbsp;&nbsp; Series 2007-18, Class 1A1, 6.00%, 11/25/2037 | 254266 | 108385 |
| &nbsp;&nbsp; Series 2007-2, Class A1, 6.00%, 03/25/2037 | 1298675 | 539979 |
| &nbsp;&nbsp; Series 2007-20, Class A1, 6.50%, 01/25/2038 | 217191 | 91803 |
| &nbsp;&nbsp; Series 2007-3, Class A14, 4.25% (1 mo. Term SOFR + 0.51%), 04/25/2037 | 668348 | 202567 |
| &nbsp;&nbsp; Series 2007-3, Class A16, 6.00%, 04/25/2037 | 514292 | 230126 |
| &nbsp;&nbsp; Series 2007-3, Class A6, 2.85% (-1 x 1 mo. Term SOFR + 6.59%), 04/25/2037 <sup>(d)(f)</sup> | 667204 | 130709 |
| &nbsp;&nbsp; Series 2007-4, Class 1A1, 6.00%, 05/25/2037 | 1796541 | 718733 |
| &nbsp;&nbsp; Series 2007-HY1, Class 1A1, 4.59%, 04/25/2037 <sup>(b)</sup> | 1163027 | 1084166 |
| &nbsp;&nbsp; Series 2007-HY5, Class 3A1, 4.85%, 09/25/2037 <sup>(b)</sup> | 390252 | 363562 |
| &nbsp;&nbsp; Series 2007-HYB2, Class 3A1, 4.28%, 02/25/2047 <sup>(b)</sup> | 281531 | 257441 |
| &nbsp;&nbsp; Series 2007-J2, Class 2A5, 6.00%, 07/25/2037 | 163041 | 53267 |
| &nbsp;&nbsp; Series 2007-J3, Class A9, 6.00%, 07/25/2037 | 260882 | 109570 |
| Countrywide Home Loans | Countrywide Home Loans | Countrywide Home Loans |
| &nbsp;&nbsp; Series 2005-15, Class A5, 5.50%, 08/25/2035 | 444760 | 222625 |
| &nbsp;&nbsp; Series 2005-21, Class A2, 5.50%, 10/25/2035 | 172139 | 90491 |
| &nbsp;&nbsp; Series 2005-31, Class 2A1, 4.45%, 01/25/2036 <sup>(b)</sup> | 169766 | 153153 |
| Credit Suisse First Boston Mortgage Securities Corp. | Credit Suisse First Boston Mortgage Securities Corp. | Credit Suisse First Boston Mortgage Securities Corp. |
| &nbsp;&nbsp; Series 2002-9, Class 1A1, 7.00%, 03/25/2032 | 745911 | 662294 |
| &nbsp;&nbsp; Series 2004-4, Class 1A7, 6.00%, 08/25/2034 | 217888 | 201400 |
| &nbsp;&nbsp; Series 2005-10, Class 10A3, 6.00%, 11/25/2035 | 379420 | 80236 |
| &nbsp;&nbsp; Series 2005-10, Class 6A7, 5.50%, 11/25/2035 | 216421 | 74529 |
| &nbsp;&nbsp; Series 2005-10, Class 9A1, 6.00%, 11/25/2035 | 1366262 | 932383 |
| &nbsp;&nbsp; Series 2005-4, Class 2A4, 5.50%, 06/25/2035 | 1704550 | 1170790 |
| &nbsp;&nbsp; Series 2005-9, Class 1A3, 5.25%, 10/25/2035 | 153529 | 140713 |
| &nbsp;&nbsp; Series 2005-9, Class 3A1, 6.00%, 10/25/2035 | 3173283 | 870313 |
| &nbsp;&nbsp; Series 2005-9, Class 4A1, 8.95% (-3 x 1 mo. Term SOFR + 19.21%), 10/25/2035 <sup>(f)</sup> | 328222 | 333339 |
| &nbsp;&nbsp; Series 2005-9, Class 5A1, 4.55% (1 mo. Term SOFR + 0.81%), 10/25/2035 | 547286 | 233226 |
| Credit Suisse Management LLC | Credit Suisse Management LLC | Credit Suisse Management LLC |
| &nbsp;&nbsp; Series 2001-28, Class 1A1, 4.50% (1 mo. Term SOFR + 0.76%), 11/25/2031 | 597359 | 328751 |
| &nbsp;&nbsp; Series 2002-30, Class 1A1, 7.50%, 11/25/2032 | 82774 | 85409 |
| &nbsp;&nbsp; Series 2004-6, Class 4A12, 4.25% (1 mo. Term SOFR + 0.51%), 10/25/2034 | 102232 | 92266 |
| &nbsp;&nbsp; Series 2005-11, Class 1A1, 6.50%, 12/25/2035 | 1093623 | 468378 |
| &nbsp;&nbsp; Series 2005-11, Class 3A5, 5.50%, 12/25/2035 | 185007 | 69510 |
| &nbsp;&nbsp; Series 2005-11, Class 8A4, 6.00%, 12/25/2035 | 250934 | 179784 |
| &nbsp;&nbsp; Series 2005-11, Class 8A5, 6.00%, 12/25/2035 | 141324 | 101253 |
| &nbsp;&nbsp; Series 2005-12, Class 6A1, 6.00%, 01/25/2036 | 4135917 | 2440441 |
| &nbsp;&nbsp; Series 2005-12, Class 8A1, 6.00%, 01/25/2036 | 58627 | 35621 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Credit Suisse Management LLC (Continued) | Credit Suisse Management LLC (Continued) | Credit Suisse Management LLC (Continued) |
| &nbsp;&nbsp; Series 2005-5, Class 6A3, 5.00%, 07/25/2035 | 70314 | 68001 |
| &nbsp;&nbsp; Series 2005-7, Class 2A2, 4.15% (1 mo. Term SOFR + 0.41%), 08/25/2035 | 939686 | 326474 |
| &nbsp;&nbsp; Series 2005-8, Class 5A1, 8.95% (-3 x 1 mo. Term SOFR + 19.21%), 09/25/2035 <sup>(f)</sup> | 950424 | 447608 |
| &nbsp;&nbsp; Series 2005-8, Class 7A1, 7.00%, 09/25/2035 | 4752645 | 1895112 |
| &nbsp;&nbsp; Series 2005-8, Class 9A1, 4.75%, 09/25/2035 | 365668 | 227454 |
| Credit Suisse Mortgage Capital Certificates | Credit Suisse Mortgage Capital Certificates | Credit Suisse Mortgage Capital Certificates |
| &nbsp;&nbsp; Series 2006-1, Class 1A2, 9.37% (-6 x 1 mo. Term SOFR + 29.90%), 02/25/2036 <sup>(f)</sup> | 23780 | 24329 |
| &nbsp;&nbsp; Series 2006-1, Class 5A1, 6.00%, 02/25/2036 | 36292 | 17731 |
| &nbsp;&nbsp; Series 2006-2, Class 2A3, 6.00%, 03/25/2036 | 72896 | 27042 |
| &nbsp;&nbsp; Series 2006-2, Class 5A1, 4.55% (1 mo. Term SOFR + 0.81%), 03/25/2036 | 6082441 | 1799299 |
| &nbsp;&nbsp; Series 2006-2, Class 6A8, 5.75%, 03/25/2036 | 203936 | 99181 |
| &nbsp;&nbsp; Series 2006-3, Class 1A3, 6.81%, 04/25/2036 <sup>(c)</sup> | 9650000 | 436306 |
| &nbsp;&nbsp; Series 2006-3, Class 1A4B, 6.66%, 04/25/2036 <sup>(c)</sup> | 2537309 | 115070 |
| &nbsp;&nbsp; Series 2006-3, Class 5A7, 6.00%, 04/25/2036 | 2193599 | 459491 |
| &nbsp;&nbsp; Series 2006-4, Class 10A1, 6.50%, 05/25/2036 | 8085114 | 1999686 |
| &nbsp;&nbsp; Series 2006-4, Class 1A3, 6.00%, 05/25/2036 | 105007 | 53972 |
| &nbsp;&nbsp; Series 2006-6, Class 1A12, 6.00%, 07/25/2036 | 1783498 | 774620 |
| &nbsp;&nbsp; Series 2006-6, Class 1A4, 6.00%, 07/25/2036 | 2456500 | 1066922 |
| &nbsp;&nbsp; Series 2006-6, Class 2A2, 2.05% (-1 x 1 mo. Term SOFR + 5.79%), 07/25/2036 <sup>(d)(f)</sup> | 2279865 | 117306 |
| &nbsp;&nbsp; Series 2006-6, Class 2A4, 6.50%, 07/25/2036 | 4481093 | 893316 |
| &nbsp;&nbsp; Series 2006-7, Class 3A12, 6.25%, 08/25/2036 | 1368735 | 484190 |
| &nbsp;&nbsp; Series 2006-7, Class 6A3, 5.50%, 08/25/2036 | 46404 | 31871 |
| &nbsp;&nbsp; Series 2006-8, Class 3A1, 6.00%, 12/25/2026 | 179955 | 33658 |
| &nbsp;&nbsp; Series 2006-9, Class 4A1, 6.00%, 11/25/2036 | 3854333 | 2086151 |
| &nbsp;&nbsp; Series 2006-9, Class 4A13, 6.50%, 11/25/2036 | 1758038 | 994872 |
| &nbsp;&nbsp; Series 2007-1, Class 1A6A, 5.86%, 02/25/2037 <sup>(b)</sup> | 1613004 | 350136 |
| &nbsp;&nbsp; Series 2007-1, Class 5A13, 6.00%, 02/25/2037 | 1628333 | 870263 |
| &nbsp;&nbsp; Series 2007-1, Class 5A14, 6.00%, 02/25/2037 | 3578339 | 1922559 |
| &nbsp;&nbsp; Series 2007-1, Class 5A4, 6.00%, 02/25/2037 | 484638 | 260364 |
| &nbsp;&nbsp; Series 2007-3, Class 1A1A, 5.84%, 04/25/2037 <sup>(b)</sup> | 18473122 | 4453387 |
| &nbsp;&nbsp; Series 2007-3, Class 1A2, 5.59%, 04/25/2037 <sup>(b)</sup> | 3931055 | 938428 |
| &nbsp;&nbsp; Series 2007-3, Class 2A10, 6.00%, 04/25/2037 | 6206063 | 1817091 |
| &nbsp;&nbsp; Series 2007-4, Class 2A2, 6.00%, 06/25/2037 | 95218 | 49122 |
| &nbsp;&nbsp; Series 2007-4R, Class 1A1, 4.13%, 10/26/2036 <sup>(a)(b)</sup> | 57556 | 52288 |
| &nbsp;&nbsp; Series 2007-5, Class 2A5, 5.00%, 08/25/2037 | 4992976 | 4483748 |
| &nbsp;&nbsp; Series 2007-5, Class 3A2, 12.42% (-4 x 1 mo. Term SOFR + 27.34%), 08/25/2037 <sup>(f)</sup> | 922828 | 1001793 |
| &nbsp;&nbsp; Series 2010-18R, Class 6A2, 4.22%, 09/28/2036 <sup>(a)(b)(e)</sup> | 5308779 | 3740035 |
| &nbsp;&nbsp; Series 2011-2R, Class 4A2, 3.20% (1 mo. Term SOFR + 0.22%), 02/27/2037 <sup>(a)(e)</sup> | 3012646 | 2538154 |
| &nbsp;&nbsp; Series 2011-4R, Class 5A2, 3.78%, 05/27/2036 <sup>(a)(b)</sup> | 4866885 | 4442928 |
| &nbsp;&nbsp; Series 2013-6, Class 1A1, 2.50%, 07/25/2028 <sup>(a)(b)</sup> | 16318 | 15911 |
| &nbsp;&nbsp; Series 2013-7R, Class 4A2, 4.39% (1 mo. Term SOFR + 0.27%), 07/25/2036 <sup>(a)(e)</sup> | 4362482 | 837051 |
| &nbsp;&nbsp; Series 2014-6R, Class 6A3, 2.00%, 05/27/2036 <sup>(a)(b)(e)</sup> | 1547519 | 1444609 |
| &nbsp;&nbsp; Series 2014-6R, Class 8A1, 3.00%, 08/27/2036 <sup>(a)(b)(e)</sup> | 264786 | 249905 |
| &nbsp;&nbsp; Series 2014-6R, Class 8A3, 2.50%, 08/27/2036 <sup>(a)(b)</sup> | 844656 | 674468 |
| &nbsp;&nbsp; Series 2014-6R, Class 9A1, 2.75%, 12/27/2035 <sup>(a)(b)</sup> | 5728 | 5703 |
| &nbsp;&nbsp; Series 2015-1R, Class 6A1, 4.30% (1 mo. Term SOFR + 0.39%), 05/27/2037 <sup>(a)(e)</sup> | 45629 | 43931 |
| &nbsp;&nbsp; Series 2015-6R, Class 5A2, 3.35% (1 mo. Term SOFR + 0.29%), 03/27/2036 <sup>(a)</sup> | 768298 | 610877 |
|  Credit Suisse Mortgage Trust, Series 2006-6, Class 1A8, 6.00%, 07/25/2036 | 1194294 | 518713 |
| Credit-Based Asset Servicing and Securitization LLC | Credit-Based Asset Servicing and Securitization LLC | Credit-Based Asset Servicing and Securitization LLC |
| &nbsp;&nbsp; Series 2004-CB6, Class B2, 6.70% (1 mo. Term SOFR + 2.96%), 07/25/2035 | 685012 | 535159 |
| &nbsp;&nbsp; Series 2005-RP1, Class B2, 7.50%, 01/25/2035 <sup>(a)(c)</sup> | 3274000 | 2546940 |
| &nbsp;&nbsp; Series 2006-CB8, Class A1, 4.13% (1 mo. Term SOFR + 0.39%), 10/25/2036 | 61015 | 56697 |
| &nbsp;&nbsp; Series 2007-CB3, Class A1, 3.27%, 03/25/2037 <sup>(c)</sup> | 8783459 | 3184953 |
| &nbsp;&nbsp; Series 2007-CB3, Class A3, 3.27%, 03/25/2037 <sup>(c)</sup> | 328492 | 119124 |
| &nbsp;&nbsp; Series 2007-CB4, Class A2C, 3.40%, 04/25/2037 <sup>(c)</sup> | 850000 | 578614 |
| &nbsp;&nbsp; Series 2007-CB5, Class A1, 2.90% (1 mo. Term SOFR + 0.23%), 04/25/2037 | 109844 | 65591 |
| &nbsp;&nbsp; Series 2007-RP1, Class A, 4.38% (1 mo. Term SOFR + 0.42%), 05/25/2046 <sup>(a)</sup> | 1338962 | 1199679 |
| CSAB Mortgage Backed Trust | CSAB Mortgage Backed Trust | CSAB Mortgage Backed Trust |
| &nbsp;&nbsp; Series 2006-1, Class A3, 4.33% (1 mo. Term SOFR + 0.59%), 06/25/2036 | 4586228 | 557425 |
| &nbsp;&nbsp; Series 2006-3, Class A4B, 6.61%, 11/25/2036 <sup>(c)</sup> | 584408 | 75158 |
| &nbsp;&nbsp; Series 2006-4, Class A6A, 6.18%, 12/25/2036 <sup>(c)</sup> | 30180 | 4118 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| CSAB Mortgage Backed Trust (Continued) | CSAB Mortgage Backed Trust (Continued) | CSAB Mortgage Backed Trust (Continued) |
| &nbsp;&nbsp; Series 2007-1, Class 1A1A, 5.90%, 05/25/2037 <sup>(b)</sup> | 1958710 | 405742 |
|  CSAB Mortgage-Backed Trust, Series 2007-1, Class 4A1, 4.20% (1 mo. Term SOFR + 0.46%), 05/25/2037 | 8236949 | 994073 |
| Deutsche ALT-A Securities, Inc. | Deutsche ALT-A Securities, Inc. | Deutsche ALT-A Securities, Inc. |
| &nbsp;&nbsp; Series 2005-4, Class A5, 5.50%, 09/25/2035 <sup>(b)</sup> | 57203 | 52123 |
| &nbsp;&nbsp; Series 2005-5, Class 1A6, 7.73% (-7 x 1 mo. Term SOFR + 35.09%), 11/25/2035 <sup>(e)(f)</sup> | 11850 | 12395 |
| &nbsp;&nbsp; Series 2005-6, Class 1A2, 1.23% (-1 x 1 mo. Term SOFR + 4.97%), 12/25/2035 <sup>(d)(f)</sup> | 2586505 | 168097 |
| &nbsp;&nbsp; Series 2005-6, Class 1A3, 5.50%, 12/25/2035 | 11203 | 9099 |
| &nbsp;&nbsp; Series 2006-AB3, Class A5B, 6.80%, 07/25/2036 <sup>(c)</sup> | 552583 | 484296 |
| &nbsp;&nbsp; Series 2006-AB4, Class A4B, 6.50%, 10/25/2036 <sup>(c)</sup> | 386964 | 339155 |
| &nbsp;&nbsp; Series 2007-1, Class 1A4A, 4.07% (1 mo. Term SOFR + 0.33%), 08/25/2037 | 404743 | 363505 |
| &nbsp;&nbsp; Series 2007-AR1, Class A5, 4.33% (1 mo. Term SOFR + 0.59%), 01/25/2047 | 369798 | 332200 |
| &nbsp;&nbsp; Series 2007-AR3, Class 2A5, 4.25% (1 mo. Term SOFR + 0.51%), 06/25/2037 | 180860 | 162040 |
| &nbsp;&nbsp; Series 2007-RMP1, Class A2, 4.15% (1 mo. Term SOFR + 0.41%), 12/25/2036 | 1610697 | 1500901 |
| Deutsche Mortgage Securities, Inc. | Deutsche Mortgage Securities, Inc. | Deutsche Mortgage Securities, Inc. |
| &nbsp;&nbsp; Series 2004-1, Class 3A5, 6.16%, 12/25/2033 <sup>(c)</sup> | 28200 | 27962 |
| &nbsp;&nbsp; Series 2006-PR1, Class 3A1, 6.71% (-1 x 1 mo. Term SOFR + 11.96%), 04/15/2036 <sup>(a)(f)</sup> | 28091 | 25954 |
| &nbsp;&nbsp; Series 2006-PR1, Class 4AF1, 4.15% (1 mo. Term SOFR + 0.40%), 04/15/2036 <sup>(a)</sup> | 716764 | 659369 |
| &nbsp;&nbsp; Series 2006-PR1, Class 4AF2, 4.21% (1 mo. Term SOFR + 0.46%), 04/15/2036 <sup>(a)</sup> | 1726285 | 1589429 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AF1, 4.41% (1 mo. Term SOFR + 0.66%), 04/15/2036 <sup>(a)</sup> | 328979 | 295316 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AF3, 4.23% (1 mo. Term SOFR + 0.48%), 04/15/2036 <sup>(a)</sup> | 3069814 | 2737927 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AF4, 4.20% (1 mo. Term SOFR + 0.45%), 04/15/2036 <sup>(a)</sup> | 7595621 | 6766404 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AI2, 7.07% (-2 x 1 mo. Term SOFR + 14.08%), 04/15/2036 <sup>(a)(f)</sup> | 2318958 | 2259022 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AI4, 6.71% (-1 x 1 mo. Term SOFR + 11.96%), 04/15/2036 <sup>(a)(f)</sup> | 391668 | 375144 |
| &nbsp;&nbsp; Series 2006-PR1, Class 5AS4, 3.67%, 04/15/2036 <sup>(a)(b)(d)</sup> | 2168776 | 264638 |
| &nbsp;&nbsp; Series 2006-PR1, Class AX, 0.26%, 04/15/2036 <sup>(a)(b)(d)</sup> | 6543949 | 30308 |
| &nbsp;&nbsp; Series 2008-RS1, Class 4A2, 4.08% (1 mo. Term SOFR + 0.36%), 05/28/2037 <sup>(a)</sup> | 1023213 | 964048 |
| &nbsp;&nbsp; Series 2009-RS2, Class 3A2, 6.00%, 11/26/2037 <sup>(a)</sup> | 1486267 | 633437 |
| Downey Savings & Loan Association Mortgage Loan Trust | Downey Savings & Loan Association Mortgage Loan Trust | Downey Savings & Loan Association Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2005-AR5, Class 2A1A, 4.51% (1 mo. Term SOFR + 0.77%), 09/19/2045 | 4564267 | 2393105 |
| &nbsp;&nbsp; Series 2006-AR1, Class 2A1A, 4.97% (MTA + 0.94%), 04/19/2046 | 2109805 | 1717724 |
| &nbsp;&nbsp; Series 2007-AR1, Class 2A1A, 3.99% (1 mo. Term SOFR + 0.25%), 03/19/2037 | 83549 | 70629 |
|  EMC Mortgage Loan Trust, Series 2001-A, Class A, 4.59% (1 mo. Term SOFR + 0.85%), 05/25/2040 <sup>(a)</sup> | 417659 | 413421 |
|  Encore Credit Receivables Trust, Series 2005-1, Class M4, 4.87% (1 mo. Term SOFR + 1.13%), 07/25/2035 | 626282 | 562576 |
|  Equifirst Mortgage Loan Trust, Series 2004-2, Class M7, 6.85% (1 mo. Term SOFR + 3.11%), 10/25/2034 | 39742 | 37977 |
|  Finance America Mortgage Loan Trust, Series 2004-2, Class M7, 6.55% (1 mo. Term SOFR + 2.81%), 08/25/2034 | 545523 | 481580 |
| First Franklin Mortgage Loan Asset Backed Certificates | First Franklin Mortgage Loan Asset Backed Certificates | First Franklin Mortgage Loan Asset Backed Certificates |
| &nbsp;&nbsp; Series 2003-FF5, Class M3, 6.32% (1 mo. Term SOFR + 2.59%), 03/25/2034 | 278613 | 268497 |
| &nbsp;&nbsp; Series 2004-FF5, Class A3C, 4.85% (1 mo. Term SOFR + 1.11%), 08/25/2034 | 103032 | 96832 |
| &nbsp;&nbsp; Series 2004-FF7, Class M7, 6.85% (1 mo. Term SOFR + 3.11%), 09/25/2034 | 735271 | 811278 |
| &nbsp;&nbsp; Series 2006-FF5, Class 2A4, 4.33% (1 mo. Term SOFR + 0.59%), 04/25/2036 | 5517739 | 5128052 |
| First Horizon Alternative Mortgage Securities | First Horizon Alternative Mortgage Securities | First Horizon Alternative Mortgage Securities |
| &nbsp;&nbsp; Series 2005-AA11, Class 2A1, 4.15%, 01/25/2036 <sup>(b)</sup> | 372799 | 176427 |
| &nbsp;&nbsp; Series 2005-AA9, Class 2A1, 5.29%, 11/25/2035 <sup>(b)</sup> | 850012 | 732968 |
| &nbsp;&nbsp; Series 2005-FA3, Class 1A2, 4.35% (1 mo. Term SOFR + 0.61%), 05/25/2035 | 1634430 | 916277 |
| &nbsp;&nbsp; Series 2005-FA6, Class A7, 5.50%, 09/25/2035 | 729453 | 360192 |
| &nbsp;&nbsp; Series 2006-AA2, Class 2A1, 4.69%, 05/25/2036 <sup>(b)</sup> | 261506 | 212607 |
| &nbsp;&nbsp; Series 2006-AA8, Class 2A1, 4.67%, 02/25/2037 <sup>(b)</sup> | 221171 | 149012 |
| &nbsp;&nbsp; Series 2006-FA1, Class 1A1, 4.60% (1 mo. Term SOFR + 0.86%), 04/25/2036 | 3018178 | 931573 |
| &nbsp;&nbsp; Series 2006-FA2, Class 1A3, 6.00%, 05/25/2036 | 1812079 | 658483 |
| &nbsp;&nbsp; Series 2006-FA2, Class 1A6, 6.00%, 05/25/2036 | 770159 | 279865 |
| &nbsp;&nbsp; Series 2006-FA6, Class 2A4, 6.75%, 11/25/2036 | 110649 | 29748 |
| &nbsp;&nbsp; Series 2006-FA8, Class 1A7, 6.00%, 02/25/2037 | 956152 | 334667 |
| &nbsp;&nbsp; Series 2006-RE1, Class A1, 5.50%, 05/25/2035 <sup>(b)</sup> | 44103 | 27078 |
| &nbsp;&nbsp; Series 2007-FA1, Class A1, 4.17% (1 mo. Term SOFR + 0.43%), 03/25/2037 | 11170523 | 2707965 |
| &nbsp;&nbsp; Series 2007-FA2, Class 1A5, 4.15% (1 mo. Term SOFR + 0.41%), 04/25/2037 | 8624 | 1928 |
| &nbsp;&nbsp; Series 2007-FA3, Class A5, 4.45% (1 mo. Term SOFR + 0.71%), 06/25/2037 | 3179740 | 697037 |
| First Horizon Asset Securities, Inc. | First Horizon Asset Securities, Inc. | First Horizon Asset Securities, Inc. |
| &nbsp;&nbsp; Series 2005-AR3, Class 2A1, 6.00%, 08/25/2035 <sup>(b)</sup> | 580845 | 383184 |
| &nbsp;&nbsp; Series 2007-4, Class 1A16, 4.45% (1 mo. Term SOFR + 0.71%), 08/25/2037 | 3176538 | 748077 |
| &nbsp;&nbsp; Series 2007-AR3, Class 2A2, 5.71%, 11/25/2037 <sup>(b)</sup> | 287012 | 205260 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
|  FirstKey Mortgage Trust, Series 2015-1, Class A3, 3.50%, 03/25/2045 <sup>(a)(b)</sup> | 43346 | 40580 |
| Flagstar Mortgage Trust | Flagstar Mortgage Trust | Flagstar Mortgage Trust |
| &nbsp;&nbsp; Series 2018-6RR, Class AM, 4.90%, 10/25/2048 <sup>(a)(b)</sup> | 21762 | 20981 |
| &nbsp;&nbsp; Series 2019-1INV, Class A11, 4.80% (1 mo. Term SOFR + 1.06%), 10/25/2049 <sup>(a)</sup> | 247371 | 238038 |
| &nbsp;&nbsp; Series 2019-1INV, Class A13, 3.50%, 10/25/2049 <sup>(a)(b)</sup> | 21482 | 19473 |
| Fremont Home Loan Trust | Fremont Home Loan Trust | Fremont Home Loan Trust |
| &nbsp;&nbsp; Series 2004-C, Class M2, 4.90% (1 mo. Term SOFR + 1.16%), 08/25/2034 | 98284 | 85934 |
| &nbsp;&nbsp; Series 2006-3, Class 1A1, 4.13% (1 mo. Term SOFR + 0.39%), 02/25/2037 | 49681 | 37208 |
| &nbsp;&nbsp; Series 2006-B, Class 2A2, 4.05% (1 mo. Term SOFR + 0.31%), 08/25/2036 | 74213 | 22843 |
| &nbsp;&nbsp; Series 2006-E, Class 1A1, 4.13% (1 mo. Term SOFR + 0.39%), 01/25/2037 | 1357157 | 698568 |
|  Galton Funding Mortgage Trust, Series 2019-2, Class A21, 4.00%, 06/25/2059 <sup>(a)(b)</sup> | 44870 | 42064 |
|  GCAT, Series 2024-NQM2, Class A1, 6.09%, 06/25/2059 <sup>(a)(c)</sup> | 1109576 | 1121127 |
| Global Mortgage Securitization Ltd. | Global Mortgage Securitization Ltd. | Global Mortgage Securitization Ltd. |
| &nbsp;&nbsp; Series 2005-A, Class A2, 4.12% (1 mo. Term SOFR + 0.38%), 04/25/2032 <sup>(a)</sup> | 323956 | 315594 |
| &nbsp;&nbsp; Series 2005-A, Class B1, 5.25%, 04/25/2032 <sup>(a)</sup> | 52387 | 48584 |
| GMAC Mortgage Corp. Loan Trust | GMAC Mortgage Corp. Loan Trust | GMAC Mortgage Corp. Loan Trust |
| &nbsp;&nbsp; Series 2002-HE1, Class A2, 4.33% (1 mo. Term SOFR + 0.59%), 01/25/2029 | 102204 | 77998 |
| &nbsp;&nbsp; Series 2004-J2, Class A9, 0.00%, 06/25/2034 <sup>(g)</sup> | 105824 | 91271 |
| &nbsp;&nbsp; Series 2005-AR4, Class 2A2, 5.80%, 07/19/2035 <sup>(b)</sup> | 80560 | 58246 |
| &nbsp;&nbsp; Series 2005-AR6, Class 3A1, 3.72%, 11/19/2035 <sup>(b)</sup> | 9434 | 8297 |
| &nbsp;&nbsp; Series 2006-AR1, Class 1A1, 3.76%, 04/19/2036 <sup>(b)</sup> | 1618260 | 1340885 |
| &nbsp;&nbsp; Series 2006-J1, Class A2, 5.75%, 04/25/2036 | 248464 | 216055 |
| &nbsp;&nbsp; Series 2006-J1, Class A4, 5.75%, 04/25/2036 | 937084 | 814851 |
| &nbsp;&nbsp; Series 2006-J1, Class A6, 5.75%, 04/25/2036 | 981668 | 853619 |
| &nbsp;&nbsp; Series 2007-HE2, Class A2, 6.05%, 12/25/2037 <sup>(b)</sup> | 177225 | 174374 |
| &nbsp;&nbsp; Series 2007-HE2, Class A3, 6.19%, 12/25/2037 <sup>(b)</sup> | 426120 | 419094 |
| &nbsp;&nbsp; Series 2007-HE2, Class A5, 7.05%, 12/25/2037 <sup>(c)</sup> | 125329 | 123296 |
| &nbsp;&nbsp; Series 2007-HE3, Class 2A1, 7.00%, 09/25/2037 <sup>(b)</sup> | 83834 | 83098 |
| Greenpoint Manufactured Housing | Greenpoint Manufactured Housing | Greenpoint Manufactured Housing |
| &nbsp;&nbsp; Series 1999-5, Class M2, 9.23%, 12/15/2029 <sup>(b)</sup> | 470655 | 471489 |
| &nbsp;&nbsp; Series 2000-3, Class IA, 8.34%, 06/20/2031 <sup>(b)</sup> | 6189448 | 1864257 |
| Greenpoint Mortgage Funding Trust | Greenpoint Mortgage Funding Trust | Greenpoint Mortgage Funding Trust |
| &nbsp;&nbsp; Series 2005-AR1, Class A3, 4.41% (1 mo. Term SOFR + 0.67%), 06/25/2045 | 73544 | 66418 |
| &nbsp;&nbsp; Series 2005-AR3, Class 1A1, 4.33% (1 mo. Term SOFR + 0.59%), 08/25/2045 | 518585 | 443929 |
| &nbsp;&nbsp; Series 2005-AR4, Class G12B, 4.09% (1 mo. Term SOFR + 0.35%), 10/25/2045 | 299481 | 286087 |
| &nbsp;&nbsp; Series 2005-AR5, Class 2A1, 4.41% (1 mo. Term SOFR + 0.67%), 11/25/2045 | 3980207 | 2636622 |
| &nbsp;&nbsp; Series 2006-AR1, Class A1A, 4.43% (1 mo. Term SOFR + 0.69%), 02/25/2036 | 94195 | 86713 |
| &nbsp;&nbsp; Series 2006-AR2, Class 3A2, 4.49% (1 mo. Term SOFR + 0.75%), 03/25/2036 | 193569 | 191300 |
| &nbsp;&nbsp; Series 2007-AR2, Class 2A1, 4.25% (1 mo. Term SOFR + 0.51%), 05/25/2037 | 407052 | 405678 |
| GS Mortgage Securities Corp. | GS Mortgage Securities Corp. | GS Mortgage Securities Corp. |
| &nbsp;&nbsp; Series 2008-2R, Class 1A1, 4.03%, 09/25/2036 <sup>(a)(b)</sup> | 266574 | 72416 |
| &nbsp;&nbsp; Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 <sup>(a)(b)</sup> | 239090 | 25391 |
| &nbsp;&nbsp; Series 2009-4R, Class 2A3, 4.52% (1 mo. Term SOFR + 0.56%), 12/26/2036 <sup>(a)</sup> | 2445014 | 1793816 |
| &nbsp;&nbsp; Series 2015-3R, Class 1B, 4.13% (1 mo. Term SOFR + 0.39%), 01/26/2037 <sup>(a)</sup> | 518567 | 473664 |
| &nbsp;&nbsp; Series 2015-5R, Class 1D, 3.55% (1 mo. Term SOFR + 0.25%), 04/26/2037 <sup>(a)</sup> | 756727 | 428714 |
|  GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A9, 4.92% (30 day avg SOFR US + 0.85%), 02/25/2052 <sup>(a)</sup> | 1498049 | 1388680 |
| GSAA Home Equity Trust | GSAA Home Equity Trust | GSAA Home Equity Trust |
| &nbsp;&nbsp; Series 2005-14, Class 1A2, 4.55% (1 mo. Term SOFR + 0.81%), 12/25/2035 | 770008 | 346097 |
| &nbsp;&nbsp; Series 2006-11, Class 2A1, 4.03% (1 mo. Term SOFR + 0.29%), 07/25/2036 | 4600735 | 839296 |
| GSAA Trust | GSAA Trust | GSAA Trust |
| &nbsp;&nbsp; Series 2005-14, Class 2A3, 4.55% (1 mo. Term SOFR + 0.81%), 12/25/2035 | 236121 | 214596 |
| &nbsp;&nbsp; Series 2005-7, Class AF4, 5.56%, 05/25/2035 <sup>(c)</sup> | 231687 | 221549 |
| &nbsp;&nbsp; Series 2006-1, Class A2, 4.29% (1 mo. Term SOFR + 0.55%), 01/25/2036 | 4405570 | 1190827 |
| &nbsp;&nbsp; Series 2006-10, Class AF3, 5.98%, 06/25/2036 <sup>(b)</sup> | 4193463 | 911870 |
| &nbsp;&nbsp; Series 2006-10, Class AF4, 6.80%, 06/25/2036 <sup>(c)</sup> | 1465784 | 317745 |
| &nbsp;&nbsp; Series 2006-12, Class A1, 3.95% (1 mo. Term SOFR + 0.21%), 08/25/2036 | 3088163 | 696641 |
| &nbsp;&nbsp; Series 2006-15, Class AF4, 6.46%, 09/25/2036 <sup>(c)</sup> | 1986831 | 493594 |
| &nbsp;&nbsp; Series 2006-17, Class A2, 4.21% (1 mo. Term SOFR + 0.47%), 11/25/2036 | 6159313 | 1455551 |
| &nbsp;&nbsp; Series 2006-17, Class A3A, 4.33% (1 mo. Term SOFR + 0.59%), 11/25/2036 | 3821253 | 1196945 |
| &nbsp;&nbsp; Series 2006-19, Class A1, 4.03% (1 mo. Term SOFR + 0.29%), 12/25/2036 | 74132 | 18958 |
| &nbsp;&nbsp; Series 2006-20, Class 2A1A, 3.95% (1 mo. Term SOFR + 0.21%), 12/25/2046 | 402926 | 193672 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| GSAA Trust (Continued) | GSAA Trust (Continued) | GSAA Trust (Continued) |
| &nbsp;&nbsp; Series 2006-20, Class 2A1B, 4.05% (1 mo. Term SOFR + 0.31%), 12/25/2046 | 10817333 | 381061 |
| &nbsp;&nbsp; Series 2006-3, Class A4, 4.55% (1 mo. Term SOFR + 0.81%), 03/25/2036 | 4832103 | 286497 |
| &nbsp;&nbsp; Series 2006-7, Class AF2, 5.99%, 03/25/2046 <sup>(b)</sup> | 427863 | 147988 |
| &nbsp;&nbsp; Series 2007-1, Class 1A1, 4.01% (1 mo. Term SOFR + 0.27%), 02/25/2037 | 7965150 | 2181836 |
| &nbsp;&nbsp; Series 2007-1, Class 1A2, 4.19% (1 mo. Term SOFR + 0.45%), 02/25/2037 | 1647806 | 448808 |
| &nbsp;&nbsp; Series 2007-10, Class A1A, 6.00%, 11/25/2037 | 3261869 | 1574142 |
| &nbsp;&nbsp; Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2121878 | 756660 |
| &nbsp;&nbsp; Series 2007-5, Class 2A1A, 4.09% (1 mo. Term SOFR + 0.35%), 04/25/2047 | 525945 | 489656 |
| &nbsp;&nbsp; Series 2007-8, Class A3, 4.75% (1 mo. Term SOFR + 1.01%), 08/25/2037 | 81124 | 80583 |
| GSAMP Trust | GSAMP Trust | GSAMP Trust |
| &nbsp;&nbsp; Series 2004-AR1, Class M1, 4.82% (1 mo. Term SOFR + 1.09%), 06/25/2034 | 1372775 | 1515525 |
| &nbsp;&nbsp; Series 2004-OPT, Class B3, 3.51%, 11/25/2034 <sup>(c)</sup> | 791737 | 617467 |
| &nbsp;&nbsp; Series 2004-OPT, Class M1, 3.40% (1 mo. Term SOFR + 0.98%), 11/25/2034 | 39540 | 38508 |
| &nbsp;&nbsp; Series 2004-WF, Class B1, 6.32% (1 mo. Term SOFR + 2.59%), 10/25/2034 | 176215 | 176464 |
| &nbsp;&nbsp; Series 2004-WF, Class M3, 5.72% (1 mo. Term SOFR + 1.99%), 10/25/2034 | 195487 | 199101 |
| &nbsp;&nbsp; Series 2006-S5, Class A2, 6.16%, 09/25/2036 <sup>(c)</sup> | 22148931 | 252438 |
| &nbsp;&nbsp; Series 2007-NC1, Class A2D, 4.31% (1 mo. Term SOFR + 0.57%), 12/25/2046 | 2250490 | 1117188 |
| &nbsp;&nbsp; Series 2007-SEA1, Class M1, 5.50%, 12/25/2036 <sup>(a)(c)</sup> | 2000000 | 1909242 |
| GSMPS Mortgage Loan Trust | GSMPS Mortgage Loan Trust | GSMPS Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2005-RP1, Class 1A4, 8.50%, 01/25/2035 <sup>(a)</sup> | 29339 | 30614 |
| &nbsp;&nbsp; Series 2005-RP1, Class 1AF, 4.20% (1 mo. Term SOFR + 0.46%), 01/25/2035 <sup>(a)</sup> | 25935 | 22563 |
| &nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.20% (1 mo. Term SOFR + 0.46%), 03/25/2035 <sup>(a)</sup> | 6344029 | 5920805 |
| &nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.20% (1 mo. Term SOFR + 0.46%), 09/25/2035 <sup>(a)</sup> | 388335 | 333806 |
| &nbsp;&nbsp; Series 2006-RP1, Class 1AS, 0.00%, 01/25/2036 <sup>(a)(b)(d)</sup> | 11328779 | 188240 |
| GSR Mortgage Loan Trust | GSR Mortgage Loan Trust | GSR Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-2F, Class 1A4, 5.50%, 01/25/2034 | 20321 | 20780 |
| &nbsp;&nbsp; Series 2005-2F, Class 3A2, 3.90% (-1 x 1 mo. Term SOFR + 7.64%), 03/25/2035 <sup>(d)(f)</sup> | 397496 | 78504 |
| &nbsp;&nbsp; Series 2005-6F, Class 3A11, 4.15% (1 mo. Term SOFR + 0.41%), 07/25/2035 | 417924 | 365007 |
| &nbsp;&nbsp; Series 2005-9F, Class 1A6, 5.50%, 12/25/2035 | 277354 | 234922 |
| &nbsp;&nbsp; Series 2005-AR2, Class 1A2, 4.40%, 04/25/2035 <sup>(b)</sup> | 435919 | 381591 |
| &nbsp;&nbsp; Series 2005-AR2, Class 5A1, 6.56%, 04/25/2035 <sup>(b)</sup> | 186581 | 183182 |
| &nbsp;&nbsp; Series 2005-AR3, Class 5A1, 6.60%, 05/25/2035 <sup>(b)</sup> | 775785 | 666024 |
| &nbsp;&nbsp; Series 2005-AR3, Class 6A1, 4.24%, 05/25/2035 <sup>(b)</sup> | 2404840 | 1772831 |
| &nbsp;&nbsp; Series 2005-AR3, Class 7A1, 3.58%, 05/25/2035 <sup>(b)</sup> | 379962 | 320738 |
| &nbsp;&nbsp; Series 2005-AR6, Class B1, 5.54%, 09/25/2035 <sup>(b)</sup> | 80257 | 69310 |
| &nbsp;&nbsp; Series 2006-10F, Class 4A1, 4.20% (1 mo. Term SOFR + 0.46%), 01/25/2037 | 1657489 | 198106 |
| &nbsp;&nbsp; Series 2006-3F, Class 2A3, 5.75%, 03/25/2036 | 361276 | 327472 |
| &nbsp;&nbsp; Series 2006-3F, Class 2A7, 5.75%, 03/25/2036 | 220713 | 200061 |
| &nbsp;&nbsp; Series 2006-3F, Class 5A1, 4.20% (1 mo. Term SOFR + 0.46%), 03/25/2036 | 1293195 | 152099 |
| &nbsp;&nbsp; Series 2006-3F, Class 5A2, 3.30% (-1 x 1 mo. Term SOFR + 7.04%), 03/25/2036 <sup>(d)(f)</sup> | 375543 | 28665 |
| &nbsp;&nbsp; Series 2006-7F, Class 4A2, 6.50%, 08/25/2036 | 1690538 | 439502 |
| &nbsp;&nbsp; Series 2006-AR1, Class 2A4, 4.52%, 01/25/2036 <sup>(b)</sup> | 1870007 | 1738015 |
| &nbsp;&nbsp; Series 2006-AR1, Class 3A1, 4.40%, 01/25/2036 <sup>(b)</sup> | 109415 | 132521 |
| &nbsp;&nbsp; Series 2006-AR2, Class 1A1, 4.21% (1 mo. Term SOFR + 0.47%), 12/25/2035 | 42870 | 37162 |
| &nbsp;&nbsp; Series 2006-AR2, Class 2A1, 4.15%, 04/25/2036 <sup>(b)</sup> | 188796 | 111220 |
| &nbsp;&nbsp; Series 2006-AR2, Class 3A1, 5.83%, 04/25/2036 <sup>(b)</sup> | 466067 | 262988 |
| &nbsp;&nbsp; Series 2007-3F, Class 3A7, 6.00%, 05/25/2037 | 3382882 | 2417001 |
| &nbsp;&nbsp; Series 2007-3F, Class 4A1, 4.15% (1 mo. Term SOFR + 0.41%), 05/25/2037 | 4346946 | 663943 |
| &nbsp;&nbsp; Series 2007-AR1, Class 2A1, 4.15%, 03/25/2047 <sup>(b)</sup> | 250849 | 131758 |
| &nbsp;&nbsp; Series 2007-OA1, Class 2A3A, 4.16% (1 mo. Term SOFR + 0.42%), 05/25/2037 | 667531 | 370393 |
| Harborview Mortgage Loan Trust | Harborview Mortgage Loan Trust | Harborview Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-7, Class 4A, 5.03%, 11/19/2034 <sup>(b)</sup> | 445221 | 403191 |
| &nbsp;&nbsp; Series 2004-8, Class 2A3, 4.67% (1 mo. Term SOFR + 0.93%), 11/19/2034 | 197103 | 180806 |
| &nbsp;&nbsp; Series 2005-1, Class 2A1A, 4.39% (1 mo. Term SOFR + 0.65%), 03/19/2035 | 141573 | 137598 |
| &nbsp;&nbsp; Series 2005-12, Class 1A1A, 6.03% (MTA + 2.00%), 10/19/2035 | 426368 | 198332 |
| &nbsp;&nbsp; Series 2005-13, Class 2A11, 4.41% (1 mo. Term SOFR + 0.67%), 02/19/2036 | 1524640 | 628283 |
| &nbsp;&nbsp; Series 2005-15, Class 2A11, 4.39% (1 mo. Term SOFR + 0.65%), 10/20/2045 | 1828498 | 1710943 |
| &nbsp;&nbsp; Series 2005-15, Class 3A11, 6.03% (MTA + 2.00%), 10/20/2045 | 2185415 | 1644841 |
| &nbsp;&nbsp; Series 2005-6, Class A1B, 4.81% (6 mo. Term SOFR + 1.19%), 07/19/2045 | 229675 | 196768 |
| &nbsp;&nbsp; Series 2005-7, Class 1A1, 4.81% (Ent 11th COFI Repl + 1.85%), 06/19/2045 | 494093 | 217205 |
| &nbsp;&nbsp; Series 2005-8, Class 1A2A, 4.51% (1 mo. Term SOFR + 0.77%), 09/19/2035 | 316853 | 188249 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Harborview Mortgage Loan Trust (Continued) | Harborview Mortgage Loan Trust (Continued) | Harborview Mortgage Loan Trust (Continued) |
| &nbsp;&nbsp; Series 2005-9, Class B2, 4.82% (1 mo. Term SOFR + 1.09%), 06/20/2035 | 270055 | 250028 |
| &nbsp;&nbsp; Series 2006-11, Class A1A, 4.19% (1 mo. Term SOFR + 0.45%), 12/19/2036 | 1612448 | 1461988 |
| &nbsp;&nbsp; Series 2006-5, Class 2A1A, 4.21% (1 mo. Term SOFR + 0.47%), 07/19/2046 | 9916536 | 5159813 |
| &nbsp;&nbsp; Series 2006-6, Class 1A1A, 4.91%, 08/19/2036 <sup>(b)</sup> | 423613 | 271342 |
| &nbsp;&nbsp; Series 2006-9, Class 2A1A, 4.27% (1 mo. Term SOFR + 0.53%), 11/19/2036 | 821964 | 778947 |
| &nbsp;&nbsp; Series 2006-BU1, Class 2A1B, 4.35% (1 mo. Term SOFR + 0.61%), 02/19/2046 | 497323 | 371561 |
| &nbsp;&nbsp; Series 2007-2, Class 2A1A, 4.01% (1 mo. Term SOFR + 0.43%), 05/25/2038 | 3362351 | 2723622 |
| &nbsp;&nbsp; Series 2007-3, Class 2A1A, 4.25% (1 mo. Term SOFR + 0.51%), 05/19/2037 | 2062818 | 1952044 |
| &nbsp;&nbsp; Series 2007-4, Class 2A1, 4.07% (1 mo. Term SOFR + 0.55%), 07/19/2037 | 279585 | 271227 |
| &nbsp;&nbsp; Series 2007-7, Class 2A1A, 5.85% (1 mo. Term SOFR + 2.11%), 10/25/2037 | 215801 | 204064 |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2005-14, Class 4A1A, 4.80%, 12/19/2035 <sup>(b)</sup> | 1207273 | 569654 |
| &nbsp;&nbsp; Series 2005-16, Class 3A1A, 4.35% (1 mo. Term SOFR + 0.61%), 01/19/2036 | 1973637 | 1269711 |
| &nbsp;&nbsp; Series 2006-8, Class 1A1, 4.05% (1 mo. Term SOFR + 0.51%), 07/21/2036 | 664887 | 320241 |
| Home Equity Asset Trust | Home Equity Asset Trust | Home Equity Asset Trust |
| &nbsp;&nbsp; Series 2002-5, Class M2, 6.75% (1 mo. Term SOFR + 3.01%), 05/25/2033 | 145010 | 141228 |
| &nbsp;&nbsp; Series 2003-7, Class A2, 4.61% (1 mo. Term SOFR + 0.87%), 03/25/2034 | 32585 | 32357 |
| HSBC Asset Loan Obligation | HSBC Asset Loan Obligation | HSBC Asset Loan Obligation |
| &nbsp;&nbsp; Series 2006-2, Class 1A1, 6.00%, 12/25/2036 | 283552 | 72662 |
| &nbsp;&nbsp; Series 2006-2, Class 1A7, 4.22% (1 mo. Term SOFR + 0.48%), 12/25/2036 | 8274470 | 1522585 |
| &nbsp;&nbsp; Series 2007-WF1, Class A1, 3.97% (1 mo. Term SOFR + 0.23%), 12/25/2036 | 1215663 | 342155 |
| HSI Asset Securitization Corp. | HSI Asset Securitization Corp. | HSI Asset Securitization Corp. |
| &nbsp;&nbsp; Series 2006-HE2, Class 2A2, 4.07% (1 mo. Term SOFR + 0.33%), 12/25/2036 | 462300 | 111790 |
| &nbsp;&nbsp; Series 2007-HE2, Class 2A1, 4.07% (1 mo. Term SOFR + 0.33%), 04/25/2037 | 163819 | 81780 |
| Impac CMB Trust | Impac CMB Trust | Impac CMB Trust |
| &nbsp;&nbsp; Series 2004-11, Class 2A2, 4.59% (1 mo. Term SOFR + 0.85%), 03/25/2035 | 234165 | 206817 |
| &nbsp;&nbsp; Series 2004-4, Class 2A1, 5.24%, 09/25/2034 <sup>(c)</sup> | 357783 | 366417 |
| &nbsp;&nbsp; Series 2004-6, Class 1A2, 4.63% (1 mo. Term SOFR + 0.89%), 10/25/2034 | 36773 | 36795 |
| &nbsp;&nbsp; Series 2005-7, Class A1, 4.37% (1 mo. Term SOFR + 0.63%), 11/25/2035 | 12235 | 11201 |
| &nbsp;&nbsp; Series 2005-8, Class 1A, 4.37% (1 mo. Term SOFR + 0.63%), 02/25/2036 | 387815 | 367931 |
| &nbsp;&nbsp; Series 2005-8, Class 1AM, 4.55% (1 mo. Term SOFR + 0.81%), 02/25/2036 | 831088 | 787406 |
| Impac Secured Assets CMN Owner Trust | Impac Secured Assets CMN Owner Trust | Impac Secured Assets CMN Owner Trust |
| &nbsp;&nbsp; Series 2006-2, Class 1A2B, 4.19% (1 mo. Term SOFR + 0.45%), 08/25/2036 | 1180284 | 1139966 |
| &nbsp;&nbsp; Series 2007-3, Class A1A, 4.07% (1 mo. Term SOFR + 0.33%), 09/25/2037 | 106498 | 95545 |
| &nbsp;&nbsp; Series 2007-3, Class A1B, 4.33% (1 mo. Term SOFR + 0.59%), 09/25/2037 | 1400933 | 1236600 |
|  Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A1, 4.77%, 06/25/2067 <sup>(a)(c)</sup> | 1091603 | 1087620 |
| Indymac Home Equity Loan Asset-Backed Trust | Indymac Home Equity Loan Asset-Backed Trust | Indymac Home Equity Loan Asset-Backed Trust |
| &nbsp;&nbsp; Series 2001-C, Class M2, 6.02% (1 mo. Term SOFR + 2.29%), 12/25/2032 | 390514 | 405859 |
| &nbsp;&nbsp; Series 2004-C, Class M5, 4.22% (1 mo. Term SOFR + 1.69%), 03/25/2035 | 579288 | 490761 |
| &nbsp;&nbsp; Series 2004-C, Class M6, 4.22% (1 mo. Term SOFR + 1.99%), 03/25/2035 | 293558 | 242120 |
| &nbsp;&nbsp; Series 2004-C, Class M7, 4.22% (1 mo. Term SOFR + 2.74%), 03/25/2035 | 184628 | 154963 |
| Indymac IMJA Mortgage Loan Trust | Indymac IMJA Mortgage Loan Trust | Indymac IMJA Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2007-A1, Class A3, 6.00%, 08/25/2037 | 2645952 | 959444 |
| &nbsp;&nbsp; Series 2007-A1, Class A7, 6.00%, 08/25/2037 | 1373083 | 498386 |
| Indymac IMSC Mortgage Loan Trust | Indymac IMSC Mortgage Loan Trust | Indymac IMSC Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2007-F3, Class 2A1, 6.50%, 09/25/2037 | 26566 | 13573 |
| &nbsp;&nbsp; Series 2007-HOA1, Class A11, 4.21% (1 mo. Term SOFR + 0.47%), 07/25/2047 | 2629780 | 1788169 |
| Indymac INDA Mortgage Loan Trust | Indymac INDA Mortgage Loan Trust | Indymac INDA Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2006-AR2, Class 1A1, 4.28%, 09/25/2036 <sup>(b)</sup> | 282857 | 174320 |
| &nbsp;&nbsp; Series 2006-AR2, Class 4A1, 4.29%, 09/25/2036 <sup>(b)</sup> | 119143 | 111014 |
| &nbsp;&nbsp; Series 2007-AR1, Class 1A1, 4.04%, 03/25/2037 <sup>(b)</sup> | 283560 | 218593 |
| &nbsp;&nbsp; Series 2007-AR1, Class 1A2, 4.04%, 03/25/2037 <sup>(b)</sup> | 268305 | 208937 |
| Indymac Index Mortgage Loan Trust | Indymac Index Mortgage Loan Trust | Indymac Index Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-AR9, Class B1, 4.00%, 11/25/2034 <sup>(b)</sup> | 427333 | 355194 |
| &nbsp;&nbsp; Series 2005-AR11, Class A3, 3.66%, 08/25/2035 <sup>(b)</sup> | 137774 | 101391 |
| &nbsp;&nbsp; Series 2005-AR12, Class 1A1, 4.37% (1 mo. Term SOFR + 0.63%), 07/25/2035 | 194907 | 130617 |
| &nbsp;&nbsp; Series 2005-AR13, Class 4A1, 4.31%, 08/25/2035 <sup>(b)</sup> | 151603 | 132572 |
| &nbsp;&nbsp; Series 2005-AR31, Class 5A1, 4.43% (1 mo. Term SOFR + 0.69%), 01/25/2036 | 2303246 | 1553312 |
| &nbsp;&nbsp; Series 2005-AR5, Class 4A1, 4.19%, 05/25/2035 <sup>(b)</sup> | 284567 | 188204 |
| &nbsp;&nbsp; Series 2005-AR6, Class 2A1, 4.33% (1 mo. Term SOFR + 0.59%), 04/25/2035 | 217776 | 172724 |
| &nbsp;&nbsp; Series 2005-AR7, Class 1A1, 3.48%, 06/25/2035 <sup>(b)</sup> | 631108 | 342299 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Indymac Index Mortgage Loan Trust (Continued) | Indymac Index Mortgage Loan Trust (Continued) | Indymac Index Mortgage Loan Trust (Continued) |
| &nbsp;&nbsp; Series 2006-AR13, Class A2, 4.45% (1 mo. Term SOFR + 0.71%), 07/25/2036 <sup>(e)</sup> | 162276 | 101220 |
| &nbsp;&nbsp; Series 2006-AR19, Class 3A1, 3.87%, 08/25/2036 <sup>(b)</sup> | 949174 | 800912 |
| &nbsp;&nbsp; Series 2006-AR25, Class 4A3, 3.57%, 09/25/2036 <sup>(b)</sup> | 1770199 | 1525227 |
| &nbsp;&nbsp; Series 2006-AR5, Class 2A1, 3.69%, 05/25/2036 <sup>(b)</sup> | 1151331 | 1111157 |
| &nbsp;&nbsp; Series 2006-AR9, Class 3A3, 3.40%, 06/25/2036 <sup>(b)</sup> | 69426 | 59908 |
| &nbsp;&nbsp; Series 2007-AR15, Class 2A1, 3.38%, 08/25/2037 <sup>(b)</sup> | 202744 | 141384 |
| &nbsp;&nbsp; Series 2007-FLX2, Class A1C, 4.23% (1 mo. Term SOFR + 0.49%), 04/25/2037 | 104050 | 94335 |
| IndyMac INDX Mortgage Loan Trust | IndyMac INDX Mortgage Loan Trust | IndyMac INDX Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2005-AR18, Class 1A2, 5.47% (1 mo. Term SOFR + 1.73%), 10/25/2036 | 607885 | 249764 |
| &nbsp;&nbsp; Series 2006-AR37, Class 1A1, 4.30%, 02/25/2037 <sup>(b)</sup> | 39744 | 31382 |
| Indymac Residential Asset Backed Trust | Indymac Residential Asset Backed Trust | Indymac Residential Asset Backed Trust |
| &nbsp;&nbsp; Series 2006-C, Class 2A, 4.11% (1 mo. Term SOFR + 0.37%), 08/25/2036 | 54507 | 51981 |
| &nbsp;&nbsp; Series 2007-A, Class 1A, 4.07% (1 mo. Term SOFR + 0.33%), 04/25/2037 | 245456 | 193239 |
| &nbsp;&nbsp; Series 2007-A, Class 2A2, 4.04% (1 mo. Term SOFR + 0.30%), 04/25/2037 | 545929 | 372382 |
| &nbsp;&nbsp; Series 2007-A, Class 2A4B, 4.30% (1 mo. Term SOFR + 0.56%), 04/25/2037 | 3710580 | 1546039 |
|  Investment Capital Access, Inc., Series 13, Class M1, 7.88%, 12/28/2033 <sup>(c)</sup> | 16018 | 16023 |
|  IXIS Real Estate Capital Trust, Series 2007-HE1, Class A1, 3.91% (1 mo. Term SOFR + 0.17%), 05/25/2037 | 445841 | 90629 |
| JP Morgan Alternative Loan Trust | JP Morgan Alternative Loan Trust | JP Morgan Alternative Loan Trust |
| &nbsp;&nbsp; Series 2005-S1, Class 2A11, 6.00%, 12/25/2035 | 10134 | 6667 |
| &nbsp;&nbsp; Series 2006-A1, Class 2A2, 4.87%, 03/25/2036 <sup>(b)</sup> | 2231989 | 1656781 |
| &nbsp;&nbsp; Series 2006-A2, Class 2A2, 4.55%, 05/25/2036 <sup>(b)</sup> | 968225 | 565158 |
| &nbsp;&nbsp; Series 2006-A2, Class 3A1, 4.21%, 05/25/2036 <sup>(b)</sup> | 661945 | 353394 |
| &nbsp;&nbsp; Series 2006-A4, Class A8, 4.10%, 09/25/2036 <sup>(b)</sup> | 5105 | 6148 |
| &nbsp;&nbsp; Series 2006-A5, Class 1A1, 4.17% (1 mo. Term SOFR + 0.43%), 10/25/2036 | 157074 | 147649 |
| &nbsp;&nbsp; Series 2006-A6, Class 2A6, 4.61%, 11/25/2036 <sup>(b)</sup> | 667727 | 562125 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A4, 4.31% (1 mo. Term SOFR + 0.57%), 12/25/2036 | 1131406 | 1025540 |
| &nbsp;&nbsp; Series 2006-S1, Class 3A5, 5.73%, 03/25/2036 <sup>(b)</sup> | 30540 | 31131 |
| &nbsp;&nbsp; Series 2006-S3, Class A6, 6.62%, 08/25/2036 <sup>(c)</sup> | 103457 | 103517 |
| &nbsp;&nbsp; Series 2007-A1, Class 1A1B, 3.97% (1 mo. Term SOFR + 0.23%), 03/25/2037 <sup>(e)</sup> | 731259 | 743142 |
| &nbsp;&nbsp; Series 2007-A2, Class 2A1, 4.75%, 05/25/2037 <sup>(b)</sup> | 127112 | 111704 |
|  JP Morgan Mortgage Acquisition Corp., Series 2006-CH2, Class AF6, 6.04%, 10/25/2036 <sup>(c)</sup> | 535461 | 318735 |
| JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |
| &nbsp;&nbsp; Series 2004-A1, Class 5A1, 6.69%, 02/25/2034 <sup>(b)</sup> | 52311 | 53061 |
| &nbsp;&nbsp; Series 2004-A3, Class 1A1, 6.45%, 07/25/2034 <sup>(b)</sup> | 156470 | 150018 |
| &nbsp;&nbsp; Series 2005-A1, Class 3A4, 5.44%, 02/25/2035 <sup>(b)</sup> | 16661 | 16057 |
| &nbsp;&nbsp; Series 2005-A2, Class 1A1, 5.89%, 04/25/2035 <sup>(b)</sup> | 81273 | 79787 |
| &nbsp;&nbsp; Series 2005-A2, Class 2A1, 3.94%, 04/25/2035 <sup>(b)</sup> | 77062 | 63857 |
| &nbsp;&nbsp; Series 2005-A3, Class 6A5, 5.58%, 06/25/2035 <sup>(b)</sup> | 120520 | 120706 |
| &nbsp;&nbsp; Series 2005-A5, Class 1A2, 4.74%, 08/25/2035 <sup>(b)(e)</sup> | 50561 | 46718 |
| &nbsp;&nbsp; Series 2005-A8, Class 2A3, 5.19%, 11/25/2035 <sup>(b)</sup> | 348754 | 281529 |
| &nbsp;&nbsp; Series 2005-ALT1, Class 2A1, 5.32%, 10/25/2035 <sup>(b)</sup> | 195711 | 145204 |
| &nbsp;&nbsp; Series 2005-S3, Class 2A2, 5.50%, 01/25/2036 | 160155 | 137735 |
| &nbsp;&nbsp; Series 2006-A4, Class 5A1, 4.43%, 06/25/2036 <sup>(b)</sup> | 105459 | 70422 |
| &nbsp;&nbsp; Series 2006-A6, Class 3A2, 4.32%, 10/25/2036 <sup>(b)</sup> | 312537 | 171605 |
| &nbsp;&nbsp; Series 2006-A7, Class 2A4R, 4.40%, 01/25/2037 <sup>(b)</sup> | 217380 | 174198 |
| &nbsp;&nbsp; Series 2007-A1, Class B1, 5.92%, 07/25/2035 <sup>(b)</sup> | 33183 | 30354 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A1, 4.52%, 05/25/2037 <sup>(b)</sup> | 426176 | 355372 |
| &nbsp;&nbsp; Series 2007-A4, Class 1A1, 4.63%, 06/25/2037 <sup>(b)</sup> | 1595068 | 1245321 |
| &nbsp;&nbsp; Series 2007-A4, Class 3A1, 5.02%, 06/25/2037 <sup>(b)</sup> | 51090 | 38989 |
| &nbsp;&nbsp; Series 2007-S3, Class 1A18, 4.35% (1 mo. Term SOFR + 0.61%), 08/25/2037 | 838141 | 253334 |
| &nbsp;&nbsp; Series 2007-S3, Class 1A64, 7.50%, 08/25/2037 | 2923945 | 891496 |
| &nbsp;&nbsp; Series 2007-S3, Class 1A96, 6.00%, 08/25/2037 | 18456 | 7594 |
| &nbsp;&nbsp; Series 2016-3, Class 1A10, 3.00%, 10/25/2046 <sup>(a)(b)</sup> | 820222 | 733381 |
| &nbsp;&nbsp; Series 2016-4, Class A12, 3.00%, 10/25/2046 <sup>(a)(b)(h)</sup> | 871572 | 747381 |
| &nbsp;&nbsp; Series 2017-4, Class A3, 3.50%, 11/25/2048 <sup>(a)(b)</sup> | 3791 | 3463 |
| &nbsp;&nbsp; Series 2019-1, Class A11, 4.80% (1 mo. Term SOFR + 1.06%), 05/25/2049 <sup>(a)</sup> | 1150717 | 1097305 |
| &nbsp;&nbsp; Series 2019-8, Class A11, 4.70% (1 mo. Term SOFR + 0.96%), 03/25/2050 <sup>(a)</sup> | 244259 | 231403 |
| &nbsp;&nbsp; Series 2019-9, Class A11, 4.75% (1 mo. Term SOFR + 1.01%), 05/25/2050 <sup>(a)</sup> | 1688960 | 1620196 |
| &nbsp;&nbsp; Series 2019-INV1, Class A11, 4.80% (1 mo. Term SOFR + 1.06%), 09/25/2049 <sup>(a)</sup> | 1114762 | 1082201 |
| &nbsp;&nbsp; Series 2019-INV3, Class A11, 4.85% (1 mo. Term SOFR + 1.11%), 05/25/2050 <sup>(a)</sup> | 1610780 | 1537554 |
| &nbsp;&nbsp; Series 2020-2, Class A7A, 3.00%, 07/25/2050 <sup>(a)(b)</sup> | 894331 | 782683 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| JP Morgan Mortgage Trust (Continued) | JP Morgan Mortgage Trust (Continued) | JP Morgan Mortgage Trust (Continued) |
| &nbsp;&nbsp; Series 2020-5, Class A11, 5.07% (1 mo. Term SOFR + 1.11%), 12/25/2050 <sup>(a)</sup> | 332180 | 316316 |
| &nbsp;&nbsp; Series 2020-8, Class A11, 4.97% (30 day avg SOFR US + 0.90%), 03/25/2051 <sup>(a)</sup> | 588993 | 555086 |
| &nbsp;&nbsp; Series 2020-INV1, Class A11, 4.68% (1 mo. Term SOFR + 0.94%), 08/25/2050 <sup>(a)</sup> | 48091 | 45599 |
| &nbsp;&nbsp; Series 2021-3, Class A4, 2.50%, 07/25/2051 <sup>(a)(b)</sup> | 62364 | 57011 |
| JP Morgan Reremic | JP Morgan Reremic | JP Morgan Reremic |
| &nbsp;&nbsp; Series 2009-10, Class 1A1, 7.00%, 08/26/2037 <sup>(a)(b)</sup> | 3868498 | 1132287 |
| &nbsp;&nbsp; Series 2009-11, Class 3A2, 5.95%, 01/26/2037 <sup>(a)(b)(e)</sup> | 4763922 | 3784340 |
| &nbsp;&nbsp; Series 2014-1, Class 3A1, 3.00%, 05/26/2037 <sup>(a)</sup> | 346511 | 340405 |
| &nbsp;&nbsp; Series 2014-1, Class 6A1, 2.50%, 11/26/2036 <sup>(a)</sup> | 484134 | 469417 |
| &nbsp;&nbsp; Series 2014-2, Class 2A1, 3.00%, 03/26/2037 <sup>(a)(b)</sup> | 329441 | 307322 |
| &nbsp;&nbsp; Series 2014-2, Class 2A3, 4.00%, 03/26/2037 <sup>(a)(b)</sup> | 541092 | 302290 |
| &nbsp;&nbsp; Series 2014-3, Class 2A3, 5.00%, 06/26/2036 <sup>(a)(b)(e)</sup> | 1099318 | 1136145 |
| &nbsp;&nbsp; Series 2015-1, Class 5C, 0.00%, 07/27/2036 <sup>(a)(b)(d)(e)</sup> | 6252358 | 2309465 |
| Lehman Mortgage Trust | Lehman Mortgage Trust | Lehman Mortgage Trust |
| &nbsp;&nbsp; Series 2005-2, Class 2A1, 4.53% (1 mo. Term SOFR + 0.79%), 12/25/2035 | 3911947 | 1884581 |
| &nbsp;&nbsp; Series 2005-2, Class 3A5, 5.50%, 12/25/2035 | 1136443 | 567557 |
| &nbsp;&nbsp; Series 2005-2, Class 5A2, 10.37% (-5 x 1 mo. Term SOFR + 27.53%), 12/25/2035 <sup>(f)</sup> | 107535 | 94244 |
| &nbsp;&nbsp; Series 2005-2, Class AX, 5.50%, 12/25/2035 <sup>(d)(e)</sup> | 287661 | 51060 |
| &nbsp;&nbsp; Series 2005-3, Class 3A1, 6.00%, 01/25/2036 | 5406136 | 1177038 |
| &nbsp;&nbsp; Series 2006-1, Class 1A3, 5.50%, 02/25/2036 | 601488 | 278194 |
| &nbsp;&nbsp; Series 2006-1, Class 3A5, 5.50%, 02/25/2036 | 2177760 | 1540743 |
| &nbsp;&nbsp; Series 2006-2, Class 1A1, 5.74%, 04/25/2036 <sup>(b)</sup> | 154021 | 94549 |
| &nbsp;&nbsp; Series 2006-3, Class 3A3, 3.30% (-1 x 1 mo. Term SOFR + 7.04%), 07/25/2036 <sup>(d)(f)</sup> | 4551665 | 637759 |
| &nbsp;&nbsp; Series 2006-4, Class 1A3, 1.55% (-1 x 1 mo. Term SOFR + 5.29%), 08/25/2036 <sup>(d)(f)</sup> | 648146 | 55949 |
| &nbsp;&nbsp; Series 2006-5, Class 2A1, 4.20% (1 mo. Term SOFR + 0.46%), 09/25/2036 | 3842138 | 461127 |
| &nbsp;&nbsp; Series 2006-5, Class 2A2, Pool 2006-5, 3.30% (-1 x 1 mo. Term SOFR + 7.04%), 09/25/2036 <sup>(d)(f)</sup> | 18146074 | 1611967 |
| &nbsp;&nbsp; Series 2006-6, Class 1A1, 4.35% (1 mo. Term SOFR + 0.61%), 10/25/2036 | 3361958 | 825074 |
| &nbsp;&nbsp; Series 2006-7, Class 1A8, 4.03% (1 mo. Term SOFR + 0.29%), 11/25/2036 | 2440213 | 997130 |
| &nbsp;&nbsp; Series 2006-7, Class 4A1, 4.10% (1 mo. Term SOFR + 0.36%), 11/25/2036 | 2158624 | 127168 |
| &nbsp;&nbsp; Series 2006-8, Class 2A2, 2.73% (-1 x 1 mo. Term SOFR + 6.47%), 12/25/2036 <sup>(d)(f)</sup> | 20366090 | 2335041 |
| &nbsp;&nbsp; Series 2006-9, Class 1A1, 4.18% (1 mo. Term SOFR + 0.44%), 01/25/2037 | 2937505 | 1429330 |
| &nbsp;&nbsp; Series 2006-9, Class 1A2, 4.45% (1 mo. Term SOFR + 0.71%), 01/25/2037 | 1107016 | 564307 |
| &nbsp;&nbsp; Series 2006-9, Class 1A3, 4.18% (1 mo. Term SOFR + 0.44%), 01/25/2037 | 3356868 | 1633383 |
| &nbsp;&nbsp; Series 2007-1, Class 2A3, 2.78% (-1 x 1 mo. Term SOFR + 6.52%), 02/25/2037 <sup>(d)(f)</sup> | 9738923 | 1232102 |
| &nbsp;&nbsp; Series 2007-1, Class 3A1, 4.10% (1 mo. Term SOFR + 0.36%), 02/25/2037 | 2182748 | 285484 |
| &nbsp;&nbsp; Series 2007-1, Class 3A2, 3.40% (-1 x 1 mo. Term SOFR + 7.14%), 02/25/2037 <sup>(d)(f)</sup> | 13292934 | 1476840 |
| &nbsp;&nbsp; Series 2007-2, Class 1A1, 5.75%, 02/25/2037 | 1023513 | 664753 |
| &nbsp;&nbsp; Series 2007-3, Class 1A2, 2.85% (-1 x 1 mo. Term SOFR + 6.59%), 03/25/2037 <sup>(d)(e)(f)</sup> | 1386376 | 189656 |
| &nbsp;&nbsp; Series 2007-4, Class 2A3, 4.18% (1 mo. Term SOFR + 0.44%), 05/25/2037 | 5420957 | 1057040 |
| &nbsp;&nbsp; Series 2007-5, Class 10A4, 4.26% (1 mo. Term SOFR + 0.52%), 06/25/2037 | 3110047 | 669047 |
| &nbsp;&nbsp; Series 2007-5, Class 4A2, 4.17% (1 mo. Term SOFR + 0.43%), 08/25/2036 <sup>(e)</sup> | 355507 | 213527 |
| &nbsp;&nbsp; Series 2007-5, Class 4A3, 17.00% (-6 x 1 mo. Term SOFR + 39.39%), 08/25/2036 <sup>(f)</sup> | 113369 | 158515 |
| &nbsp;&nbsp; Series 2007-6, Class 1A7, 6.00%, 07/25/2037 | 80234 | 71064 |
| &nbsp;&nbsp; Series 2007-7, Class 1A1, 4.35% (1 mo. Term SOFR + 0.61%), 08/25/2037 | 2024684 | 946876 |
| &nbsp;&nbsp; Series 2008-2, Class 1A1, 6.00%, 03/25/2038 | 297318 | 68053 |
| &nbsp;&nbsp; Series 2008-2, Class 1A11, 6.00%, 03/25/2038 | 6734650 | 1541486 |
| &nbsp;&nbsp; Series 2008-3, Class A1, 4.22% (1 mo. Term SOFR + 0.48%), 02/25/2037 | 40219429 | 8851456 |
| &nbsp;&nbsp; Series 2008-4, Class A1, 4.23% (1 mo. Term SOFR + 0.49%), 01/25/2037 | 7702341 | 2087210 |
| LEHMAN MTG TR 2006-4 4-A1 20210825 6.00000 | LEHMAN MTG TR 2006-4 4-A1 20210825 6.00000 | LEHMAN MTG TR 2006-4 4-A1 20210825 6.00000 |
| &nbsp;&nbsp; 6.00%, 10/15/2027 | 290164 | 186016 |
| Lehman XS Trust | Lehman XS Trust | Lehman XS Trust |
| &nbsp;&nbsp; Series 2005-10, Class 1A1, 4.37% (1 mo. Term SOFR + 0.63%), 01/25/2036 | 1005825 | 869208 |
| &nbsp;&nbsp; Series 2005-3, Class 1M1, 4.60% (1 mo. Term SOFR + 0.86%), 09/25/2035 | 4224145 | 4173235 |
| &nbsp;&nbsp; Series 2005-7N, Class 1A1B, 4.45% (1 mo. Term SOFR + 0.71%), 12/25/2035 | 179336 | 146670 |
| &nbsp;&nbsp; Series 2005-8, Class 2A4A, 6.19%, 12/25/2035 <sup>(c)</sup> | 28327 | 31918 |
| &nbsp;&nbsp; Series 2006-10N, Class 1A4A, 4.45% (1 mo. Term SOFR + 0.71%), 07/25/2046 | 483586 | 368026 |
| &nbsp;&nbsp; Series 2006-10N, Class 2A1, 4.09% (1 mo. Term SOFR + 0.35%), 05/25/2046 | 242871 | 247012 |
| &nbsp;&nbsp; Series 2006-12N, Class A31A, 4.25% (1 mo. Term SOFR + 0.51%), 08/25/2046 | 48776 | 52355 |
| &nbsp;&nbsp; Series 2006-GP2, Class 1A5A, 4.27% (1 mo. Term SOFR + 0.53%), 06/25/2046 | 41351 | 40483 |
| &nbsp;&nbsp; Series 2007-10H, Class 2A2, 7.50%, 07/25/2037 | 349113 | 327080 |
| &nbsp;&nbsp; Series 2007-14H, Class A22, 4.22% (1 mo. Term SOFR + 0.91%), 07/25/2047 | 2682628 | 2543647 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Lehman XS Trust (Continued) | Lehman XS Trust (Continued) | Lehman XS Trust (Continued) |
| &nbsp;&nbsp; Series 2007-15N, Class 2A1, 4.35% (1 mo. Term SOFR + 0.61%), 08/25/2037 | 23211 | 22981 |
| &nbsp;&nbsp; Series 2007-16N, Class 2A2, 5.55% (1 mo. Term SOFR + 1.81%), 09/25/2047 | 6810646 | 6284208 |
| &nbsp;&nbsp; Series 2007-3, Class 1BA1, 4.15% (1 mo. Term SOFR + 0.43%), 03/25/2037 | 285834 | 272409 |
| &nbsp;&nbsp; Series 2007-3, Class 1BA2, 4.28% (6 mo. Term SOFR + 0.93%), 03/25/2037 | 250132 | 255911 |
| &nbsp;&nbsp; Series 2007-6, Class 1A1, 5.38% (6 mo. Term SOFR + 1.68%), 05/25/2037 | 462670 | 383682 |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-2, Class A1, 4.29% (1 mo. Term SOFR + 0.55%), 06/25/2034 | 1774858 | 1732339 |
| &nbsp;&nbsp; Series 2004-4, Class M1, 4.75% (1 mo. Term SOFR + 1.01%), 10/25/2034 | 20990 | 20517 |
| &nbsp;&nbsp; Series 2006-A, Class A1, 4.03% (1 mo. Term SOFR + 0.29%), 05/25/2036 | 972187 | 16016 |
| Luminent Mortgage Trust | Luminent Mortgage Trust | Luminent Mortgage Trust |
| &nbsp;&nbsp; Series 2006-3, Class 12A1, 4.27% (1 mo. Term SOFR + 0.53%), 05/25/2036 | 74392 | 67159 |
| &nbsp;&nbsp; Series 2006-7, Class 2A1, 4.19% (1 mo. Term SOFR + 0.45%), 12/25/2036 | 2746673 | 2449725 |
|  Master Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/2037 <sup>(a)(b)(e)</sup> | 391797 | 260055 |
| Mastr Adjustable Rate Mortgages Trust | Mastr Adjustable Rate Mortgages Trust | Mastr Adjustable Rate Mortgages Trust |
| &nbsp;&nbsp; Series 2004-13, Class 3A7, 5.63%, 11/21/2034 <sup>(b)</sup> | 173307 | 172073 |
| &nbsp;&nbsp; Series 2004-4, Class 2A3, 5.92%, 05/25/2034 <sup>(b)</sup> | 173442 | 166540 |
| &nbsp;&nbsp; Series 2004-6, Class 4A6, 5.94%, 07/25/2034 <sup>(b)</sup> | 69550 | 69222 |
| &nbsp;&nbsp; Series 2005-6, Class 5A1, 3.41%, 07/25/2035 <sup>(b)</sup> | 164827 | 147985 |
| &nbsp;&nbsp; Series 2005-6, Class 7A1, 6.61%, 06/25/2035 <sup>(b)</sup> | 4014 | 3734 |
| &nbsp;&nbsp; Series 2006-2, Class 2A1, 6.63%, 04/25/2036 <sup>(b)</sup> | 57792 | 26073 |
| &nbsp;&nbsp; Series 2007-3, Class 22A5, 4.53% (1 mo. Term SOFR + 0.79%), 05/25/2047 | 3290972 | 2778746 |
|  MASTR Adjustable Rate Mortgages Trust, Series 2005-7, Class 3A1, 3.53%, 09/25/2035 <sup>(b)</sup> | 355178 | 211360 |
| MASTR Alternative Loans Trust | MASTR Alternative Loans Trust | MASTR Alternative Loans Trust |
| &nbsp;&nbsp; Series 2003-6, Class B1, 5.72%, 09/25/2033 <sup>(b)</sup> | 310125 | 280876 |
| &nbsp;&nbsp; Series 2004-13, Class 10A3, 5.75%, 01/25/2035 | 1690671 | 1425822 |
| &nbsp;&nbsp; Series 2004-4, Class 1A1, 5.50%, 05/25/2034 | 17842 | 17575 |
| &nbsp;&nbsp; Series 2005-4, Class 5A1, 6.00%, 05/25/2035 | 532362 | 473650 |
| &nbsp;&nbsp; Series 2005-5, Class 3A1, 5.75%, 08/25/2035 | 4241284 | 1839857 |
| &nbsp;&nbsp; Series 2005-6, Class 2A1, 4.30% (1 mo. Term SOFR + 0.56%), 12/25/2035 | 3483523 | 561186 |
| &nbsp;&nbsp; Series 2006-1, Class A2, 4.55% (1 mo. Term SOFR + 0.81%), 02/25/2036 | 1881905 | 578248 |
| &nbsp;&nbsp; Series 2006-2, Class 2A1, 4.25% (1 mo. Term SOFR + 0.51%), 03/25/2036 | 238070 | 19965 |
| &nbsp;&nbsp; Series 2006-3, Class 2A2, 6.75%, 07/25/2036 | 1065125 | 392934 |
| &nbsp;&nbsp; Series 2007-1, Class 2A15, 4.22% (1 mo. Term SOFR + 0.48%), 10/25/2036 | 2576539 | 533999 |
| &nbsp;&nbsp; Series 2007-1, Class 2A7, 6.00%, 10/25/2036 | 979487 | 267161 |
| &nbsp;&nbsp; Series 2007-HF1, Class 1A1, 3.96%, 10/25/2047 <sup>(b)</sup> | 584231 | 492853 |
| Mastr Asset Backed Securities Trust | Mastr Asset Backed Securities Trust | Mastr Asset Backed Securities Trust |
| &nbsp;&nbsp; Series 2006-AM2, Class A3, 4.19% (1 mo. Term SOFR + 0.45%), 06/25/2036 | 476364 | 446971 |
| &nbsp;&nbsp; Series 2006-FRE2, Class A5, 4.33% (1 mo. Term SOFR + 0.59%), 03/25/2036 | 216471 | 128483 |
| MASTR Asset Securitization Trust | MASTR Asset Securitization Trust | MASTR Asset Securitization Trust |
| &nbsp;&nbsp; Series 2004-3, Class 4A10, 5.50%, 03/25/2034 | 416206 | 352114 |
| &nbsp;&nbsp; Series 2004-4, Class 1A7, 5.25%, 12/26/2033 | 165087 | 162441 |
| &nbsp;&nbsp; Series 2006-2, Class 1A14, 6.00%, 06/25/2036 | 546008 | 291118 |
|  Mastr Seasoned Securities Trust, Series 2005-1, Class 4A1, 6.37%, 10/25/2032 <sup>(b)</sup> | 195112 | 189024 |
|  Mastr Specialized Loan Trust, Series 2005-2, Class M4, 6.11% (1 mo. Term SOFR + 2.38%), 07/25/2035 <sup>(a)</sup> | 901537 | 991051 |
| Mellon Residential Funding Corp. | Mellon Residential Funding Corp. | Mellon Residential Funding Corp. |
| &nbsp;&nbsp; Series 1999-TBC3, Class A2, 4.76%, 10/20/2029 <sup>(b)</sup> | 323200 | 315626 |
| &nbsp;&nbsp; Series 2000-TBC2, Class A1, 4.34% (1 mo. Term SOFR + 0.59%), 06/15/2030 | 110763 | 108938 |
| &nbsp;&nbsp; Series 2000-TBC3, Class A1, 4.30% (1 mo. Term SOFR + 0.55%), 12/15/2030 | 76299 | 74756 |
|  Meritage Mortgage Loan Trust, Series 2004-1, Class M1, 4.60% (1 mo. Term SOFR + 0.86%), 07/25/2034 <sup>(e)</sup> | 257801 | 242816 |
|  Merrill Lynch Alternative Note Asset, Series 2007-A1, Class A2C, 4.31% (1 mo. Term SOFR + 0.57%), 01/25/2037 | 3571057 | 1071413 |
|  Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5, Class 1A, 5.55% (1 mo. Term SOFR + 1.81%), 10/25/2037 | 2637147 | 1618175 |
| Merrill Lynch Mortgage Backed Securities Trust | Merrill Lynch Mortgage Backed Securities Trust | Merrill Lynch Mortgage Backed Securities Trust |
| &nbsp;&nbsp; Series 2007-2, Class 1A1, 6.01% (1 yr. CMT Rate + 2.40%), 08/25/2036 | 425968 | 368131 |
| &nbsp;&nbsp; Series 2007-3, Class 2A1, 4.61%, 06/25/2037 <sup>(b)</sup> | 865059 | 493390 |
| Merrill Lynch Mortgage Investors, Inc. | Merrill Lynch Mortgage Investors, Inc. | Merrill Lynch Mortgage Investors, Inc. |
| &nbsp;&nbsp; Series 2003-HE1, Class M1, 4.90% (1 mo. Term SOFR + 1.16%), 07/25/2034 | 40062 | 39882 |
| &nbsp;&nbsp; Series 2004-A4, Class A2, 5.11%, 08/25/2034 <sup>(b)</sup> | 161162 | 153435 |
| &nbsp;&nbsp; Series 2005-A10, Class A, 4.27% (1 mo. Term SOFR + 0.53%), 02/25/2036 | 1857593 | 1838500 |
| &nbsp;&nbsp; Series 2005-A5, Class A3, 4.77%, 06/25/2035 <sup>(b)</sup> | 250656 | 246676 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Merrill Lynch Mortgage Investors, Inc. (Continued) | Merrill Lynch Mortgage Investors, Inc. (Continued) | Merrill Lynch Mortgage Investors, Inc. (Continued) |
| &nbsp;&nbsp; Series 2005-A9, Class 2A1E, 5.63%, 12/25/2035 <sup>(b)</sup> | 184179 | 176815 |
| &nbsp;&nbsp; Series 2006-AR1, Class A1, 4.18% (1 mo. Term SOFR + 0.44%), 03/25/2037 <sup>(a)</sup> | 466334 | 148255 |
| &nbsp;&nbsp; Series 2006-RM2, Class A1A, 4.22% (1 mo. Term SOFR + 0.48%), 05/25/2037 | 7369865 | 2052547 |
| &nbsp;&nbsp; Series 2006-RM3, Class A1B, 4.23% (1 mo. Term SOFR + 0.49%), 06/25/2037 | 5939596 | 162323 |
|  MFRA Trust, Series 2023-NQM4, Class A1, 6.11%, 12/25/2068 <sup>(a)(c)</sup> | 722904 | 728696 |
| MLCC Mortgage Investors, Inc. | MLCC Mortgage Investors, Inc. | MLCC Mortgage Investors, Inc. |
| &nbsp;&nbsp; Series 2003-A, Class 2A1, 4.63% (1 mo. Term SOFR + 0.89%), 03/25/2028 | 13240 | 11575 |
| &nbsp;&nbsp; Series 2003-C, Class A1, 4.51% (1 mo. Term SOFR + 0.77%), 06/25/2028 | 225706 | 210330 |
| &nbsp;&nbsp; Series 2003-D, Class A, 4.47% (1 mo. Term SOFR + 0.73%), 08/25/2028 | 199972 | 185407 |
| &nbsp;&nbsp; Series 2003-E, Class A1, 4.47% (1 mo. Term SOFR + 0.73%), 10/25/2028 | 94707 | 90270 |
| &nbsp;&nbsp; Series 2003-F, Class A3, 6.26%, 10/25/2028 <sup>(b)</sup> | 83944 | 82988 |
| &nbsp;&nbsp; Series 2003-H, Class A1, 4.49% (1 mo. Term SOFR + 0.75%), 01/25/2029 | 197398 | 174508 |
| &nbsp;&nbsp; Series 2004-A, Class B1, 4.60% (1 mo. Term SOFR + 0.86%), 04/25/2029 | 54454 | 33624 |
| &nbsp;&nbsp; Series 2004-G, Class A1, 4.41% (1 mo. Term SOFR + 0.67%), 01/25/2030 | 22032 | 20864 |
| &nbsp;&nbsp; Series 2005-3, Class 2A, 5.27%, 11/25/2035 <sup>(b)</sup> | 9128 | 8925 |
| &nbsp;&nbsp; Series 2006-1, Class 2A1, 5.35%, 02/25/2036 <sup>(b)</sup> | 218928 | 213647 |
| &nbsp;&nbsp; Series 2006-2, Class 2A, 5.84%, 05/25/2036 <sup>(b)</sup> | 23738 | 23351 |
| &nbsp;&nbsp; Series 2006-3, Class 2A1, 5.94%, 10/25/2036 <sup>(b)</sup> | 582090 | 488223 |
| Morgan Stanley ABS Capital I, Inc. | Morgan Stanley ABS Capital I, Inc. | Morgan Stanley ABS Capital I, Inc. |
| &nbsp;&nbsp; Series 2003-NC8, Class B1, 9.25% (1 mo. Term SOFR + 5.51%), 09/25/2033 | 94530 | 112870 |
| &nbsp;&nbsp; Series 2004-HE6, Class M2, 4.75% (1 mo. Term SOFR + 1.01%), 08/25/2034 | 111928 | 111386 |
| &nbsp;&nbsp; Series 2004-HE6, Class M3, 4.82% (1 mo. Term SOFR + 1.09%), 08/25/2034 | 58944 | 56736 |
| &nbsp;&nbsp; Series 2004-NC5, Class M1, 4.75% (1 mo. Term SOFR + 1.01%), 05/25/2034 | 896634 | 874711 |
| &nbsp;&nbsp; Series 2005-HE1, Class M2, 4.55% (1 mo. Term SOFR + 0.82%), 12/25/2034 | 222164 | 221115 |
| &nbsp;&nbsp; Series 2005-NC1, Class M5, 4.94% (1 mo. Term SOFR + 1.21%), 01/25/2035 <sup>(e)</sup> | 57900 | 54716 |
| &nbsp;&nbsp; Series 2006-HE6, Class A2FP, 3.97% (1 mo. Term SOFR + 0.23%), 09/25/2036 | 153688 | 52841 |
| &nbsp;&nbsp; Series 2007-HE7, Class A2C, 5.10% (1 mo. Term SOFR + 1.36%), 07/25/2037 | 2105000 | 1880720 |
| Morgan Stanley Mortgage Loan Trust | Morgan Stanley Mortgage Loan Trust | Morgan Stanley Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-5AR, Class 2A, 4.78%, 07/25/2034 <sup>(b)</sup> | 131409 | 121928 |
| &nbsp;&nbsp; Series 2005-10, Class 1A1, 4.55% (1 mo. Term SOFR + 0.81%), 12/25/2035 | 328905 | 186739 |
| &nbsp;&nbsp; Series 2005-10, Class 1A5, 5.75%, 12/25/2035 | 22843 | 14276 |
| &nbsp;&nbsp; Series 2005-4, Class 4A, 4.53%, 08/25/2035 <sup>(b)</sup> | 34442 | 15224 |
| &nbsp;&nbsp; Series 2005-6AR, Class 3A2, 5.23%, 11/25/2035 <sup>(b)</sup> | 521979 | 456206 |
| &nbsp;&nbsp; Series 2005-7, Class 7A6, 5.50%, 11/25/2035 | 107327 | 94034 |
| &nbsp;&nbsp; Series 2006-11, Class 2A1, 6.00%, 08/25/2036 | 458630 | 181821 |
| &nbsp;&nbsp; Series 2006-16AX, Class 1A, 4.19% (1 mo. Term SOFR + 0.45%), 11/25/2036 | 2762243 | 420976 |
| &nbsp;&nbsp; Series 2006-16AX, Class 2A2, 4.19% (1 mo. Term SOFR + 0.45%), 11/25/2036 | 4697049 | 1286389 |
| &nbsp;&nbsp; Series 2006-17XS, Class A6, 6.08%, 10/25/2046 <sup>(c)</sup> | 2081846 | 469541 |
| &nbsp;&nbsp; Series 2006-2, Class 6A, 6.50%, 02/25/2036 | 347766 | 136136 |
| &nbsp;&nbsp; Series 2006-3AR, Class 2A3, 4.58%, 03/25/2036 <sup>(b)</sup> | 600148 | 323216 |
| &nbsp;&nbsp; Series 2006-7, Class 4A2, 4.60% (1 mo. Term SOFR + 0.86%), 06/25/2036 | 2944345 | 996995 |
| &nbsp;&nbsp; Series 2006-7, Class 5A2, 5.96%, 06/25/2036 <sup>(b)</sup> | 37090 | 9199 |
| &nbsp;&nbsp; Series 2006-8AR, Class 3A, 4.22%, 06/25/2036 <sup>(b)</sup> | 519089 | 370932 |
| &nbsp;&nbsp; Series 2006-8AR, Class 3B1, 6.07%, 06/25/2036 <sup>(b)</sup> | 11283 | 7844 |
| &nbsp;&nbsp; Series 2006-8AR, Class 4A2, 6.50%, 06/25/2036 <sup>(b)</sup> | 9022 | 8077 |
| &nbsp;&nbsp; Series 2007-10XS, Class A19, 6.00%, 02/25/2037 <sup>(b)</sup> | 549283 | 182924 |
| &nbsp;&nbsp; Series 2007-14AR, Class 3A3, 4.35%, 10/25/2037 <sup>(b)</sup> | 314431 | 297207 |
| &nbsp;&nbsp; Series 2007-15AR, Class 1A1, 3.93%, 11/25/2037 <sup>(b)</sup> | 1369069 | 1138461 |
| &nbsp;&nbsp; Series 2007-1XS, Class 2A4A, 6.58%, 09/25/2046 <sup>(c)</sup> | 5377067 | 1344570 |
| &nbsp;&nbsp; Series 2007-2AX, Class 2A1, 4.03% (1 mo. Term SOFR + 0.29%), 12/25/2036 | 860990 | 292352 |
| &nbsp;&nbsp; Series 2007-6XS, Class 2A5S, 6.50%, 02/25/2047 <sup>(c)</sup> | 1615376 | 528216 |
| &nbsp;&nbsp; Series 2007-7AX, Class 2A1, 4.09% (1 mo. Term SOFR + 0.35%), 04/25/2037 | 9903802 | 2610069 |
| &nbsp;&nbsp; Series 2007-7AX, Class 2A3, 4.57% (1 mo. Term SOFR + 0.83%), 04/25/2037 | 195150 | 51589 |
| &nbsp;&nbsp; Series 2007-7AX, Class 2A4, 4.49% (1 mo. Term SOFR + 0.75%), 04/25/2037 | 10923871 | 444066 |
| &nbsp;&nbsp; Series 2007-7AX, Class 2A6, 4.49% (1 mo. Term SOFR + 0.75%), 04/25/2037 | 2743559 | 111528 |
| &nbsp;&nbsp; Series 2007-8XS, Class A1, 5.75%, 04/25/2037 <sup>(b)</sup> | 1732817 | 829795 |
| Morgan Stanley Reremic Trust | Morgan Stanley Reremic Trust | Morgan Stanley Reremic Trust |
| &nbsp;&nbsp; Series 2010-R3, Class 3C, 4.55% (1 mo. Term SOFR + 0.35%), 06/26/2036 <sup>(a)</sup> | 6013819 | 5145662 |
| &nbsp;&nbsp; Series 2010-R5, Class 3B, 3.20%, 03/26/2037 <sup>(a)(c)</sup> | 227638 | 239049 |
| &nbsp;&nbsp; Series 2013-R3, Class 6B2, 4.15%, 12/26/2036 <sup>(a)(b)</sup> | 296082 | 260817 |
| &nbsp;&nbsp; Series 2015-R2, Class 1B, 4.02% (MTA + 0.71%), 12/27/2046 <sup>(a)</sup> | 794748 | 720422 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
|  Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class B15, 4.33% (1 mo. Term SOFR + 0.45%), 04/16/2036 <sup>(a)</sup> | 4620225 | 3637364 |
| MortgageIT Trust | MortgageIT Trust | MortgageIT Trust |
| &nbsp;&nbsp; Series 2005-3, Class A1, 4.45% (1 mo. Term SOFR + 0.71%), 08/25/2035 | 56804 | 57023 |
| &nbsp;&nbsp; Series 2006-1, Class 1A1, 4.31% (1 mo. Term SOFR + 0.57%), 04/25/2036 | 237406 | 228897 |
|  New Century Alternative Mortgage Loan Trust, Series 2006-ALT2, Class AF3, 5.97%, 10/25/2036 <sup>(b)</sup> | 1498398 | 263164 |
| New Century Home Equity Loan Trust | New Century Home Equity Loan Trust | New Century Home Equity Loan Trust |
| &nbsp;&nbsp; Series 2002-1, Class M2, 5.95% (1 mo. Term SOFR + 2.21%), 03/25/2032 | 65615 | 65867 |
| &nbsp;&nbsp; Series 2003-A, Class A, 3.21% (1 mo. Term SOFR + 0.83%), 10/25/2033 <sup>(a)</sup> | 354036 | 363228 |
| &nbsp;&nbsp; Series 2004-2, Class A4, 4.95% (1 mo. Term SOFR + 1.21%), 08/25/2034 | 281548 | 281539 |
| &nbsp;&nbsp; Series 2004-4, Class M2, 4.64% (1 mo. Term SOFR + 0.91%), 02/25/2035 | 1453 | 2716 |
| &nbsp;&nbsp; Series 2005-A, Class A5, 4.59%, 08/25/2035 <sup>(c)</sup> | 1367081 | 1230232 |
| &nbsp;&nbsp; Series 2005-A, Class A6, 4.59%, 08/25/2035 <sup>(c)</sup> | 43907 | 42604 |
| &nbsp;&nbsp; Series 2006-S1, Class A1, 4.19% (1 mo. Term SOFR + 0.45%), 03/25/2036 | 10272636 | 212906 |
|  New Residential Mortgage Loan Trust 2024-NQM1, Series 2024-RPL1, Class A, 3.80%, 01/25/2064 <sup>(a)(b)</sup> | 225097 | 214900 |
|  New York Mortgage Trust, Series 2006-1, Class 2A2, 4.79%, 05/25/2036 <sup>(b)</sup> | 25030 | 20331 |
| Nomura Asset Acceptance Corp. | Nomura Asset Acceptance Corp. | Nomura Asset Acceptance Corp. |
| &nbsp;&nbsp; Series 2006-AR4, Class A1A, 4.19% (1 mo. Term SOFR + 0.45%), 12/25/2036 | 167148 | 154727 |
| &nbsp;&nbsp; Series 2007-1, Class 1A1A, 6.50%, 03/25/2047 <sup>(c)</sup> | 713357 | 651309 |
| &nbsp;&nbsp; Series 2007-1, Class 1A3, 6.46%, 03/25/2047 <sup>(c)</sup> | 220384 | 208464 |
| &nbsp;&nbsp; Series 2007-2, Class A1B, 6.02%, 06/25/2037 <sup>(b)</sup> | 946225 | 843280 |
|  Nomura Home Equity Loan Inc, Series 2006-AF1, Class A1, 6.53%, 10/25/2036 <sup>(c)</sup> | 1396336 | 235776 |
| Nomura Resecuritization Trust | Nomura Resecuritization Trust | Nomura Resecuritization Trust |
| &nbsp;&nbsp; Series 2011-4RA, Class 3A10, 4.46%, 12/26/2035 <sup>(a)(b)</sup> | 2512540 | 804739 |
| &nbsp;&nbsp; Series 2014-1R, Class 1A13, 1.43% (1 mo. Term SOFR + 0.27%), 10/26/2036 <sup>(a)(e)</sup> | 1319548 | 1073452 |
| &nbsp;&nbsp; Series 2015-10R, Class 1A2, 0.00%, 12/25/2036 <sup>(a)(b)</sup> | 1343926 | 1102945 |
| Novastar Home Equity Loan | Novastar Home Equity Loan | Novastar Home Equity Loan |
| &nbsp;&nbsp; Series 2003-1, Class A2, 4.63% (1 mo. Term SOFR + 0.89%), 05/25/2033 | 28587 | 28205 |
| &nbsp;&nbsp; Series 2006-3, Class A2C, 4.17% (1 mo. Term SOFR + 0.43%), 10/25/2036 | 4135742 | 1904654 |
| &nbsp;&nbsp; Series 2006-5, Class A2B, 4.09% (1 mo. Term SOFR + 0.35%), 11/25/2036 | 914483 | 275517 |
| Oakwood Mortgage Investors, Inc. | Oakwood Mortgage Investors, Inc. | Oakwood Mortgage Investors, Inc. |
| &nbsp;&nbsp; Series 1997-A, Class B1, 7.45%, 05/15/2027 | 15142 | 14569 |
| &nbsp;&nbsp; Series 1999-C, Class A2, 7.48%, 08/15/2027 | 869665 | 628293 |
| &nbsp;&nbsp; Series 1999-D, Class M1, 8.00%, 11/15/2029 <sup>(b)</sup> | 930311 | 985651 |
|  OBX 2024-NQM4 Trust, Series 2024-NQM9, Class A1, 6.03%, 01/25/2064 <sup>(a)(c)</sup> | 2507923 | 2540654 |
| Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2023-NQM3, Class A1, 5.95%, 02/25/2063 <sup>(a)(c)</sup> | 17526308 | 17522799 |
| &nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.52%, 07/25/2063 <sup>(a)(c)</sup> | 224532 | 225598 |
| &nbsp;&nbsp; Series 2023-NQM9, Class A1, 7.16%, 10/25/2063 <sup>(a)(c)</sup> | 1248574 | 1263838 |
| &nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.93%, 11/25/2063 <sup>(a)(c)</sup> | 664835 | 669061 |
| &nbsp;&nbsp; Series 2024-NQM18, Class A1, 5.41%, 10/25/2064 <sup>(a)(b)</sup> | 625626 | 629272 |
| &nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.88%, 12/25/2063 <sup>(a)(c)</sup> | 17839539 | 17957430 |
|  Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1, 5.87%, 01/25/2037 <sup>(c)</sup> | 1674959 | 1446108 |
|  Origen Manufactured Housing, Series 2002-A, Class M2, 8.85%, 05/15/2032 <sup>(b)</sup> | 163220 | 166501 |
|  Ownit Mortgage Loan Asset Backed Certificates, Series 2006-6, Class A2C, 4.17% (1 mo. Term SOFR + 0.43%), 09/25/2037 | 1269107 | 560550 |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust |
| &nbsp;&nbsp; Series 2007-2, Class 1A4, 4.45% (1 mo. Term SOFR + 0.71%), 05/25/2037 | 648379 | 586573 |
| &nbsp;&nbsp; Series 2007-2, Class 2A2, 6.00%, 05/25/2037 | 1571112 | 1381884 |
| &nbsp;&nbsp; Series 2007-2, Class 3A1, 6.00%, 05/25/2037 | 198810 | 185581 |
|  PHH Mortgage Capital LLC, Series 2007-3, Class A3, 4.43%, 06/18/2037 <sup>(b)</sup> | 6699 | 6643 |
| Popular ABS, Inc. | Popular ABS, Inc. | Popular ABS, Inc. |
| &nbsp;&nbsp; Series 2002-5, Class M1, 5.80%, 11/25/2032 <sup>(c)</sup> | 334064 | 362326 |
| &nbsp;&nbsp; Series 2004-3, Class M2, 3.72%, 07/25/2034 <sup>(c)</sup> | 667699 | 570180 |
| Prime Mortgage Trust | Prime Mortgage Trust | Prime Mortgage Trust |
| &nbsp;&nbsp; Series 2005-4, Class 1A2, 5.00%, 10/25/2026 | 107064 | 103738 |
| &nbsp;&nbsp; Series 2005-4, Class 2A9, 5.50%, 10/25/2035 | 73746 | 67524 |
| &nbsp;&nbsp; Series 2006-1, Class 3A1, 4.20% (1 mo. Term SOFR + 0.46%), 06/25/2036 | 1154044 | 842390 |
| &nbsp;&nbsp; Series 2006-1, Class 3A2, 3.30% (-1 x 1 mo. Term SOFR + 7.04%), 06/25/2036 <sup>(d)(f)</sup> | 1154044 | 161802 |
| &nbsp;&nbsp; Series 2006-2, Class 1A21, 4.18% (1 mo. Term SOFR + 0.44%), 11/25/2036 | 1502651 | 1381585 |
| &nbsp;&nbsp; Series 2006-DR1, Class 2A1, Pool DR12A1, 5.50%, 05/25/2035 <sup>(a)</sup> | 7085228 | 6585797 |
| &nbsp;&nbsp; Series 2006-DR1, Class 2A2, 6.00%, 05/25/2035 <sup>(a)</sup> | 3725174 | 3183813 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Prime Mortgage Trust (Continued) | Prime Mortgage Trust (Continued) | Prime Mortgage Trust (Continued) |
| &nbsp;&nbsp; Series 2007-1, Class A2, 6.00%, 03/25/2037 | 1915963 | 1733723 |
|  PRPM LLC, Series 2023-NQM2, Class A1, 6.25%, 08/25/2068 <sup>(a)(c)</sup> | 760941 | 764556 |
| RAAC Series | RAAC Series | RAAC Series |
| &nbsp;&nbsp; Series 2005-SP1, Class 1A1, 5.00%, 09/25/2034 | 86043 | 85586 |
| &nbsp;&nbsp; Series 2005-SP2, Class 2A, 4.45% (1 mo. Term SOFR + 0.71%), 06/25/2044 | 570901 | 529444 |
| RALI Trust | RALI Trust | RALI Trust |
| &nbsp;&nbsp; Series 2004-QA6, Class NB1, 1.36%, 12/26/2034 <sup>(b)</sup> | 527293 | 230179 |
| &nbsp;&nbsp; Series 2005-QA7, Class A1, 4.58%, 07/25/2035 <sup>(b)</sup> | 1774655 | 1272475 |
| &nbsp;&nbsp; Series 2005-QA8, Class CB21, 5.13%, 07/25/2035 <sup>(b)</sup> | 720122 | 359181 |
| &nbsp;&nbsp; Series 2005-QA9, Class CB11, 4.50%, 08/25/2035 <sup>(b)</sup> | 87701 | 78250 |
| &nbsp;&nbsp; Series 2005-QO1, Class A1, 4.15% (1 mo. Term SOFR + 0.41%), 08/25/2035 | 1526040 | 1050727 |
| &nbsp;&nbsp; Series 2005-QS10, Class 3A1, 4.35% (1 mo. Term SOFR + 0.61%), 08/25/2035 | 253888 | 172749 |
| &nbsp;&nbsp; Series 2005-QS10, Class 3A2, 1.15% (-1 x 1 mo. Term SOFR + 4.89%), 08/25/2035 <sup>(d)(f)</sup> | 253888 | 15082 |
| &nbsp;&nbsp; Series 2005-QS10, Class 3A3, 5.50%, 08/25/2035 | 1203747 | 877352 |
| &nbsp;&nbsp; Series 2005-QS11, Class A3, 1.15% (-1 x 1 mo. Term SOFR + 4.89%), 07/25/2035 <sup>(d)(f)</sup> | 353439 | 21395 |
| &nbsp;&nbsp; Series 2005-QS12, Class A11, 8.84% (-11 x 1 mo. Term SOFR + 49.89%), 08/25/2035 <sup>(e)(f)</sup> | 73590 | 72855 |
| &nbsp;&nbsp; Series 2005-QS12, Class A8, 4.20% (1 mo. Term SOFR + 0.46%), 08/25/2035 | 2595452 | 2090800 |
| &nbsp;&nbsp; Series 2005-QS13, Class 2A3, 5.75%, 09/25/2035 | 1648100 | 1416189 |
| &nbsp;&nbsp; Series 2005-QS14, Class 2A1, 6.00%, 09/25/2035 | 3341331 | 972492 |
| &nbsp;&nbsp; Series 2005-QS14, Class 3A1, 6.00%, 09/25/2035 | 707573 | 625096 |
| &nbsp;&nbsp; Series 2005-QS14, Class 3A3, 6.00%, 09/25/2035 | 1644264 | 1452602 |
| &nbsp;&nbsp; Series 2005-QS16, Class A1, 4.55% (1 mo. Term SOFR + 0.81%), 11/25/2035 | 795807 | 661472 |
| &nbsp;&nbsp; Series 2005-QS16, Class A2, 0.95% (-1 x 1 mo. Term SOFR + 4.69%), 11/25/2035 <sup>(d)(f)</sup> | 795669 | 34383 |
| &nbsp;&nbsp; Series 2005-QS7, Class A1, 5.50%, 06/25/2035 | 1205280 | 1030507 |
| &nbsp;&nbsp; Series 2006-QA3, Class A2, 4.45% (1 mo. Term SOFR + 0.71%), 04/25/2036 | 1672551 | 1507232 |
| &nbsp;&nbsp; Series 2006-QA5, Class 1A1, 4.21% (1 mo. Term SOFR + 0.47%), 07/25/2036 | 4411735 | 1396534 |
| &nbsp;&nbsp; Series 2006-QA5, Class 1A3, 4.29% (1 mo. Term SOFR + 0.55%), 07/25/2036 | 25467 | 8107 |
| &nbsp;&nbsp; Series 2006-QA6, Class A1, 4.23% (1 mo. Term SOFR + 0.49%), 07/25/2036 | 223407 | 209020 |
| &nbsp;&nbsp; Series 2006-QA9, Class A1, 4.21% (1 mo. Term SOFR + 0.47%), 11/25/2036 | 44650 | 22298 |
| &nbsp;&nbsp; Series 2006-QO10, Class A1, 4.17% (1 mo. Term SOFR + 0.43%), 01/25/2037 | 3066892 | 2802147 |
| &nbsp;&nbsp; Series 2006-QO2, Class A1, 4.29% (1 mo. Term SOFR + 0.55%), 02/25/2046 | 7163433 | 1171867 |
| &nbsp;&nbsp; Series 2006-QO4, Class 2A1, 4.23% (1 mo. Term SOFR + 0.49%), 04/25/2046 | 1035996 | 987410 |
| &nbsp;&nbsp; Series 2006-QO7, Class 1A1, 4.83% (MTA + 0.80%), 09/25/2046 | 885418 | 745631 |
| &nbsp;&nbsp; Series 2006-QO7, Class 3A2, 4.26% (1 mo. Term SOFR + 0.52%), 09/25/2046 | 365695 | 367200 |
| &nbsp;&nbsp; Series 2006-QS1, Class A6, 13.37% (-8 x 1 mo. Term SOFR + 41.98%), 01/25/2036 <sup>(f)</sup> | 56077 | 63868 |
| &nbsp;&nbsp; Series 2006-QS12, Class 2A15, 4.35% (1 mo. Term SOFR + 0.61%), 09/25/2036 | 1092497 | 808718 |
| &nbsp;&nbsp; Series 2006-QS12, Class 2A18, 5.75%, 09/25/2036 | 217005 | 174274 |
| &nbsp;&nbsp; Series 2006-QS13, Class 1A10, 6.00%, 09/25/2036 | 453641 | 365347 |
| &nbsp;&nbsp; Series 2006-QS15, Class A3, 6.50%, 10/25/2036 | 96245 | 84638 |
| &nbsp;&nbsp; Series 2006-QS16, Class A9, 6.00%, 11/25/2036 | 82997 | 66836 |
| &nbsp;&nbsp; Series 2006-QS17, Class A2, 2.80% (-1 x 1 mo. Term SOFR + 6.54%), 12/25/2036 <sup>(d)(f)</sup> | 1370743 | 166554 |
| &nbsp;&nbsp; Series 2006-QS18, Class 2A1, 4.30% (1 mo. Term SOFR + 0.56%), 12/25/2036 | 14817631 | 10962851 |
| &nbsp;&nbsp; Series 2006-QS2, Class 1A10, 4.35% (1 mo. Term SOFR + 0.61%), 02/25/2036 | 2588241 | 2027970 |
| &nbsp;&nbsp; Series 2006-QS2, Class 1A14, 4.55% (1 mo. Term SOFR + 0.81%), 02/25/2036 | 448753 | 356088 |
| &nbsp;&nbsp; Series 2006-QS2, Class 1A17, 4.33% (1 mo. Term SOFR + 0.59%), 02/25/2036 | 3403040 | 2663000 |
| &nbsp;&nbsp; Series 2006-QS2, Class 1A2, 4.35% (1 mo. Term SOFR + 0.61%), 02/25/2036 | 1294493 | 1014277 |
| &nbsp;&nbsp; Series 2006-QS2, Class 1A7, 6.00%, 02/25/2036 <sup>(d)</sup> | 202356 | 34264 |
| &nbsp;&nbsp; Series 2006-QS3, Class 1A9, 1.75% (-1 x 1 mo. Term SOFR + 5.49%), 03/25/2036 <sup>(d)(f)</sup> | 450135 | 32862 |
| &nbsp;&nbsp; Series 2006-QS3, Class 2AP, 0.00%, 03/25/2036 <sup>(g)</sup> | 444705 | 227110 |
| &nbsp;&nbsp; Series 2006-QS4, Class A12, 4.35% (1 mo. Term SOFR + 0.61%), 04/25/2036 | 1672294 | 1245039 |
| &nbsp;&nbsp; Series 2006-QS4, Class A2, 6.00%, 04/25/2036 | 362225 | 296603 |
| &nbsp;&nbsp; Series 2006-QS4, Class A8, 8.00% (-790 x 1 mo. Term SOFR + 5,052.56%), 04/25/2036 <sup>(f)</sup> | 106679 | 90048 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A1, 6.00%, 06/25/2036 | 386852 | 318316 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A11, 4.55% (1 mo. Term SOFR + 0.81%), 06/25/2036 | 1167197 | 899422 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A13, 6.00%, 06/25/2036 | 461473 | 379736 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A15, 6.00%, 06/25/2036 | 336305 | 276738 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A5, 5.75%, 06/25/2036 | 183709 | 148927 |
| &nbsp;&nbsp; Series 2006-QS6, Class 1A9, 4.45% (1 mo. Term SOFR + 0.71%), 06/25/2036 | 1864380 | 1427236 |
| &nbsp;&nbsp; Series 2006-QS7, Class A1, 6.00%, 06/25/2036 | 52361 | 42943 |
| &nbsp;&nbsp; Series 2006-QS7, Class A3, 6.00%, 06/25/2036 | 209676 | 171963 |
| &nbsp;&nbsp; Series 2006-QS7, Class A5, 1.75% (-1 x 1 mo. Term SOFR + 5.49%), 06/25/2036 <sup>(d)(f)</sup> | 1382255 | 110312 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| RALI Trust (Continued) | RALI Trust (Continued) | RALI Trust (Continued) |
| &nbsp;&nbsp; Series 2006-QS8, Class A4, 4.30% (1 mo. Term SOFR + 0.56%), 08/25/2036 | 1203532 | 937519 |
| &nbsp;&nbsp; Series 2006-QS9, Class 1A1, 4.25% (1 mo. Term SOFR + 0.51%), 07/25/2036 | 317760 | 230504 |
| &nbsp;&nbsp; Series 2006-QS9, Class 1A4, 6.00%, 07/25/2036 | 183096 | 147910 |
| &nbsp;&nbsp; Series 2006-QS9, Class 1A8, 4.50% (1 mo. Term SOFR + 0.76%), 07/25/2036 | 651360 | 480248 |
| &nbsp;&nbsp; Series 2007-QH8, Class A, 5.01%, 10/25/2037 <sup>(b)</sup> | 898403 | 713289 |
| &nbsp;&nbsp; Series 2007-QH9, Class A1, 4.08%, 11/25/2037 <sup>(b)</sup> | 310131 | 258429 |
| &nbsp;&nbsp; Series 2007-QS1, Class 1A1, 6.00%, 01/25/2037 | 226054 | 181205 |
| &nbsp;&nbsp; Series 2007-QS1, Class 1A2, 1.60% (-1 x 1 mo. Term SOFR + 5.34%), 01/25/2037 <sup>(d)(f)</sup> | 4656907 | 389860 |
| &nbsp;&nbsp; Series 2007-QS1, Class 1A5, 4.40% (1 mo. Term SOFR + 0.66%), 01/25/2037 | 2729752 | 2031691 |
| &nbsp;&nbsp; Series 2007-QS1, Class 2A10, 6.00%, 01/25/2037 | 1227097 | 940505 |
| &nbsp;&nbsp; Series 2007-QS1, Class 2A2, 4.21% (1 mo. Term SOFR + 0.47%), 01/25/2037 | 510623 | 346787 |
| &nbsp;&nbsp; Series 2007-QS1, Class 2A9, 2.85% (-1 x 1 mo. Term SOFR + 6.59%), 01/25/2037 <sup>(d)(f)</sup> | 1181477 | 173663 |
| &nbsp;&nbsp; Series 2007-QS1, Class 2AP, 0.00%, 01/25/2037 <sup>(g)</sup> | 708900 | 297993 |
| &nbsp;&nbsp; Series 2007-QS10, Class A1, 6.50%, 09/25/2037 | 14084 | 11791 |
| &nbsp;&nbsp; Series 2007-QS2, Class A3, 6.00%, 01/25/2037 | 287129 | 234185 |
| &nbsp;&nbsp; Series 2007-QS3, Class A3, 6.25%, 02/25/2037 | 1110519 | 927584 |
| &nbsp;&nbsp; Series 2007-QS5, Class A1, 5.50%, 03/25/2037 | 765900 | 635567 |
| &nbsp;&nbsp; Series 2007-QS6, Class A13, 22.95% (-8 x 1 mo. Term SOFR + 54.05%), 04/25/2037 <sup>(f)</sup> | 78387 | 120303 |
| &nbsp;&nbsp; Series 2007-QS6, Class A2, 23.53% (-8 x 1 mo. Term SOFR + 54.63%), 04/25/2037 <sup>(f)</sup> | 181046 | 282523 |
| &nbsp;&nbsp; Series 2007-QS6, Class A77, 23.78% (-8 x 1 mo. Term SOFR + 54.88%), 04/25/2037 <sup>(f)</sup> | 50719 | 79726 |
| &nbsp;&nbsp; Series 2007-QS7, Class 1A5, 4.25% (1 mo. Term SOFR + 0.51%), 05/25/2037 | 1764865 | 1353367 |
| &nbsp;&nbsp; Series 2007-QS7, Class 1A7, 4.40% (1 mo. Term SOFR + 0.66%), 05/25/2037 | 445385 | 345062 |
| &nbsp;&nbsp; Series 2007-QS7, Class 2A1, 6.75%, 06/25/2037 | 762156 | 277479 |
| &nbsp;&nbsp; Series 2007-QS8, Class A1, 4.25% (1 mo. Term SOFR + 0.51%), 06/25/2037 | 6411156 | 4742462 |
| &nbsp;&nbsp; Series 2007-QS8, Class A3, 4.45% (1 mo. Term SOFR + 0.71%), 06/25/2037 | 1829089 | 1372879 |
| &nbsp;&nbsp; Series 2007-QS8, Class A8, 6.00%, 06/25/2037 | 232856 | 191592 |
| &nbsp;&nbsp; Series 2007-QS9, Class A33, 6.50%, 07/25/2037 | 2667611 | 2207786 |
| &nbsp;&nbsp; Series 2008-QR1, Class 1A4, 6.00%, 08/25/2036 | 204061 | 166141 |
|  RAMP Trust, Series 2003-RS9, Class MII2, 4.97% (1 mo. Term SOFR + 1.91%), 10/25/2033 | 405915 | 396086 |
| RBSGC Mortgage Pass Through Certificates | RBSGC Mortgage Pass Through Certificates | RBSGC Mortgage Pass Through Certificates |
| &nbsp;&nbsp; Series 2008-A, Class A1, 5.50%, 11/25/2035 <sup>(a)(b)</sup> | 413275 | 344646 |
| &nbsp;&nbsp; Series 2008-B, Class A1, 6.00%, 06/25/2037 <sup>(a)</sup> | 10682600 | 9842662 |
| RBSSP Resecuritization Trust | RBSSP Resecuritization Trust | RBSSP Resecuritization Trust |
| &nbsp;&nbsp; Series 2009-12, Class 9A2, 4.54%, 03/25/2036 <sup>(a)(b)</sup> | 296987 | 197429 |
| &nbsp;&nbsp; Series 2009-5, Class 13A3, 4.49% (1 mo. Term SOFR + 0.61%), 08/26/2037 <sup>(a)</sup> | 2414606 | 1009090 |
| &nbsp;&nbsp; Series 2009-5, Class 4A3, 4.57% (1 mo. Term SOFR + 0.61%), 10/26/2036 <sup>(a)</sup> | 5599440 | 1371135 |
| &nbsp;&nbsp; Series 2009-6, Class 9A3, 4.52% (1 mo. Term SOFR + 0.56%), 11/26/2036 <sup>(a)</sup> | 2140815 | 461065 |
| &nbsp;&nbsp; Series 2009-7, Class 15A3, 4.47% (1 mo. Term SOFR + 0.51%), 01/26/2046 <sup>(a)(e)</sup> | 4390306 | 1163431 |
| &nbsp;&nbsp; Series 2010-2, Class 3A2, 4.15%, 12/26/2036 <sup>(a)(b)</sup> | 419947 | 398194 |
| &nbsp;&nbsp; Series 2010-9, Class 7A6, 6.00%, 05/26/2037 <sup>(a)(b)</sup> | 1005536 | 398222 |
| &nbsp;&nbsp; Series 2013-4, Class 1A2, 5.57% (1 mo. Term SOFR + 1.61%), 12/26/2037 <sup>(a)</sup> | 702469 | 607800 |
| Renaissance Home Equity Loan Trust | Renaissance Home Equity Loan Trust | Renaissance Home Equity Loan Trust |
| &nbsp;&nbsp; Series 2003-2, Class A, 3.38% (1 mo. Term SOFR + 0.99%), 08/25/2033 | 1679522 | 1545249 |
| &nbsp;&nbsp; Series 2003-2, Class M1, 3.38% (1 mo. Term SOFR + 1.35%), 08/25/2033 | 217467 | 198401 |
| &nbsp;&nbsp; Series 2003-4, Class A3, 5.09% (1 mo. Term SOFR + 1.35%), 03/25/2034 | 164719 | 151192 |
| &nbsp;&nbsp; Series 2004-1, Class M4, 6.55% (1 mo. Term SOFR + 2.81%), 05/25/2034 | 239243 | 184245 |
| &nbsp;&nbsp; Series 2004-2, Class M1, 6.41%, 07/25/2034 <sup>(c)</sup> | 323205 | 290106 |
|  RESI Finance LP, Series 2003-D, Class B3, 5.19% (1 mo. Term SOFR + 1.41%), 12/10/2035 <sup>(a)(e)</sup> | 18964 | 8079 |
| Residential Asset Securitization Trust | Residential Asset Securitization Trust | Residential Asset Securitization Trust |
| &nbsp;&nbsp; Series 2003-A9, Class A2, 4.00%, 08/25/2033 | 318874 | 285581 |
| &nbsp;&nbsp; Series 2004-A4, Class A11, 5.50%, 08/25/2034 | 72303 | 70148 |
| &nbsp;&nbsp; Series 2004-A4, Class A13, 4.40% (1 mo. Term SOFR + 0.66%), 08/25/2034 | 434671 | 391456 |
| &nbsp;&nbsp; Series 2005-A10, Class A4, 5.50%, 09/25/2035 | 321145 | 134299 |
| &nbsp;&nbsp; Series 2005-A11, Class 2A1, 4.85%, 10/25/2035 | 6583094 | 2162445 |
| &nbsp;&nbsp; Series 2005-A12, Class A6, 4.35% (1 mo. Term SOFR + 0.61%), 11/25/2035 | 1029748 | 497550 |
| &nbsp;&nbsp; Series 2005-A15, Class 1A1, 5.75%, 02/25/2036 | 4277637 | 4402868 |
| &nbsp;&nbsp; Series 2005-A15, Class 2A10, 4.30% (1 mo. Term SOFR + 0.56%), 02/25/2036 | 8157013 | 2213251 |
| &nbsp;&nbsp; Series 2005-A15, Class 2A12, 6.00%, 02/25/2036 | 738547 | 274298 |
| &nbsp;&nbsp; Series 2005-A15, Class 4A1, 6.00%, 02/25/2036 | 2294985 | 620717 |
| &nbsp;&nbsp; Series 2005-A15, Class 5A1, 5.75%, 02/25/2036 | 732534 | 255179 |
| &nbsp;&nbsp; Series 2005-A8CB, Class A1, 4.35% (1 mo. Term SOFR + 0.61%), 07/25/2035 | 1148376 | 507793 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Residential Asset Securitization Trust (Continued) | Residential Asset Securitization Trust (Continued) | Residential Asset Securitization Trust (Continued) |
| &nbsp;&nbsp; Series 2005-A8CB, Class A13, 4.35% (1 mo. Term SOFR + 0.61%), 07/25/2035 | 1161309 | 515854 |
| &nbsp;&nbsp; Series 2005-A9, Class A4, 5.50%, 07/25/2035 | 104672 | 33648 |
| &nbsp;&nbsp; Series 2006-A10, Class A4, 6.50%, 09/25/2036 | 571531 | 162983 |
| &nbsp;&nbsp; Series 2006-A10, Class A5, 6.50%, 09/25/2036 | 987949 | 281733 |
| &nbsp;&nbsp; Series 2006-A10, Class A7, 6.50%, 09/25/2036 | 8137483 | 2320560 |
| &nbsp;&nbsp; Series 2006-A14C, Class 1A1, 6.25%, 12/25/2036 | 1759322 | 1227715 |
| &nbsp;&nbsp; Series 2006-A14C, Class 2A4, 6.00%, 12/25/2036 | 4031646 | 1106690 |
| &nbsp;&nbsp; Series 2006-A14C, Class 2A6, 4.30% (1 mo. Term SOFR + 0.56%), 12/25/2036 | 5640407 | 1093624 |
| &nbsp;&nbsp; Series 2006-A14C, Class 2A7, 2.70% (-1 x 1 mo. Term SOFR + 6.44%), 12/25/2036 <sup>(d)(f)</sup> | 2726284 | 335723 |
| &nbsp;&nbsp; Series 2006-A2, Class A11, 6.00%, 01/25/2046 | 1717154 | 614116 |
| &nbsp;&nbsp; Series 2006-A2, Class A7, 6.00%, 01/25/2046 | 937721 | 334861 |
| &nbsp;&nbsp; Series 2006-A6, Class 1A12, 3.25% (-1 x 1 mo. Term SOFR + 6.99%), 07/25/2036 <sup>(d)(f)</sup> | 4929266 | 546954 |
| &nbsp;&nbsp; Series 2006-A6, Class 1A13, 6.00%, 07/25/2036 | 3666348 | 827031 |
| &nbsp;&nbsp; Series 2006-A7CB, Class 2A5, 4.10% (1 mo. Term SOFR + 0.36%), 07/25/2036 | 428536 | 67779 |
| &nbsp;&nbsp; Series 2006-A8, Class 1A2, 4.15% (1 mo. Term SOFR + 0.41%), 08/25/2036 | 184780 | 104773 |
| &nbsp;&nbsp; Series 2006-A8, Class 1A5, 6.25%, 08/25/2036 | 15355 | 10749 |
| &nbsp;&nbsp; Series 2006-A8, Class 2A2, 6.75%, 08/25/2036 | 2583958 | 728788 |
| &nbsp;&nbsp; Series 2006-A8, Class 2A3, 6.00%, 08/25/2036 | 906035 | 227148 |
| &nbsp;&nbsp; Series 2006-A8, Class 2A6, 2.05% (-1 x 1 mo. Term SOFR + 5.79%), 08/25/2036 <sup>(d)(f)</sup> | 9135752 | 772970 |
| &nbsp;&nbsp; Series 2006-A8, Class 3A8, 4.60% (1 mo. Term SOFR + 0.86%), 08/25/2036 | 507862 | 161380 |
| &nbsp;&nbsp; Series 2007-A1, Class A6, 3.21% (-1 x 1 mo. Term SOFR + 6.94%), 03/25/2037 <sup>(d)(f)</sup> | 2892151 | 451267 |
| &nbsp;&nbsp; Series 2007-A1, Class A8, 6.00%, 03/25/2037 | 303947 | 92490 |
| &nbsp;&nbsp; Series 2007-A2, Class 1A6, 6.00%, 04/25/2037 | 1595952 | 791119 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A1, 4.30% (1 mo. Term SOFR + 0.56%), 04/25/2037 | 1938798 | 654379 |
| &nbsp;&nbsp; Series 2007-A3, Class 2A1, 4.16% (1 mo. Term SOFR + 0.42%), 04/25/2037 | 17258164 | 3134354 |
| &nbsp;&nbsp; Series 2007-A3, Class PO, 0.00%, 04/25/2037 <sup>(g)</sup> | 85339 | 61697 |
| &nbsp;&nbsp; Series 2007-A5, Class 1A3, 4.23% (1 mo. Term SOFR + 0.49%), 05/25/2037 | 23613703 | 2683490 |
| &nbsp;&nbsp; Series 2007-A5, Class 1A4, 2.25% (-1 x 1 mo. Term SOFR + 5.99%), 05/25/2037 <sup>(d)(f)</sup> | 20253496 | 1267737 |
| &nbsp;&nbsp; Series 2007-A6, Class 1A4, 6.00%, 06/25/2037 | 1446375 | 713570 |
| &nbsp;&nbsp; Series 2007-A7, Class A6, 6.00%, 07/25/2037 | 362153 | 130179 |
| &nbsp;&nbsp; Series 2007-A8, Class 1A2, 6.00%, 08/25/2037 | 210925 | 96974 |
| &nbsp;&nbsp; Series 2007-A8, Class 2A1, 6.25%, 08/25/2037 | 13349822 | 3080286 |
| Resmae Mortgage Loan Trust | Resmae Mortgage Loan Trust | Resmae Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2006-1, Class A2B, 4.15% (1 mo. Term SOFR + 0.41%), 02/25/2036 <sup>(a)</sup> | 2844903 | 978221 |
| &nbsp;&nbsp; Series 2006-1, Class A2C, 4.25% (1 mo. Term SOFR + 0.51%), 02/25/2036 <sup>(a)</sup> | 5598258 | 1924859 |
| RFMSI Trust | RFMSI Trust | RFMSI Trust |
| &nbsp;&nbsp; Series 2005-SA2, Class 2A2, 5.89%, 06/25/2035 <sup>(b)</sup> | 381796 | 362897 |
| &nbsp;&nbsp; Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | 1737778 | 1417236 |
| &nbsp;&nbsp; Series 2006-S12, Class 3A7, 5.75%, 12/25/2036 | 97283 | 83269 |
| &nbsp;&nbsp; Series 2006-S7, Class A9, 6.50%, 08/25/2036 | 257712 | 221106 |
| &nbsp;&nbsp; Series 2006-S8, Class A13, 4.20% (1 mo. Term SOFR + 0.46%), 09/25/2036 | 832251 | 583638 |
| &nbsp;&nbsp; Series 2007-S3, Class 1A5, 5.50%, 03/25/2037 | 281296 | 196552 |
| &nbsp;&nbsp; Series 2007-S6, Class 1A16, 6.00%, 06/25/2037 | 17175 | 13628 |
| &nbsp;&nbsp; Series 2007-S6, Class 2A4, 6.00%, 06/25/2037 | 1100546 | 860111 |
| &nbsp;&nbsp; Series 2007-SA1, Class 2A2, 4.87%, 02/25/2037 <sup>(b)</sup> | 118539 | 76567 |
| &nbsp;&nbsp; Series 2007-SA3, Class 2A1, 5.10%, 07/27/2037 <sup>(b)</sup> | 1173110 | 850115 |
|  Rithm Capital Corp., Series 2023-NQM1, Class A1A, 6.86%, 10/25/2063 <sup>(a)(c)</sup> | 715835 | 723803 |
|  Sail Net Interest Margin Notes, Series 2003-BC8, Class M1, 4.90% (1 mo. Term SOFR + 1.16%), 08/25/2033 | 75124 | 71413 |
|  Saxon Asset Securities Trust, Series 2004-1, Class A, 1.43% (1 mo. Term SOFR + 0.65%), 03/25/2035 | 1965582 | 1757966 |
| Securitized Asset Backed Receivables LLC | Securitized Asset Backed Receivables LLC | Securitized Asset Backed Receivables LLC |
| &nbsp;&nbsp; Series 2004-OP2, Class M2, 5.42% (1 mo. Term SOFR + 1.69%), 08/25/2034 | 452708 | 451749 |
| &nbsp;&nbsp; Series 2005-EC1, Class M3, 4.85% (1 mo. Term SOFR + 1.12%), 01/25/2035 | 187157 | 244744 |
| &nbsp;&nbsp; Series 2006-HE1, Class A2B, 4.03% (1 mo. Term SOFR + 0.29%), 07/25/2036 | 663040 | 214744 |
| &nbsp;&nbsp; Series 2007-BR1, Class A2A, 4.07% (1 mo. Term SOFR + 0.33%), 02/25/2037 | 140259 | 52422 |
|  Security National Mortgage Loan Trust, Series 2006-3A, Class A3, 6.33%, 01/25/2037 <sup>(a)(b)</sup> | 287870 | 108100 |
| Sequoia Mortgage Trust | Sequoia Mortgage Trust | Sequoia Mortgage Trust |
| &nbsp;&nbsp; Series 10, Class 1A, 4.65% (1 mo. Term SOFR + 0.91%), 10/20/2027 | 25196 | 23987 |
| &nbsp;&nbsp; Series 2003-3, Class A1, 4.51% (1 mo. Term SOFR + 0.77%), 07/20/2033 | 1147073 | 1075850 |
| &nbsp;&nbsp; Series 2003-4, Class 2A1, 4.55% (1 mo. Term SOFR + 0.81%), 07/20/2033 | 3321 | 3335 |
| &nbsp;&nbsp; Series 2004-6, Class A2, 4.41% (1 mo. Term SOFR + 0.67%), 07/20/2034 | 9949 | 9985 |
| &nbsp;&nbsp; Series 2004-6, Class A3A, 4.64% (6 mo. Term SOFR + 1.02%), 07/20/2034 | 77002 | 71859 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Sequoia Mortgage Trust (Continued) | Sequoia Mortgage Trust (Continued) | Sequoia Mortgage Trust (Continued) |
| &nbsp;&nbsp; Series 2007-3, Class 2BA1, 4.22%, 07/20/2037 <sup>(b)</sup> | 91 | 72 |
| &nbsp;&nbsp; Series 2013-9, Class AP, 0.00%, 07/25/2043 <sup>(a)(g)</sup> | 350102 | 250682 |
| &nbsp;&nbsp; Series 2019-4, Class A1, 3.50%, 11/25/2049 <sup>(a)(b)</sup> | 38481 | 35047 |
| &nbsp;&nbsp; Series 9, Class 1A, 4.55% (1 mo. Term SOFR + 0.81%), 09/20/2032 | 54769 | 54078 |
| SGR Residential Mortgage Trust | SGR Residential Mortgage Trust | SGR Residential Mortgage Trust |
| &nbsp;&nbsp; Series 2020-2, Class A1, 1.38%, 05/25/2065 <sup>(a)(b)</sup> | 15458 | 14473 |
| &nbsp;&nbsp; Series 2020-2, Class A2, 1.59%, 05/25/2065 <sup>(a)(b)</sup> | 60696 | 56876 |
| Soundview Home Equity Loan Trust | Soundview Home Equity Loan Trust | Soundview Home Equity Loan Trust |
| &nbsp;&nbsp; Series 2001-2, Class AF, 6.50%, 03/25/2030 <sup>(c)</sup> | 70736 | 69397 |
| &nbsp;&nbsp; Series 2006-3, Class A4, 4.35% (1 mo. Term SOFR + 0.61%), 11/25/2036 | 2331263 | 2231264 |
| &nbsp;&nbsp; Series 2006-OPT3, Class 2A4, 4.35% (1 mo. Term SOFR + 0.61%), 06/25/2036 | 24592 | 24481 |
| &nbsp;&nbsp; Series 2006-OPT5, Class 2A4, 4.33% (1 mo. Term SOFR + 0.59%), 07/25/2036 | 3400777 | 3164473 |
| &nbsp;&nbsp; Series 2007-OPT2, Class 2A3, 4.03% (1 mo. Term SOFR + 0.29%), 07/25/2037 | 5027499 | 4623753 |
| &nbsp;&nbsp; Series 2007-OPT4, Class 2A3, 4.95% (1 mo. Term SOFR + 1.21%), 09/25/2037 | 300408 | 256574 |
| Specialty Underwriting & Residential Finance | Specialty Underwriting & Residential Finance | Specialty Underwriting & Residential Finance |
| &nbsp;&nbsp; Series 2003-BC2, Class M1, 4.97% (1 mo. Term SOFR + 1.24%), 06/25/2034 | 429852 | 426951 |
| &nbsp;&nbsp; Series 2006-BC3, Class A2C, 4.15% (1 mo. Term SOFR + 0.41%), 06/25/2037 | 77412 | 46352 |
| &nbsp;&nbsp; Series 2006-BC4, Class A2B, 4.07% (1 mo. Term SOFR + 0.33%), 09/25/2037 | 1638064 | 556557 |
| Structured Adjustable Rate Mortgage Loan Trust | Structured Adjustable Rate Mortgage Loan Trust | Structured Adjustable Rate Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-14, Class 1A, 5.23%, 10/25/2034 <sup>(b)</sup> | 101411 | 96856 |
| &nbsp;&nbsp; Series 2004-17, Class A1, 4.17%, 11/25/2034 <sup>(b)</sup> | 125400 | 111723 |
| &nbsp;&nbsp; Series 2004-2, Class 4A1, 5.20%, 03/25/2034 <sup>(b)</sup> | 124077 | 119206 |
| &nbsp;&nbsp; Series 2004-7, Class A4, 4.64% (1 mo. Term SOFR + 0.91%), 06/25/2034 | 419410 | 405313 |
| &nbsp;&nbsp; Series 2005-12, Class 2A1, 5.59%, 06/25/2035 <sup>(b)</sup> | 193838 | 142185 |
| &nbsp;&nbsp; Series 2005-20, Class 1A1, 6.01%, 10/25/2035 <sup>(b)</sup> | 464545 | 430415 |
| &nbsp;&nbsp; Series 2005-21, Class 1A, 4.63%, 11/25/2035 <sup>(b)</sup> | 335111 | 214923 |
| &nbsp;&nbsp; Series 2005-8XS, Class M1, 4.49% (1 mo. Term SOFR + 0.76%), 04/25/2035 | 379838 | 393257 |
| &nbsp;&nbsp; Series 2006-10, Class 2A1, 4.96%, 11/25/2036 <sup>(b)</sup> | 380056 | 287348 |
| &nbsp;&nbsp; Series 2006-11, Class 1A1, 4.17% (1 mo. Term SOFR + 0.43%), 12/25/2036 | 1927828 | 1926161 |
| &nbsp;&nbsp; Series 2006-2, Class 5A1, 5.00%, 03/25/2036 <sup>(b)</sup> | 695738 | 552152 |
| &nbsp;&nbsp; Series 2006-4, Class 6A, 3.87%, 05/25/2036 <sup>(b)</sup> | 3776644 | 2107788 |
| &nbsp;&nbsp; Series 2006-8, Class 3A1, 4.31%, 09/25/2036 <sup>(b)</sup> | 3793520 | 3495450 |
| &nbsp;&nbsp; Series 2007-3, Class 2A1, 3.84%, 04/25/2047 <sup>(b)</sup> | 200265 | 186006 |
| &nbsp;&nbsp; Series 2007-5, Class 3A1, 4.80%, 06/25/2037 <sup>(b)</sup> | 2044865 | 1686224 |
| &nbsp;&nbsp; Series 2007-7, Class 1A1, 4.45% (1 mo. Term SOFR + 0.71%), 08/25/2037 | 729554 | 737380 |
| &nbsp;&nbsp; Series 2008-1, Class A32, 4.44%, 10/25/2037 <sup>(b)</sup> | 421028 | 332269 |
| Structured Asset Investment Loan Trust | Structured Asset Investment Loan Trust | Structured Asset Investment Loan Trust |
| &nbsp;&nbsp; Series 2003-BC2, Class A2, 4.57% (1 mo. Term SOFR + 0.83%), 04/25/2033 <sup>(e)</sup> | 53073 | 53179 |
| &nbsp;&nbsp; Series 2004-5, Class M7, 6.85% (1 mo. Term SOFR + 3.11%), 05/25/2034 | 508601 | 456298 |
| &nbsp;&nbsp; Series 2004-8, Class A2, 4.40% (1 mo. Term SOFR + 0.66%), 09/25/2034 | 1004733 | 968402 |
| &nbsp;&nbsp; Series 2005-11, Class A7, 4.57% (1 mo. Term SOFR + 0.83%), 01/25/2036 | 269048 | 261395 |
| &nbsp;&nbsp; Series 2006-2, Class A4, 4.45% (1 mo. Term SOFR + 0.71%), 04/25/2036 | 430108 | 204458 |
|  Structured Asset Mortgage Investments Inc., Series 2006-AR5, Class 3A1, 4.27% (1 mo. Term SOFR + 0.53%), 05/25/2046 | 1562540 | 705384 |
| Structured Asset Mortgage Investments, Inc. | Structured Asset Mortgage Investments, Inc. | Structured Asset Mortgage Investments, Inc. |
| &nbsp;&nbsp; Series 2004-AR1, Class 1A2, 4.55% (1 mo. Term SOFR + 0.81%), 03/19/2034 | 3080 | 2949 |
| &nbsp;&nbsp; Series 2004-AR4, Class 3A1, 6.36%, 12/19/2034 <sup>(b)</sup> | 165299 | 164625 |
| &nbsp;&nbsp; Series 2004-AR5, Class 1A1, 4.51% (1 mo. Term SOFR + 0.77%), 10/19/2034 | 5526 | 5352 |
| &nbsp;&nbsp; Series 2005-AR8, Class A2, 6.23% (MTA + 1.48%), 02/25/2036 | 774466 | 668533 |
| &nbsp;&nbsp; Series 2006-AR1, Class 3A1, 4.31% (1 mo. Term SOFR + 0.57%), 02/25/2036 | 1332051 | 1106789 |
| &nbsp;&nbsp; Series 2006-AR3, Class 11A1, 4.27% (1 mo. Term SOFR + 0.53%), 04/25/2036 | 633207 | 580859 |
| &nbsp;&nbsp; Series 2006-AR3, Class 12A1, 4.29% (1 mo. Term SOFR + 0.55%), 05/25/2036 | 517183 | 433389 |
| &nbsp;&nbsp; Series 2006-AR3, Class 21A1, 4.25% (1 mo. Term SOFR + 0.51%), 02/25/2036 | 773314 | 641396 |
| &nbsp;&nbsp; Series 2006-AR3, Class 22A1, 4.03%, 05/25/2036 <sup>(b)</sup> | 283553 | 117817 |
| &nbsp;&nbsp; Series 2006-AR5, Class 2A1, 4.27% (1 mo. Term SOFR + 0.53%), 05/25/2046 | 3064346 | 2189800 |
| &nbsp;&nbsp; Series 2006-AR5, Class 4A1, 4.29% (1 mo. Term SOFR + 0.55%), 05/25/2046 | 308291 | 108820 |
| &nbsp;&nbsp; Series 2006-AR6, Class 2A1, 4.23% (1 mo. Term SOFR + 0.49%), 07/25/2046 | 1789032 | 1271370 |
| &nbsp;&nbsp; Series 2006-AR7, Class A1A, 4.27% (1 mo. Term SOFR + 0.53%), 08/25/2036 | 17965621 | 15095085 |
| &nbsp;&nbsp; Series 2007-AR1, Class 1A1, 4.17% (1 mo. Term SOFR + 0.43%), 01/25/2037 <sup>(e)</sup> | 269434 | 227268 |
| &nbsp;&nbsp; Series 2007-AR3, Class 2A1, 4.23% (1 mo. Term SOFR + 0.49%), 09/25/2047 | 359739 | 334130 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Structured Asset Securities Corp. | Structured Asset Securities Corp. | Structured Asset Securities Corp. |
| &nbsp;&nbsp; Series 2003-22A, Class 3A, 5.86%, 06/25/2033 <sup>(b)</sup> | 37759 | 36272 |
| &nbsp;&nbsp; Series 2004-6XS, Class M1, 5.67%, 03/25/2034 <sup>(c)</sup> | 220063 | 216450 |
| &nbsp;&nbsp; Series 2004-SC1, Class A, 7.01%, 12/25/2029 <sup>(a)(b)</sup> | 938302 | 740794 |
| &nbsp;&nbsp; Series 2006-S3, Class A1, 4.11% (1 mo. Term SOFR + 0.37%), 09/25/2036 | 939806 | 230418 |
| Suntrust Adjustable Rate Mortgage Loan Trust | Suntrust Adjustable Rate Mortgage Loan Trust | Suntrust Adjustable Rate Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2007-2, Class 2A1, 5.89%, 04/25/2037 <sup>(b)</sup> | 217879 | 116059 |
| &nbsp;&nbsp; Series 2007-4, Class 2A1, 4.71%, 10/25/2037 <sup>(b)</sup> | 111209 | 82056 |
|  Suntrust Alternative Loan Trust, Series 2005-1F, Class 2A8, 6.00%, 12/25/2035 | 811723 | 757550 |
|  SunTrust Alternative Loan Trust 2006-1F, Series 2006-1F, Class 2A, 6.50%, 04/25/2036 | 1174721 | 411109 |
| TBW Mortgage Backed Pass Through Certificates | TBW Mortgage Backed Pass Through Certificates | TBW Mortgage Backed Pass Through Certificates |
| &nbsp;&nbsp; Series 2006-1, Class 1A4, 5.50%, 04/25/2036 | 1568843 | 409153 |
| &nbsp;&nbsp; Series 2006-2, Class DX, 6.00%, 07/25/2036 <sup>(d)</sup> | 589789 | 67482 |
| &nbsp;&nbsp; Series 2006-3, Class 1A, 6.00%, 07/25/2036 | 626955 | 231765 |
| &nbsp;&nbsp; Series 2006-3, Class 2A1, 6.50%, 07/25/2036 | 921171 | 263097 |
| &nbsp;&nbsp; Series 2006-3, Class 4A3, 3.25% (-1 x 1 mo. Term SOFR + 6.99%), 07/25/2036 <sup>(d)(f)</sup> | 11067275 | 448181 |
| &nbsp;&nbsp; Series 2006-5, Class A4, 6.70%, 11/25/2036 <sup>(c)</sup> | 9215000 | 1554316 |
| &nbsp;&nbsp; Series 2007-2, Class A6A, 6.51%, 07/25/2037 <sup>(c)</sup> | 1522175 | 557832 |
| Terwin Mortgage Trust | Terwin Mortgage Trust | Terwin Mortgage Trust |
| &nbsp;&nbsp; Series 2004-19HE, Class A1, 4.59% (1 mo. Term SOFR + 0.85%), 10/25/2034 <sup>(a)</sup> | 276842 | 273291 |
| &nbsp;&nbsp; Series 2004-7HE, Class A1, 4.95% (1 mo. Term SOFR + 1.21%), 07/25/2034 <sup>(a)</sup> | 687827 | 673756 |
| &nbsp;&nbsp; Series 2004-9HE, Class A3, 4.85% (1 mo. Term SOFR + 1.11%), 09/25/2034 <sup>(a)</sup> | 724789 | 694093 |
| &nbsp;&nbsp; Series 2006-9HGA, Class A3, 4.26% (1 mo. Term SOFR + 0.67%), 10/25/2037 <sup>(a)</sup> | 891451 | 264370 |
| Thornburg Mortgage Securities Trust | Thornburg Mortgage Securities Trust | Thornburg Mortgage Securities Trust |
| &nbsp;&nbsp; Series 2004-4, Class 1A, 4.43% (1 mo. Term SOFR + 0.69%), 12/25/2044 | 133299 | 125441 |
| &nbsp;&nbsp; Series 2005-1, Class A2, 4.92%, 04/25/2045 <sup>(b)</sup> | 134516 | 133555 |
| &nbsp;&nbsp; Series 2007-3, Class 2A1, 5.41% (12 mo. Term SOFR + 1.97%), 06/25/2047 | 204012 | 201119 |
|  TIAA Mortgage Loan Trust, Series 2018-3, Class A13, 4.00%, 11/25/2048 <sup>(a)(b)</sup> | 90626 | 86223 |
| Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust |
| &nbsp;&nbsp; Series 2023-2, Class B1, 7.42%, 03/25/2068 <sup>(a)(b)</sup> | 1744000 | 1745104 |
| &nbsp;&nbsp; Series 2023-3, Class A2, 6.44%, 03/25/2068 <sup>(a)(c)</sup> | 154760 | 154769 |
| &nbsp;&nbsp; Series 2023-4, Class A1, 5.81%, 05/25/2068 <sup>(a)(c)</sup> | 2345669 | 2346344 |
| &nbsp;&nbsp; Series 2023-5, Class A1, 6.48%, 06/25/2068 <sup>(a)(c)</sup> | 1356056 | 1360850 |
| &nbsp;&nbsp; Series 2023-7, Class A1, 7.07%, 10/25/2068 <sup>(a)(c)</sup> | 9582861 | 9703664 |
| &nbsp;&nbsp; Series 2023-8, Class A1, 6.26%, 12/25/2068 <sup>(a)(c)</sup> | 5865816 | 5921087 |
| &nbsp;&nbsp; Series 2023-INV3, Class A1, 6.88%, 11/25/2068 <sup>(a)(b)</sup> | 4600971 | 4665049 |
| &nbsp;&nbsp; Series 2024-1, Class A1, 5.71%, 01/25/2069 <sup>(a)(c)</sup> | 795958 | 799831 |
| &nbsp;&nbsp; Series 2024-4, Class A1, 6.22%, 06/25/2069 <sup>(a)(c)</sup> | 1087370 | 1101312 |
|  Wachovia Mortgage Loan Trust LLC, Series 2005-A, Class 1A1, 6.36%, 08/20/2035 <sup>(b)</sup> | 326070 | 320015 |
|  WAMU Asset-Backed Certificates, Series 2007-HE4, Class 2A4, 4.10% (1 mo. Term SOFR + 0.36%), 07/25/2047 | 550190 | 321093 |
| WaMu Mortgage Pass Through Certificates | WaMu Mortgage Pass Through Certificates | WaMu Mortgage Pass Through Certificates |
| &nbsp;&nbsp; Series 2002-AR17, Class 1B2, 5.23% (MTA + 1.20%), 11/25/2042 | 65312 | 61923 |
| &nbsp;&nbsp; Series 2002-AR2, Class A, 4.17% (Ent 11th COFI Repl + 1.25%), 02/27/2034 | 339256 | 331241 |
| &nbsp;&nbsp; Series 2002-AR9, Class 1A, 5.43% (MTA + 1.40%), 08/25/2042 | 10280 | 10067 |
| &nbsp;&nbsp; Series 2004-AR10, Class B1, 4.75% (1 mo. Term SOFR + 1.01%), 07/25/2044 | 836668 | 795459 |
| &nbsp;&nbsp; Series 2004-AR11, Class A, 5.97%, 10/25/2034 <sup>(b)</sup> | 103205 | 100831 |
| &nbsp;&nbsp; Series 2004-AR9, Class B1, 5.24%, 08/25/2034 <sup>(b)</sup> | 113003 | 105930 |
| &nbsp;&nbsp; Series 2004-S1, Class 1A11, 5.50%, 03/25/2034 | 17223 | 17482 |
| &nbsp;&nbsp; Series 2005-AR12, Class 1A4, 4.51%, 10/25/2035 <sup>(b)</sup> | 25137 | 23025 |
| &nbsp;&nbsp; Series 2005-AR17, Class A1A1, 4.39% (1 mo. Term SOFR + 0.65%), 12/25/2045 | 687836 | 639280 |
| &nbsp;&nbsp; Series 2005-AR17, Class A1B2, 4.67% (1 mo. Term SOFR + 0.93%), 12/25/2045 | 185116 | 171181 |
| &nbsp;&nbsp; Series 2005-AR2, Class 2A1A, 4.47% (1 mo. Term SOFR + 0.73%), 01/25/2045 | 270623 | 271684 |
| &nbsp;&nbsp; Series 2005-AR4, Class A5, 4.34%, 04/25/2035 <sup>(b)</sup> | 259668 | 251995 |
| &nbsp;&nbsp; Series 2006-AR1, Class 1A1A, 5.10% (MTA + 1.07%), 01/25/2046 | 365733 | 331403 |
| &nbsp;&nbsp; Series 2006-AR12, Class 2A3, 3.67%, 10/25/2036 <sup>(b)</sup> | 463674 | 421073 |
| &nbsp;&nbsp; Series 2006-AR14, Class 1A4, 4.00%, 11/25/2036 <sup>(b)</sup> | 197543 | 177851 |
| &nbsp;&nbsp; Series 2006-AR14, Class 2A3, 3.86%, 11/25/2036 <sup>(b)</sup> | 605135 | 526480 |
| &nbsp;&nbsp; Series 2006-AR15, Class 2A, 5.53% (MTA + 1.50%), 11/25/2046 | 718996 | 649303 |
| &nbsp;&nbsp; Series 2006-AR18, Class 1A1, 3.66%, 01/25/2037 <sup>(b)</sup> | 56576 | 49099 |
| &nbsp;&nbsp; Series 2006-AR18, Class 3A3, 3.48%, 01/25/2037 <sup>(b)</sup> | 137584 | 114864 |
| &nbsp;&nbsp; Series 2006-AR2, Class 1A1, 4.57%, 03/25/2036 <sup>(b)</sup> | 913707 | 827881 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Wamu Mortgage Pass Through Certificates (Continued) | Wamu Mortgage Pass Through Certificates (Continued) | Wamu Mortgage Pass Through Certificates (Continued) |
| &nbsp;&nbsp; Series 2006-AR3, Class A1B, 5.03% (MTA + 1.00%), 02/25/2046 | 412221 | 364520 |
| &nbsp;&nbsp; Series 2006-AR5, Class A12A, 5.01% (MTA + 0.98%), 06/25/2046 | 12788 | 12106 |
| &nbsp;&nbsp; Series 2007-HY1, Class 1A1, 4.37%, 02/25/2037 <sup>(b)</sup> | 245807 | 219418 |
| &nbsp;&nbsp; Series 2007-HY4, Class 1A1, 3.67%, 04/25/2037 <sup>(b)(e)</sup> | 100721 | 86746 |
| &nbsp;&nbsp; Series 2007-HY5, Class 2A1, 3.41%, 05/25/2037 <sup>(b)</sup> | 132282 | 109030 |
| &nbsp;&nbsp; Series 2007-HY7, Class 4A1, 4.65%, 07/25/2037 <sup>(b)</sup> | 63303 | 57552 |
| Washington Mutual Alternative Mortgage Pass-Through Certificates | Washington Mutual Alternative Mortgage Pass-Through Certificates | Washington Mutual Alternative Mortgage Pass-Through Certificates |
| &nbsp;&nbsp; Series 2005-10, Class 2A8, 6.00%, 11/25/2035 | 845459 | 813109 |
| &nbsp;&nbsp; Series 2005-10, Class 4CB1, 5.75%, 12/25/2035 | 288720 | 270423 |
| &nbsp;&nbsp; Series 2005-3, Class 1CB3, 4.30% (1 mo. Term SOFR + 0.56%), 05/25/2035 | 1484757 | 1253777 |
| &nbsp;&nbsp; Series 2005-5, Class CB6, 4.45% (1 mo. Term SOFR + 0.71%), 07/25/2035 | 51577 | 45542 |
| &nbsp;&nbsp; Series 2005-8, Class 1A6, 9.18% (-4 x 1 mo. Term SOFR + 22.86%), 10/25/2035 <sup>(f)</sup> | 108962 | 112123 |
| &nbsp;&nbsp; Series 2005-8, Class 3CB1, 6.00%, 10/25/2035 | 78774 | 63105 |
| &nbsp;&nbsp; Series 2006-1, Class 2CB2, 7.00%, 02/25/2036 | 723732 | 550691 |
| &nbsp;&nbsp; Series 2006-1, Class 5CB2, 5.75%, 02/25/2036 | 2601117 | 2477867 |
| &nbsp;&nbsp; Series 2006-2, Class 1A1, 6.00%, 03/25/2036 | 777523 | 772490 |
| &nbsp;&nbsp; Series 2006-2, Class 4CB, 6.00%, 03/25/2036 | 889088 | 881676 |
| &nbsp;&nbsp; Series 2006-4, Class 3A5, 6.85%, 05/25/2036 <sup>(c)</sup> | 525903 | 465667 |
| &nbsp;&nbsp; Series 2006-5, Class 1A2, 6.00%, 07/25/2036 | 324429 | 260157 |
| &nbsp;&nbsp; Series 2006-5, Class 1A5, 6.00%, 07/25/2036 | 305918 | 245313 |
| &nbsp;&nbsp; Series 2006-5, Class 2CB2, 4.45% (1 mo. Term SOFR + 0.71%), 07/25/2036 | 424438 | 272316 |
| &nbsp;&nbsp; Series 2006-5, Class 4A1, 6.00%, 06/25/2026 <sup>(e)</sup> | 1636700 | 16 |
| &nbsp;&nbsp; Series 2006-7, Class A3, 3.91%, 09/25/2036 <sup>(c)</sup> | 2349505 | 610540 |
| &nbsp;&nbsp; Series 2006-8, Class A3A, 4.10%, 10/25/2036 <sup>(c)</sup> | 318649 | 131767 |
| &nbsp;&nbsp; Series 2006-AR10, Class A2A, 4.19% (1 mo. Term SOFR + 0.45%), 12/25/2036 <sup>(e)</sup> | 307359 | 248961 |
| &nbsp;&nbsp; Series 2006-AR3, Class A1A, 5.00% (MTA + 0.97%), 05/25/2046 | 44560 | 40019 |
| &nbsp;&nbsp; Series 2006-AR5, Class 4A, 5.02% (MTA + 0.99%), 06/25/2046 <sup>(e)</sup> | 86367 | 68878 |
| &nbsp;&nbsp; Series 2007-2, Class 1A10, 2.83% (-1 x 1 mo. Term SOFR + 6.57%), 04/25/2037 <sup>(d)(f)</sup> | 3323217 | 628388 |
| &nbsp;&nbsp; Series 2007-HY2, Class 1A1, 4.09%, 04/25/2037 <sup>(b)</sup> | 7782133 | 3968981 |
| Washington Mutual Mortgage Pass-Through Certificates | Washington Mutual Mortgage Pass-Through Certificates | Washington Mutual Mortgage Pass-Through Certificates |
| &nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 03/25/2035 | 759623 | 753329 |
| &nbsp;&nbsp; Series 2005-AR2, Class 2A3, 4.55% (1 mo. Term SOFR + 0.81%), 01/25/2045 | 37095 | 37507 |
| &nbsp;&nbsp; Series 2006-4, Class 3A3, 6.47%, 05/25/2036 <sup>(c)</sup> | 170115 | 150684 |
| &nbsp;&nbsp; Series 2006-AR7, Class 3A, 5.08% (MTA + 1.05%), 07/25/2046 | 3013039 | 2791937 |
| Washington Mutual MSC Mortgage Pass-Through CTFS | Washington Mutual MSC Mortgage Pass-Through CTFS | Washington Mutual MSC Mortgage Pass-Through CTFS |
| &nbsp;&nbsp; Series 2003-AR3, Class 2A2, 4.59%, 06/25/2033 <sup>(b)</sup> | 94599 | 83163 |
| &nbsp;&nbsp; Series 2004-RA2, Class CB1, 7.00%, 07/25/2033 <sup>(b)</sup> | 17429 | 14657 |
| Wells Fargo Alternative Loan Trust | Wells Fargo Alternative Loan Trust | Wells Fargo Alternative Loan Trust |
| &nbsp;&nbsp; Series 2005-1, Class 2A3, 5.50%, 02/25/2035 | 696505 | 658423 |
| &nbsp;&nbsp; Series 2007-PA1, Class A8, 4.39% (1 mo. Term SOFR + 0.65%), 03/25/2037 | 684224 | 556556 |
| &nbsp;&nbsp; Series 2007-PA2, Class 2A1, 4.28% (1 mo. Term SOFR + 0.54%), 06/25/2037 | 203638 | 179415 |
| &nbsp;&nbsp; Series 2007-PA2, Class 2A2, 2.22% (-1 x 1 mo. Term SOFR + 5.96%), 06/25/2037 <sup>(d)(f)</sup> | 3546465 | 383493 |
| &nbsp;&nbsp; Series 2007-PA3, Class 1A2, 5.75%, 07/25/2037 | 172138 | 151988 |
| &nbsp;&nbsp; Series 2007-PA3, Class 1A4, 5.75%, 07/25/2037 | 930599 | 821665 |
| &nbsp;&nbsp; Series 2007-PA3, Class 2A1, 6.00%, 07/25/2037 | 1599840 | 1459098 |
| &nbsp;&nbsp; Series 2007-PA4, Class 1A1, 7.18%, 07/25/2037 <sup>(b)</sup> | 375735 | 354244 |
| Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust | Wells Fargo Mortgage Backed Securities Trust |
| &nbsp;&nbsp; Series 2006-7, Class 3A1, 6.00%, 06/25/2036 | 479472 | 391632 |
| &nbsp;&nbsp; Series 2006-AR12, Class 2A1, 6.19%, 09/25/2036 <sup>(b)</sup> | 76422 | 73482 |
| &nbsp;&nbsp; Series 2006-AR14, Class 2A3, 6.50%, 10/25/2036 <sup>(b)</sup> | 174932 | 160737 |
| &nbsp;&nbsp; Series 2006-AR16, Class A1, 6.73%, 10/25/2036 <sup>(b)</sup> | 204370 | 192942 |
| &nbsp;&nbsp; Series 2006-AR5, Class 2A1, 6.67%, 04/25/2036 <sup>(b)</sup> | 173701 | 172231 |
| &nbsp;&nbsp; Series 2007-15, Class A1, 6.00%, 11/25/2037 | 520259 | 509873 |
| &nbsp;&nbsp; Series 2007-AR3, Class A4, 6.24%, 04/25/2037 <sup>(b)</sup> | 1592410 | 1414882 |
| &nbsp;&nbsp; Series 2019-4, Class A17, 3.50%, 09/25/2049 <sup>(a)(b)</sup> | 41139 | 37125 |
|  Yale Mortgage Loan Trust 2007-1, Series 2007-1, Class A, 4.25% (1 mo. Term SOFR + 0.51%), 06/25/2037 <sup>(a)</sup> | 75419 | 23082 |
| **TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES** (Cost $1,187,087,858) | **TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES** (Cost $1,187,087,858) | 1001390918 |
| **AGENCY MORTGAGE-BACKED SECURITIES - 30.7%** | **Par** | **Value**  |
| Fannie Mae Grantor Trust | Fannie Mae Grantor Trust | Fannie Mae Grantor Trust |
| &nbsp;&nbsp; Series 2001-T13, Class A1, 4.25% (1 mo. Term SOFR + 0.27%), 03/25/2032 | 1587544 | 1530990 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Fannie Mae Grantor Trust (Continued) | Fannie Mae Grantor Trust (Continued) | Fannie Mae Grantor Trust (Continued) |
| &nbsp;&nbsp; Series 2002-T16, Class A4, 5.60%, 05/25/2042 <sup>(b)</sup> | 14978 | 14885 |
| &nbsp;&nbsp; Series 2002-T4, Class A3, 7.50%, 12/25/2041 | 109169 | 117275 |
| Fannie Mae Whole Loan | Fannie Mae Whole Loan | Fannie Mae Whole Loan |
| &nbsp;&nbsp; Series 1998-W2, Class A8, 6.50%, 06/25/2028 | 42664 | 43183 |
| &nbsp;&nbsp; Series 2002-W8, Class A2, 7.00%, 06/25/2042 | 109956 | 115699 |
| &nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.70%, 12/25/2042 <sup>(b)</sup> | 964778 | 974055 |
| &nbsp;&nbsp; Series 2003-W1, Class 2A, 5.06%, 12/25/2042 <sup>(b)</sup> | 12066 | 12209 |
| &nbsp;&nbsp; Series 2003-W4, Class 3A, 4.47%, 10/25/2042 <sup>(b)</sup> | 98844 | 100604 |
| &nbsp;&nbsp; Series 2003-W4, Class 4A, 5.08%, 10/25/2042 <sup>(b)</sup> | 66392 | 68168 |
| &nbsp;&nbsp; Series 2004-W14, Class 1AF, 4.39% (30 day avg SOFR US + 0.51%), 07/25/2044 | 1385101 | 1343269 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Series 2380, Class CF, 4.70% (30 day avg SOFR US + 0.71%), 11/15/2031 | 47507 | 47581 |
| &nbsp;&nbsp; Series 246, Class PO, Pool S0-4925, 0.00%, 05/15/2037 <sup>(g)</sup> | 187062 | 156871 |
| &nbsp;&nbsp; Series 261, Class PO, 0.00%, 05/15/2040 <sup>(g)</sup> | 1099562 | 893761 |
| &nbsp;&nbsp; Series 264, Class F1, Pool S0-5783, 4.65% (30 day avg SOFR US + 0.66%), 07/15/2042 | 431465 | 428163 |
| &nbsp;&nbsp; Series 2733, Class FB, 4.70% (30 day avg SOFR US + 0.71%), 10/15/2033 | 37703 | 37742 |
| &nbsp;&nbsp; Series 277, Class F6, 4.55% (30 day avg SOFR US + 0.56%), 09/15/2042 | 939336 | 927689 |
| &nbsp;&nbsp; Series 2770, Class LO, 0.00%, 03/15/2034 <sup>(g)</sup> | 4698 | 3920 |
| &nbsp;&nbsp; Series 2771, Class FM, 4.54% (30 day avg SOFR US + 0.51%), 03/15/2034 | 19233 | 19111 |
| &nbsp;&nbsp; Series 2819, Class F, 4.50% (30 day avg SOFR US + 0.51%), 06/15/2034 | 28152 | 28066 |
| &nbsp;&nbsp; Series 2916, Class AO, 0.00%, 01/15/2035 <sup>(g)</sup> | 142970 | 130484 |
| &nbsp;&nbsp; Series 3006, Class YF, 4.36% (30 day avg SOFR US + 0.37%), 07/15/2035 | 188796 | 186683 |
| &nbsp;&nbsp; Series 3067, Class FA, 4.45% (30 day avg SOFR US + 0.46%), 11/15/2035 | 316774 | 313886 |
| &nbsp;&nbsp; Series 3146, Class FP, 4.45% (30 day avg SOFR US + 0.46%), 04/15/2036 | 241124 | 238937 |
| &nbsp;&nbsp; Series 3149, Class FB, 4.45% (30 day avg SOFR US + 0.46%), 05/15/2036 | 383021 | 379769 |
| &nbsp;&nbsp; Series 3149, Class FH, 4.45% (30 day avg SOFR US + 0.46%), 05/15/2036 | 190190 | 188889 |
| &nbsp;&nbsp; Series 3152, Class WF, 4.56% (30 day avg SOFR US + 0.57%), 02/15/2034 | 21829 | 21723 |
| &nbsp;&nbsp; Series 319, Class F1, 4.55% (30 day avg SOFR US + 0.56%), 11/15/2043 | 647665 | 639315 |
| &nbsp;&nbsp; Series 3210, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 09/15/2036 | 396441 | 393298 |
| &nbsp;&nbsp; Series 3231, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 10/15/2036 | 176842 | 175472 |
| &nbsp;&nbsp; Series 3232, Class KF, 4.55% (30 day avg SOFR US + 0.56%), 10/15/2036 | 86409 | 85841 |
| &nbsp;&nbsp; Series 3236, Class EF, 4.40% (30 day avg SOFR US + 0.41%), 11/15/2036 | 15923 | 15749 |
| &nbsp;&nbsp; Series 3236, Class KF, 4.40% (30 day avg SOFR US + 0.41%), 11/15/2036 | 130089 | 128615 |
| &nbsp;&nbsp; Series 3240, Class AF, 4.45% (30 day avg SOFR US + 0.46%), 11/15/2036 | 445312 | 439510 |
| &nbsp;&nbsp; Series 3240, Class FM, 4.45% (30 day avg SOFR US + 0.46%), 11/15/2036 | 445096 | 440766 |
| &nbsp;&nbsp; Series 3242, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 11/15/2036 | 142957 | 141746 |
| &nbsp;&nbsp; Series 325, Class PO, 0.00%, 03/15/2044 <sup>(g)</sup> | 613193 | 476567 |
| &nbsp;&nbsp; Series 327, Class PO, 0.00%, 03/15/2044 <sup>(g)</sup> | 1316712 | 1023500 |
| &nbsp;&nbsp; Series 3281, Class AF, 4.42% (30 day avg SOFR US + 0.43%), 02/15/2037 | 211366 | 208994 |
| &nbsp;&nbsp; Series 3284, Class CF, 4.47% (30 day avg SOFR US + 0.48%), 03/15/2037 | 288171 | 285258 |
| &nbsp;&nbsp; Series 3284, Class LF, 4.41% (30 day avg SOFR US + 0.42%), 03/15/2037 | 248142 | 245345 |
| &nbsp;&nbsp; Series 3311, Class FN, 4.40% (30 day avg SOFR US + 0.41%), 05/15/2037 | 264869 | 261714 |
| &nbsp;&nbsp; Series 3311, Class KF, 4.44% (30 day avg SOFR US + 0.45%), 05/15/2037 | 507721 | 502299 |
| &nbsp;&nbsp; Series 3312, Class FN, 4.32% (30 day avg SOFR US + 0.33%), 07/15/2036 | 442617 | 436533 |
| &nbsp;&nbsp; Series 3317, Class F, 4.50% (30 day avg SOFR US + 0.51%), 07/15/2036 | 338019 | 335385 |
| &nbsp;&nbsp; Series 3320, Class FC, 4.27% (30 day avg SOFR US + 0.28%), 05/15/2037 | 12111 | 12056 |
| &nbsp;&nbsp; Series 3355, Class AF, 4.60% (30 day avg SOFR US + 0.61%), 08/15/2037 | 1168530 | 1162649 |
| &nbsp;&nbsp; Series 3378, Class FA, 4.68% (30 day avg SOFR US + 0.69%), 06/15/2037 | 6037 | 6025 |
| &nbsp;&nbsp; Series 3404, Class AF, 4.95% (30 day avg SOFR US + 0.97%), 01/15/2038 | 43648 | 43952 |
| &nbsp;&nbsp; Series 3423, Class PF, 4.80% (30 day avg SOFR US + 0.81%), 03/15/2038 | 13090 | 13102 |
| &nbsp;&nbsp; Series 3501, Class FC, 5.25% (30 day avg SOFR US + 1.26%), 01/15/2039 | 778748 | 792583 |
| &nbsp;&nbsp; Series 3567, Class F, 4.85% (30 day avg SOFR US + 1.36%), 02/15/2038 | 144381 | 133130 |
| &nbsp;&nbsp; Series 3666, Class FC, 4.83% (30 day avg SOFR US + 0.84%), 05/15/2040 | 175077 | 175432 |
| &nbsp;&nbsp; Series 3747, Class UF, 4.58% (30 day avg SOFR US + 0.59%), 10/15/2040 | 1319623 | 1307948 |
| &nbsp;&nbsp; Series 3758, Class F, 4.57% (30 day avg SOFR US + 0.58%), 11/15/2040 | 911688 | 904717 |
| &nbsp;&nbsp; Series 3772, Class ND, 4.50%, 11/15/2040 | 60941 | 60604 |
| &nbsp;&nbsp; Series 3786, Class SG, 1.30% (-2 x 30 day avg SOFR US + 9.27%), 01/15/2041 <sup>(f)</sup> | 717272 | 543537 |
| &nbsp;&nbsp; Series 3795, Class FA, 4.72% (30 day avg SOFR US + 0.73%), 01/15/2041 | 2409548 | 2406243 |
| &nbsp;&nbsp; Series 3812, Class US, 1.10% (-2 x 30 day avg SOFR US + 9.07%), 02/15/2041 <sup>(f)</sup> | 92710 | 80318 |
| &nbsp;&nbsp; Series 3815, Class DS, 1.66% (-3 x 30 day avg SOFR US + 13.61%), 02/15/2041 <sup>(f)</sup> | 250624 | 245109 |
| &nbsp;&nbsp; Series 3822, Class FC, 4.51% (30 day avg SOFR US + 0.52%), 03/15/2041 | 398885 | 395706 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) |
| &nbsp;&nbsp; Series 3822, Class FY, 4.50% (30 day avg SOFR US + 0.51%), 02/15/2033 | 240506 | 239844 |
| &nbsp;&nbsp; Series 3835, Class FO, 0.00%, 04/15/2041 <sup>(g)</sup> | 2942655 | 2342415 |
| &nbsp;&nbsp; Series 3864, Class US, 0.92% (-2 x 30 day avg SOFR US + 8.97%), 05/15/2041 <sup>(f)</sup> | 726605 | 606639 |
| &nbsp;&nbsp; Series 3954, Class PF, 4.60% (30 day avg SOFR US + 0.61%), 07/15/2041 | 130768 | 130275 |
| &nbsp;&nbsp; Series 3964, Class MY, 4.00%, 11/15/2041 <sup>(e)</sup> | 183000 | 168675 |
| &nbsp;&nbsp; Series 3967, Class AL, 2.50%, 12/15/2041 | 161427 | 148304 |
| &nbsp;&nbsp; Series 3997, Class FQ, 4.60% (30 day avg SOFR US + 0.61%), 02/15/2042 | 1566631 | 1553671 |
| &nbsp;&nbsp; Series 4020, Class EF, 4.55% (30 day avg SOFR US + 0.56%), 02/15/2042 | 421599 | 418253 |
| &nbsp;&nbsp; Series 4026, Class GA, 2.00%, 09/15/2041 | 267457 | 254617 |
| &nbsp;&nbsp; Series 4032, Class WO, 0.00%, 04/15/2039 <sup>(g)</sup> | 181553 | 144690 |
| &nbsp;&nbsp; Series 4039, Class FA, 4.60% (30 day avg SOFR US + 0.61%), 05/15/2042 | 554480 | 550160 |
| &nbsp;&nbsp; Series 4048, Class FB, 4.50% (30 day avg SOFR US + 0.51%), 10/15/2041 | 308093 | 306588 |
| &nbsp;&nbsp; Series 406, Class F15, 5.32% (30 day avg SOFR US + 1.45%), 10/25/2053 | 1924102 | 1941075 |
| &nbsp;&nbsp; Series 406, Class F30, 5.02% (30 day avg SOFR US + 1.15%), 10/25/2053 | 3907450 | 3933380 |
| &nbsp;&nbsp; Series 4061, Class SL, 0.00% (-2 x 30 day avg SOFR US + 6.86%), 06/15/2042 <sup>(f)(i)</sup> | 44323 | 21790 |
| &nbsp;&nbsp; Series 4068, Class FA, 4.55% (30 day avg SOFR US + 0.56%), 06/15/2042 | 1429116 | 1414198 |
| &nbsp;&nbsp; Series 4074, Class KF, 4.40% (30 day avg SOFR US + 0.41%), 02/15/2041 | 2600 | 2599 |
| &nbsp;&nbsp; Series 4076, Class LF, 4.40% (30 day avg SOFR US + 0.41%), 07/15/2042 | 184260 | 181556 |
| &nbsp;&nbsp; Series 4076, Class QB, 1.75%, 11/15/2041 | 27226 | 26962 |
| &nbsp;&nbsp; Series 4087, Class FB, 4.57% (30 day avg SOFR US + 0.58%), 07/15/2042 | 78001 | 77245 |
| &nbsp;&nbsp; Series 4094, Class CF, 4.60% (30 day avg SOFR US + 0.61%), 08/15/2042 | 272443 | 269480 |
| &nbsp;&nbsp; Series 4096, Class KF, 4.60% (30 day avg SOFR US + 0.61%), 08/15/2042 | 3789847 | 3751956 |
| &nbsp;&nbsp; Series 4103, Class FB, 4.55% (30 day avg SOFR US + 0.56%), 09/15/2042 | 1471806 | 1453412 |
| &nbsp;&nbsp; Series 4108, Class FC, 4.50% (30 day avg SOFR US + 0.51%), 09/15/2042 | 2409456 | 2376311 |
| &nbsp;&nbsp; Series 4111, Class AF, 4.50% (30 day avg SOFR US + 0.51%), 09/15/2042 | 1684322 | 1659484 |
| &nbsp;&nbsp; Series 4122, Class SC, 0.70% (-2 x 30 day avg SOFR US + 7.67%), 10/15/2042 <sup>(f)</sup> | 1095914 | 705055 |
| &nbsp;&nbsp; Series 4125, Class FA, 4.45% (30 day avg SOFR US + 0.46%), 11/15/2042 | 4383532 | 4310955 |
| &nbsp;&nbsp; Series 413, Class F26, 5.07% (30 day avg SOFR US + 1.20%), 05/25/2054 | 1005936 | 1009543 |
| &nbsp;&nbsp; Series 413, Class F44, 4.82% (30 day avg SOFR US + 0.95%), 05/25/2054 | 1009222 | 1011618 |
| &nbsp;&nbsp; Series 4136, Class DF, 4.40% (30 day avg SOFR US + 0.41%), 11/15/2042 | 342747 | 335874 |
| &nbsp;&nbsp; Series 4143, Class KF, 4.67% (30 day avg SOFR US + 0.46%), 09/15/2037 | 538059 | 525262 |
| &nbsp;&nbsp; Series 4171, Class NG, 2.00%, 06/15/2042 | 14435 | 13431 |
| &nbsp;&nbsp; Series 4204, Class AB, 3.00%, 05/15/2043 | 58125 | 46167 |
| &nbsp;&nbsp; Series 4248, Class FL, 4.55% (30 day avg SOFR US + 0.56%), 05/15/2041 | 240315 | 238726 |
| &nbsp;&nbsp; Series 4263, Class AF, 4.50% (30 day avg SOFR US + 0.51%), 11/15/2043 | 2457160 | 2434122 |
| &nbsp;&nbsp; Series 4267, Class PO, 0.00%, 03/15/2041 <sup>(g)</sup> | 2860444 | 2300280 |
| &nbsp;&nbsp; Series 4316, Class JF, 4.50% (30 day avg SOFR US + 0.51%), 01/15/2044 | 905844 | 896437 |
| &nbsp;&nbsp; Series 4347, Class EF, 4.60% (30 day avg SOFR US + 0.61%), 06/15/2054 | 4485262 | 4420879 |
| &nbsp;&nbsp; Series 4351, Class PO, 0.00%, 06/15/2044 <sup>(g)</sup> | 1046906 | 807425 |
| &nbsp;&nbsp; Series 4378, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 08/15/2044 | 2924429 | 2875519 |
| &nbsp;&nbsp; Series 4385, Class FM, 4.50% (30 day avg SOFR US + 0.51%), 11/15/2043 | 2455369 | 2422903 |
| &nbsp;&nbsp; Series 4400, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 02/15/2041 | 297822 | 294903 |
| &nbsp;&nbsp; Series 4407, Class CF, 4.40% (30 day avg SOFR US + 0.41%), 06/15/2044 | 1620199 | 1600713 |
| &nbsp;&nbsp; Series 4431, Class FT, 4.50% (30 day avg SOFR US + 0.51%), 01/15/2045 | 1257076 | 1237075 |
| &nbsp;&nbsp; Series 4436, Class FC, 4.45% (30 day avg SOFR US + 0.46%), 02/15/2045 | 118901 | 116681 |
| &nbsp;&nbsp; Series 4482, Class FD, 4.40% (30 day avg SOFR US + 0.41%), 06/15/2045 | 2693351 | 2636542 |
| &nbsp;&nbsp; Series 4503, Class FA, 4.67% (30 day avg SOFR US + 0.46%), 02/15/2042 | 757454 | 739181 |
| &nbsp;&nbsp; Series 4508, Class CF, 4.50% (30 day avg SOFR US + 0.51%), 09/15/2045 | 277413 | 275010 |
| &nbsp;&nbsp; Series 4606, Class FB, 4.60% (30 day avg SOFR US + 0.61%), 08/15/2046 | 779256 | 769820 |
| &nbsp;&nbsp; Series 4615, Class GT, 0.00% (-4 x 30 day avg SOFR US + 15.54%), 10/15/2042 <sup>(f)(i)</sup> | 941552 | 754468 |
| &nbsp;&nbsp; Series 4620, Class AF, 4.76% (30 day avg SOFR US + 0.55%), 11/15/2042 | 133596 | 132368 |
| &nbsp;&nbsp; Series 4621, Class HK, 2.00%, 10/15/2046 <sup>(e)</sup> | 271600 | 220675 |
| &nbsp;&nbsp; Series 4628, Class KF, 4.60% (30 day avg SOFR US + 0.61%), 01/15/2055 | 417382 | 408927 |
| &nbsp;&nbsp; Series 4663, Class PH, 2.50%, 03/15/2047 | 100054 | 86872 |
| &nbsp;&nbsp; Series 4678, Class AF, 4.72% (30 day avg SOFR US + 0.51%), 12/15/2042 | 532926 | 526508 |
| &nbsp;&nbsp; Series 4691, Class FA, 4.45% (30 day avg SOFR US + 0.46%), 06/15/2047 | 347004 | 340114 |
| &nbsp;&nbsp; Series 4708, Class F, 4.40% (30 day avg SOFR US + 0.41%), 08/15/2047 | 497749 | 486974 |
| &nbsp;&nbsp; Series 4710, Class TN, 3.00%, 08/15/2047 | 645167 | 577630 |
| &nbsp;&nbsp; Series 4712, Class FA, 4.45% (30 day avg SOFR US + 0.46%), 08/15/2047 | 942125 | 921918 |
| &nbsp;&nbsp; Series 4722, Class FA, 4.64% (30 day avg SOFR US + 0.43%), 05/15/2038 | 1840361 | 1783531 |
| &nbsp;&nbsp; Series 4774, Class BF, 4.40% (30 day avg SOFR US + 0.41%), 02/15/2048 | 1154618 | 1124902 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) |
| &nbsp;&nbsp; Series 4775, Class MP, 3.00%, 02/15/2048 <sup>(e)</sup> | 301004 | 257829 |
| &nbsp;&nbsp; Series 4790, Class F, 4.29% (30 day avg SOFR US + 0.30%), 10/15/2043 | 2042603 | 2000789 |
| &nbsp;&nbsp; Series 4793, Class CB, 3.00%, 05/15/2048 | 33209 | 30203 |
| &nbsp;&nbsp; Series 4804, Class MF, 4.45% (30 day avg SOFR US + 0.46%), 06/15/2048 | 3543735 | 3462146 |
| &nbsp;&nbsp; Series 4813, Class CJ, 3.00%, 08/15/2048 | 201711 | 179844 |
| &nbsp;&nbsp; Series 4820, Class FB, 4.45% (30 day avg SOFR US + 0.46%), 08/15/2048 | 194727 | 189767 |
| &nbsp;&nbsp; Series 4821, Class FA, 4.40% (30 day avg SOFR US + 0.41%), 07/15/2048 | 466017 | 453624 |
| &nbsp;&nbsp; Series 4831, Class FD, 4.40% (30 day avg SOFR US + 0.41%), 10/15/2048 | 786595 | 766362 |
| &nbsp;&nbsp; Series 4839, Class WO, 0.00%, 08/15/2056 <sup>(g)</sup> | 27304152 | 17592502 |
| &nbsp;&nbsp; Series 4842, Class FA, 4.45% (30 day avg SOFR US + 0.46%), 11/15/2048 | 587778 | 573912 |
| &nbsp;&nbsp; Series 4844, Class F, 4.50% (30 day avg SOFR US + 0.51%), 11/15/2048 | 1323322 | 1294371 |
| &nbsp;&nbsp; Series 4846, Class PA, 4.00%, 06/15/2047 | 5225 | 5217 |
| &nbsp;&nbsp; Series 4851, Class KF, 4.50% (30 day avg SOFR US + 0.51%), 08/15/2057 | 8579131 | 8379029 |
| &nbsp;&nbsp; Series 4851, Class PO, 0.00%, 08/15/2057 <sup>(g)</sup> | 5915779 | 3811532 |
| &nbsp;&nbsp; Series 4867, Class FA, 4.50% (30 day avg SOFR US + 0.51%), 03/15/2049 | 165482 | 164050 |
| &nbsp;&nbsp; Series 4875, Class F, 4.55% (30 day avg SOFR US + 0.56%), 04/15/2049 | 1588267 | 1558692 |
| &nbsp;&nbsp; Series 4882, Class F, 4.55% (30 day avg SOFR US + 0.56%), 05/15/2049 | 1971453 | 1932411 |
| &nbsp;&nbsp; Series 4882, Class FA, 4.55% (30 day avg SOFR US + 0.56%), 05/15/2049 | 2428606 | 2383945 |
| &nbsp;&nbsp; Series 4906, Class FA, 4.44% (30 day avg SOFR US + 0.56%), 09/25/2049 | 482548 | 474736 |
| &nbsp;&nbsp; Series 4911, Class FB, 4.44% (30 day avg SOFR US + 0.56%), 09/25/2049 | 1060145 | 1040899 |
| &nbsp;&nbsp; Series 4912, Class PA, 2.00%, 06/25/2049 | 156292 | 132572 |
| &nbsp;&nbsp; Series 4913, Class UF, 4.55% (30 day avg SOFR US + 0.56%), 03/15/2049 | 1313005 | 1285895 |
| &nbsp;&nbsp; Series 4918, Class F, 4.44% (30 day avg SOFR US + 0.56%), 10/25/2049 | 5395975 | 5298702 |
| &nbsp;&nbsp; Series 4921, Class FN, 4.44% (30 day avg SOFR US + 0.56%), 10/25/2049 | 707467 | 692731 |
| &nbsp;&nbsp; Series 4921, Class NB, 1.75%, 08/25/2049 | 213039 | 180327 |
| &nbsp;&nbsp; Series 4925, Class FY, 4.44% (30 day avg SOFR US + 0.56%), 10/25/2049 | 240549 | 235532 |
| &nbsp;&nbsp; Series 4930, Class FG, 4.44% (30 day avg SOFR US + 0.56%), 11/25/2049 | 514976 | 504218 |
| &nbsp;&nbsp; Series 4930, Class FJ, 4.44% (30 day avg SOFR US + 0.56%), 11/25/2049 | 503358 | 492810 |
| &nbsp;&nbsp; Series 4936, Class DE, 2.50%, 12/25/2049 | 1852368 | 1617910 |
| &nbsp;&nbsp; Series 4939, Class CF, 4.49% (30 day avg SOFR US + 0.61%), 12/25/2049 | 1481410 | 1462744 |
| &nbsp;&nbsp; Series 4942, Class OQ, 0.00%, 04/15/2053 <sup>(g)</sup> | 1734841 | 1459539 |
| &nbsp;&nbsp; Series 4943, Class JP, 2.50%, 09/25/2049 | 295007 | 260495 |
| &nbsp;&nbsp; Series 4960, Class PD, 2.00%, 10/25/2049 | 187369 | 160812 |
| &nbsp;&nbsp; Series 4981, Class GF, 4.39% (30 day avg SOFR US + 0.51%), 06/25/2050 | 1827772 | 1794368 |
| &nbsp;&nbsp; Series 4981, Class JF, 4.39% (30 day avg SOFR US + 0.51%), 06/25/2050 | 2175063 | 2128989 |
| &nbsp;&nbsp; Series 4982, Class F, 4.44% (30 day avg SOFR US + 0.56%), 06/25/2050 | 2048896 | 2008716 |
| &nbsp;&nbsp; Series 4990, Class FN, 4.34% (30 day avg SOFR US + 0.46%), 05/25/2050 | 360163 | 350240 |
| &nbsp;&nbsp; Series 4993, Class KF, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2050 | 2465094 | 2405620 |
| &nbsp;&nbsp; Series 4993, Class UG, 1.50%, 07/25/2050 | 89569 | 51586 |
| &nbsp;&nbsp; Series 5003, Class PA, 1.50%, 08/25/2050 | 1514777 | 1211710 |
| &nbsp;&nbsp; Series 5004, Class FM, 4.34% (30 day avg SOFR US + 0.46%), 08/25/2050 | 431430 | 418111 |
| &nbsp;&nbsp; Series 5019, Class PC, 1.00%, 10/25/2050 | 4325106 | 3334988 |
| &nbsp;&nbsp; Series 5019, Class PL, 1.00%, 10/25/2050 | 2536530 | 1955859 |
| &nbsp;&nbsp; Series 5020, Class HA, 1.00%, 08/25/2050 | 700883 | 549271 |
| &nbsp;&nbsp; Series 5034, Class KL, 1.25%, 11/25/2050 | 818051 | 621257 |
| &nbsp;&nbsp; Series 5035, Class HM, 1.00%, 10/25/2050 | 430495 | 216098 |
| &nbsp;&nbsp; Series 5037, Class QC, 2.00%, 11/25/2050 | 72872 | 48215 |
| &nbsp;&nbsp; Series 5038, Class JP, 0.75%, 10/25/2050 | 9684893 | 7073402 |
| &nbsp;&nbsp; Series 5038, Class PJ, 0.75%, 10/25/2050 | 520381 | 381379 |
| &nbsp;&nbsp; Series 5053, Class KC, 1.00%, 12/25/2050 | 2080612 | 1546951 |
| &nbsp;&nbsp; Series 5056, Class P, 0.75%, 12/25/2050 | 15655536 | 12289240 |
| &nbsp;&nbsp; Series 5057, Class KW, 2.00%, 03/25/2048 | 198880 | 171172 |
| &nbsp;&nbsp; Series 5058, Class LW, 1.25%, 01/25/2051 | 96630 | 46361 |
| &nbsp;&nbsp; Series 5058, Class PM, 0.75%, 12/25/2050 | 1733948 | 1265284 |
| &nbsp;&nbsp; Series 5060, Class DP, 1.00%, 11/25/2050 | 2952944 | 2271224 |
| &nbsp;&nbsp; Series 5060, Class EP, 1.00%, 12/25/2050 | 2633520 | 2024666 |
| &nbsp;&nbsp; Series 5062, Class PA, 1.25%, 01/25/2051 | 1436207 | 1086356 |
| &nbsp;&nbsp; Series 5068, Class AB, 1.00%, 11/25/2050 | 963206 | 748182 |
| &nbsp;&nbsp; Series 5068, Class GE, 1.00%, 11/25/2050 | 319312 | 258304 |
| &nbsp;&nbsp; Series 5070, Class DP, 1.00%, 08/25/2050 | 201560 | 150619 |
| &nbsp;&nbsp; Series 5070, Class EP, 1.00%, 09/25/2050 | 3105278 | 2388405 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) | Federal Home Loan Mortgage Corp. (Continued) |
| &nbsp;&nbsp; Series 5071, Class ET, 1.00%, 02/25/2051 | 85291 | 61535 |
| &nbsp;&nbsp; Series 5071, Class GP, 2.00%, 02/25/2051 | 336610 | 294598 |
| &nbsp;&nbsp; Series 5078, Class GJ, 0.75%, 02/25/2051 | 509719 | 385283 |
| &nbsp;&nbsp; Series 5078, Class HA, 1.50%, 02/25/2051 | 421148 | 201235 |
| &nbsp;&nbsp; Series 5081, Class DC, 1.00%, 03/25/2051 | 1035290 | 774116 |
| &nbsp;&nbsp; Series 5082, Class UA, 2.00%, 03/25/2051 | 3024561 | 2392972 |
| &nbsp;&nbsp; Series 5083, Class CA, 1.00%, 10/25/2050 | 440129 | 343341 |
| &nbsp;&nbsp; Series 5085, Class LC, 0.75%, 03/25/2051 | 198495 | 148992 |
| &nbsp;&nbsp; Series 5087, Class PD, 0.75%, 03/25/2051 | 1202763 | 906618 |
| &nbsp;&nbsp; Series 5092, Class AS, 2.00%, 04/25/2051 | 86528 | 42202 |
| &nbsp;&nbsp; Series 5093, Class VC, 1.50%, 12/25/2050 | 405412 | 334017 |
| &nbsp;&nbsp; Series 5099, Class GE, 1.75%, 09/25/2050 | 8225909 | 6704974 |
| &nbsp;&nbsp; Series 5101, Class CE, 1.00%, 02/25/2051 | 1146745 | 873613 |
| &nbsp;&nbsp; Series 5109, Class CD, 2.00%, 05/25/2051 | 294934 | 175602 |
| &nbsp;&nbsp; Series 5119, Class AB, 1.50%, 08/25/2049 | 367487 | 300720 |
| &nbsp;&nbsp; Series 5119, Class QF, 4.07% (30 day avg SOFR US + 0.20%), 06/25/2051 | 7833747 | 7467189 |
| &nbsp;&nbsp; Series 5131, Class TG, 1.00%, 04/25/2049 | 134111 | 115433 |
| &nbsp;&nbsp; Series 5132, Class PA, 1.00%, 08/25/2051 | 1127813 | 939004 |
| &nbsp;&nbsp; Series 5151, Class GC, 1.50%, 10/25/2051 | 83631 | 33384 |
| &nbsp;&nbsp; Series 5153, Class PA, 1.00%, 10/25/2051 | 496293 | 416769 |
| &nbsp;&nbsp; Series 5181, Class EA, 1.88%, 05/25/2050 | 10905424 | 8917371 |
| &nbsp;&nbsp; Series 5201, Class JC, 2.25%, 02/25/2052 | 693808 | 621026 |
| &nbsp;&nbsp; Series 5245, Class FE, 4.52% (30 day avg SOFR US + 0.65%), 08/25/2052 | 31999333 | 31554094 |
| &nbsp;&nbsp; Series 5257, Class FB, 4.57% (30 day avg SOFR US + 0.70%), 09/25/2052 | 58286507 | 57328201 |
| &nbsp;&nbsp; Series 5328, Class JY, 0.25%, 09/25/2050 | 644205 | 453757 |
| &nbsp;&nbsp; Series 5341, Class AO, 0.00%, 06/25/2050 <sup>(g)</sup> | 694554 | 501745 |
| &nbsp;&nbsp; Series 5438, Class FB, 4.77% (30 day avg SOFR US + 0.90%), 08/25/2054 | 642240 | 643144 |
| &nbsp;&nbsp; Series 5458, Class DF, 4.97% (30 day avg SOFR US + 1.10%), 10/25/2054 | 549688 | 550813 |
| &nbsp;&nbsp; Series 5460, Class FN, 4.97% (30 day avg SOFR US + 1.10%), 10/25/2054 | 837034 | 838793 |
| &nbsp;&nbsp; Series 5468, Class MF, 5.17% (30 day avg SOFR US + 1.30%), 11/25/2054 | 562759 | 566173 |
| &nbsp;&nbsp; Series 5472, Class FB, 5.02% (30 day avg SOFR US + 1.15%), 11/25/2054 | 172822 | 173293 |
| &nbsp;&nbsp; Series 5473, Class BF, 5.17% (30 day avg SOFR US + 1.30%), 11/25/2054 | 403367 | 405619 |
| &nbsp;&nbsp; Series 5473, Class FA, 4.97% (30 day avg SOFR US + 1.10%), 11/25/2054 | 384049 | 384790 |
| &nbsp;&nbsp; Series 5475, Class FA, 4.97% (30 day avg SOFR US + 1.10%), 11/25/2054 | 498212 | 499199 |
| &nbsp;&nbsp; Series 5482, Class FC, 5.17% (30 day avg SOFR US + 1.30%), 12/25/2054 | 513659 | 516737 |
| &nbsp;&nbsp; Series 5483, Class FD, 5.17% (30 day avg SOFR US + 1.30%), 12/25/2054 | 583357 | 586805 |
| &nbsp;&nbsp; Series 5484, Class FD, 5.02% (30 day avg SOFR US + 1.15%), 12/25/2054 | 360406 | 361562 |
| &nbsp;&nbsp; Series 5498, Class FC, 5.02% (30 day avg SOFR US + 1.15%), 01/25/2055 | 513698 | 515467 |
| &nbsp;&nbsp; Series 5500, Class FW, 5.07% (30 day avg SOFR US + 1.20%), 10/25/2054 | 571480 | 573683 |
| &nbsp;&nbsp; Series 5502, Class FG, 4.87% (30 day avg SOFR US + 1.00%), 02/25/2055 | 801907 | 802216 |
| &nbsp;&nbsp; Series 5511, Class QF, 5.22% (30 day avg SOFR US + 1.35%), 03/25/2055 | 972750 | 979999 |
| &nbsp;&nbsp; Series 5517, Class FE, 4.82% (30 day avg SOFR US + 0.95%), 03/25/2055 | 317716 | 318905 |
| &nbsp;&nbsp; Series 5517, Class XF, 5.27% (30 day avg SOFR US + 1.40%), 03/25/2055 | 79179 | 79560 |
| &nbsp;&nbsp; Series 5524, Class FA, 5.07% (30 day avg SOFR US + 1.20%), 04/25/2055 | 1060961 | 1059094 |
| &nbsp;&nbsp; Series 5524, Class FB, 5.07% (30 day avg SOFR US + 1.20%), 04/25/2055 | 461681 | 460992 |
| &nbsp;&nbsp; Series 5542, Class FL, 5.12% (30 day avg SOFR US + 1.25%), 05/25/2055 | 1226252 | 1234981 |
| &nbsp;&nbsp; Series T-42, Class A5, 7.50%, 02/25/2042 | 114601 | 123946 |
| &nbsp;&nbsp; Series T-76, Class 2A, 2.20%, 10/25/2037 <sup>(b)</sup> | 285401 | 263708 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; Series 2002-26, Class A3, 5.24%, 06/25/2041 <sup>(b)</sup> | 508125 | 512789 |
| &nbsp;&nbsp; Series 2002-8, Class FE, 4.74% (30 day avg SOFR US + 0.86%), 03/25/2032 | 27065 | 27192 |
| &nbsp;&nbsp; Series 2002-9, Class FB, 4.74% (30 day avg SOFR US + 0.86%), 03/25/2032 | 28952 | 28433 |
| &nbsp;&nbsp; Series 2003-25, Class KP, 5.00%, 04/25/2033 | 4666 | 4678 |
| &nbsp;&nbsp; Series 2004-17, Class FT, 4.39% (30 day avg SOFR US + 0.51%), 04/25/2034 | 233641 | 232663 |
| &nbsp;&nbsp; Series 2004-25, Class FA, 4.39% (30 day avg SOFR US + 0.51%), 04/25/2034 | 15172 | 15103 |
| &nbsp;&nbsp; Series 2004-51, Class XO, 0.00%, 07/25/2034 <sup>(g)</sup> | 243027 | 216244 |
| &nbsp;&nbsp; Series 2005-25, Class PF, 4.34% (30 day avg SOFR US + 0.46%), 04/25/2035 | 323801 | 320992 |
| &nbsp;&nbsp; Series 2005-66, Class FD, 4.29% (30 day avg SOFR US + 0.41%), 07/25/2035 | 74218 | 73452 |
| &nbsp;&nbsp; Series 2005-82, Class FY, 4.26% (30 day avg SOFR US + 0.38%), 09/25/2035 | 222406 | 220630 |
| &nbsp;&nbsp; Series 2006-101, Class FD, 4.29% (30 day avg SOFR US + 0.41%), 07/25/2036 | 24282 | 24200 |
| &nbsp;&nbsp; Series 2006-112, Class LF, 4.54% (30 day avg SOFR US + 0.66%), 11/25/2036 | 726084 | 723011 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| &nbsp;&nbsp; Series 2006-115, Class AF, 4.23% (30 day avg SOFR US + 0.35%), 12/25/2036 | 61002 | 60189 |
| &nbsp;&nbsp; Series 2006-118, Class A1, 4.25% (30 day avg SOFR US + 0.17%), 12/25/2036 | 1135228 | 1109684 |
| &nbsp;&nbsp; Series 2006-16, Class FA, 4.29% (30 day avg SOFR US + 0.41%), 03/25/2036 | 207402 | 205533 |
| &nbsp;&nbsp; Series 2006-20, Class GF, 4.34% (30 day avg SOFR US + 0.46%), 04/25/2036 | 91530 | 90717 |
| &nbsp;&nbsp; Series 2006-23, Class BD, 1.00%, 04/25/2036 | 307205 | 272307 |
| &nbsp;&nbsp; Series 2006-42, Class CF, 4.44% (30 day avg SOFR US + 0.56%), 06/25/2036 | 64653 | 64300 |
| &nbsp;&nbsp; Series 2006-44, Class FY, 4.56% (30 day avg SOFR US + 0.68%), 06/25/2036 | 427778 | 427038 |
| &nbsp;&nbsp; Series 2006-72, Class TE, 4.29% (30 day avg SOFR US + 0.41%), 08/25/2036 | 82879 | 82036 |
| &nbsp;&nbsp; Series 2006-90, Class BO, 0.00%, 09/25/2036 <sup>(g)</sup> | 394430 | 348666 |
| &nbsp;&nbsp; Series 2006-94, Class GF, 4.34% (30 day avg SOFR US + 0.46%), 10/25/2026 | 20941 | 20937 |
| &nbsp;&nbsp; Series 2007-100, Class KF, 4.54% (30 day avg SOFR US + 0.66%), 10/25/2037 | 637691 | 635509 |
| &nbsp;&nbsp; Series 2007-106, Class FM, 4.53% (30 day avg SOFR US + 0.65%), 11/25/2037 | 593892 | 591745 |
| &nbsp;&nbsp; Series 2007-109, Class NF, 4.54% (30 day avg SOFR US + 0.66%), 12/25/2037 | 227723 | 226942 |
| &nbsp;&nbsp; Series 2007-117, Class MF, 4.69% (30 day avg SOFR US + 0.81%), 01/25/2038 | 79377 | 79535 |
| &nbsp;&nbsp; Series 2007-4, Class DF, 4.43% (30 day avg SOFR US + 0.56%), 02/25/2037 | 384426 | 381436 |
| &nbsp;&nbsp; Series 2007-43, Class EB, 4.22% (30 day avg SOFR US + 0.34%), 05/25/2037 | 315820 | 311614 |
| &nbsp;&nbsp; Series 2007-65, Class KF, 4.37% (30 day avg SOFR US + 0.49%), 07/25/2037 | 21647 | 21442 |
| &nbsp;&nbsp; Series 2007-85, Class FL, 4.53% (30 day avg SOFR US + 0.65%), 09/25/2037 | 537230 | 535281 |
| &nbsp;&nbsp; Series 2007-86, Class FA, 4.44% (30 day avg SOFR US + 0.56%), 09/25/2037 | 571010 | 567882 |
| &nbsp;&nbsp; Series 2007-91, Class FB, 4.59% (30 day avg SOFR US + 0.71%), 10/25/2037 | 1059544 | 1057942 |
| &nbsp;&nbsp; Series 2007-91, Class JF, 4.59% (30 day avg SOFR US + 0.71%), 10/25/2037 | 184198 | 183912 |
| &nbsp;&nbsp; Series 2007-95, Class A2, 4.46% (30 day avg SOFR US + 0.36%), 08/27/2036 | 1902035 | 1926882 |
| &nbsp;&nbsp; Series 2007-96, Class AF, 4.71% (30 day avg SOFR US + 0.83%), 06/25/2037 | 85121 | 85302 |
| &nbsp;&nbsp; Series 2008-15, Class FJ, 4.69% (30 day avg SOFR US + 0.81%), 03/25/2038 | 1784280 | 1787205 |
| &nbsp;&nbsp; Series 2008-67, Class FG, 4.99% (30 day avg SOFR US + 1.11%), 07/25/2038 | 354447 | 359046 |
| &nbsp;&nbsp; Series 2009-106, Class FA, 4.74% (30 day avg SOFR US + 0.86%), 01/25/2040 | 343246 | 344271 |
| &nbsp;&nbsp; Series 2009-110, Class FG, 4.74% (30 day avg SOFR US + 0.86%), 01/25/2040 | 412100 | 413093 |
| &nbsp;&nbsp; Series 2010-52, Class F, 4.64% (30 day avg SOFR US + 0.76%), 05/25/2040 | 509978 | 510098 |
| &nbsp;&nbsp; Series 2010-54, Class BF, 4.39% (30 day avg SOFR US + 0.51%), 06/25/2036 | 142065 | 141003 |
| &nbsp;&nbsp; Series 2010-61, Class PO, 0.00%, 03/25/2040 <sup>(g)</sup> | 111606 | 90904 |
| &nbsp;&nbsp; Series 2010-68, Class FA, 4.99% (30 day avg SOFR US + 1.11%), 07/25/2040 | 245474 | 247887 |
| &nbsp;&nbsp; Series 2010-95, Class FB, 4.39% (30 day avg SOFR US + 0.51%), 09/25/2040 | 1160002 | 1152800 |
| &nbsp;&nbsp; Series 2011-118, Class CF, 4.49% (30 day avg SOFR US + 0.61%), 10/25/2039 | 30517 | 30418 |
| &nbsp;&nbsp; Series 2011-126, Class WA, 2.50%, 12/25/2041 | 166609 | 147023 |
| &nbsp;&nbsp; Series 2011-130, Class KO, 0.00%, 12/25/2041 <sup>(g)</sup> | 100599 | 80981 |
| &nbsp;&nbsp; Series 2011-146, Class UF, 4.99% (30 day avg SOFR US + 1.11%), 01/25/2042 | 803216 | 798436 |
| &nbsp;&nbsp; Series 2011-40, Class SB, 0.00% (-3 x 30 day avg SOFR US + 9.91%), 11/25/2040 <sup>(f)(i)</sup> | 42394 | 33170 |
| &nbsp;&nbsp; Series 2011-51, Class FM, 4.64% (30 day avg SOFR US + 0.76%), 06/25/2041 | 727324 | 726440 |
| &nbsp;&nbsp; Series 2011-55, Class FH, 4.43% (30 day avg SOFR US + 0.55%), 06/25/2041 | 726495 | 721281 |
| &nbsp;&nbsp; Series 2011-57, Class FE, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2041 | 2646939 | 2626773 |
| &nbsp;&nbsp; Series 2011-57, Class FT, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2041 | 2079439 | 2063291 |
| &nbsp;&nbsp; Series 2011-59, Class FA, 4.59% (30 day avg SOFR US + 0.71%), 07/25/2041 | 421300 | 420235 |
| &nbsp;&nbsp; Series 2011-63, Class FA, 4.57% (30 day avg SOFR US + 0.69%), 07/25/2041 | 442875 | 441450 |
| &nbsp;&nbsp; Series 2011-71, Class FA, 4.61% (30 day avg SOFR US + 0.73%), 12/25/2036 | 148975 | 148866 |
| &nbsp;&nbsp; Series 2011-86, Class NF, 4.54% (30 day avg SOFR US + 0.66%), 09/25/2041 | 158459 | 157905 |
| &nbsp;&nbsp; Series 2011-96, Class PF, 4.49% (30 day avg SOFR US + 0.61%), 10/25/2041 | 1286421 | 1274839 |
| &nbsp;&nbsp; Series 2012-103, Class NF, 4.39% (30 day avg SOFR US + 0.51%), 09/25/2042 | 718255 | 708674 |
| &nbsp;&nbsp; Series 2012-120, Class QB, 2.50%, 08/25/2042 | 50000 | 42132 |
| &nbsp;&nbsp; Series 2012-122, Class FM, 4.39% (30 day avg SOFR US + 0.51%), 11/25/2042 | 622884 | 613890 |
| &nbsp;&nbsp; Series 2012-128, Class HS, 0.02% (-2 x 30 day avg SOFR US + 5.83%), 11/25/2042 <sup>(f)</sup> | 148366 | 108320 |
| &nbsp;&nbsp; Series 2012-146, Class QA, 1.00%, 01/25/2043 | 62163 | 54501 |
| &nbsp;&nbsp; Series 2012-15, Class BF, 4.54% (30 day avg SOFR US + 0.66%), 03/25/2042 | 152338 | 151298 |
| &nbsp;&nbsp; Series 2012-15, Class KB, 3.50%, 03/25/2042 | 70000 | 65867 |
| &nbsp;&nbsp; Series 2012-27, Class FA, 4.56% (30 day avg SOFR US + 0.68%), 03/25/2042 | 101108 | 100495 |
| &nbsp;&nbsp; Series 2012-39, Class FK, 4.49% (30 day avg SOFR US + 0.61%), 04/25/2042 | 485602 | 481623 |
| &nbsp;&nbsp; Series 2012-40, Class LX, 0.00% (-2 x 30 day avg SOFR US + 6.69%), 04/25/2042 <sup>(f)(i)</sup> | 203214 | 129261 |
| &nbsp;&nbsp; Series 2012-6, Class F, 4.49% (30 day avg SOFR US + 0.61%), 02/25/2042 | 612019 | 607356 |
| &nbsp;&nbsp; Series 2012-65, Class FB, 4.51% (30 day avg SOFR US + 0.63%), 06/25/2042 | 186972 | 185526 |
| &nbsp;&nbsp; Series 2012-66, Class FB, 4.44% (30 day avg SOFR US + 0.56%), 06/25/2042 | 1400492 | 1385479 |
| &nbsp;&nbsp; Series 2012-67, Class GF, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2042 | 1574750 | 1558660 |
| &nbsp;&nbsp; Series 2012-70, Class FA, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2042 | 636089 | 629752 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| &nbsp;&nbsp; Series 2012-71, Class FL, 4.49% (30 day avg SOFR US + 0.61%), 07/25/2042 | 141953 | 140633 |
| &nbsp;&nbsp; Series 2012-72, Class FQ, 4.49% (30 day avg SOFR US + 0.61%), 07/25/2042 | 254502 | 252586 |
| &nbsp;&nbsp; Series 2012-79, Class FM, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2042 | 73260 | 72458 |
| &nbsp;&nbsp; Series 2012-80, Class FM, 4.49% (30 day avg SOFR US + 0.61%), 08/25/2042 | 4969399 | 4925561 |
| &nbsp;&nbsp; Series 2012-80, Class NA, 2.75%, 06/25/2042 | 167698 | 155195 |
| &nbsp;&nbsp; Series 2012-84, Class FJ, 4.34% (30 day avg SOFR US + 0.46%), 01/25/2042 | 355248 | 352417 |
| &nbsp;&nbsp; Series 2012-86, Class FP, 4.49% (30 day avg SOFR US + 0.61%), 08/25/2042 | 9614650 | 9479531 |
| &nbsp;&nbsp; Series 2012-93, Class FC, 4.39% (30 day avg SOFR US + 0.51%), 09/25/2042 | 1547179 | 1525049 |
| &nbsp;&nbsp; Series 2013-110, Class CO, 0.00%, 12/25/2039 <sup>(g)</sup> | 608349 | 488398 |
| &nbsp;&nbsp; Series 2013-29, Class JE, 1.25%, 04/25/2043 | 92792 | 76891 |
| &nbsp;&nbsp; Series 2013-31, Class PY, 2.50%, 02/25/2043 | 96155 | 83106 |
| &nbsp;&nbsp; Series 2013-34, Class PF, 4.34% (30 day avg SOFR US + 0.46%), 08/25/2042 | 189382 | 188022 |
| &nbsp;&nbsp; Series 2013-50, Class US, 0.01% (-1 x 30 day avg SOFR US + 3.89%), 05/25/2043 <sup>(f)</sup> | 639553 | 327304 |
| &nbsp;&nbsp; Series 2013-57, Class FN, 4.34% (30 day avg SOFR US + 0.46%), 06/25/2043 | 1035846 | 1020784 |
| &nbsp;&nbsp; Series 2013-58, Class FY, 4.24% (30 day avg SOFR US + 0.36%), 02/25/2043 | 841994 | 827841 |
| &nbsp;&nbsp; Series 2013-6, Class JT, 1.50%, 01/25/2043 | 90423 | 80067 |
| &nbsp;&nbsp; Series 2013-68, Class NA, 1.00%, 03/25/2042 | 167766 | 146595 |
| &nbsp;&nbsp; Series 2013-83, Class US, 1.01% (-1 x 30 day avg SOFR US + 4.89%), 08/25/2043 <sup>(f)</sup> | 160197 | 114357 |
| &nbsp;&nbsp; Series 2013-98, Class PO, 0.00%, 09/25/2043 <sup>(g)</sup> | 1586044 | 1235755 |
| &nbsp;&nbsp; Series 2014-17, Class PF, 4.39% (30 day avg SOFR US + 0.51%), 04/25/2044 | 1397139 | 1376626 |
| &nbsp;&nbsp; Series 2014-47, Class AF, 4.67% (30 day avg SOFR US + 0.46%), 08/25/2044 | 637793 | 631642 |
| &nbsp;&nbsp; Series 2014-63, Class FL, 4.39% (30 day avg SOFR US + 0.51%), 10/25/2044 | 1076693 | 1062810 |
| &nbsp;&nbsp; Series 2014-73, Class FA, 4.34% (30 day avg SOFR US + 0.46%), 11/25/2044 | 3670322 | 3611631 |
| &nbsp;&nbsp; Series 2015-27, Class HA, 3.00%, 03/25/2044 | 18964 | 18457 |
| &nbsp;&nbsp; Series 2015-32, Class FA, 4.29% (30 day avg SOFR US + 0.41%), 05/25/2045 | 198686 | 194464 |
| &nbsp;&nbsp; Series 2015-38, Class DF, 4.63% (30 day avg SOFR US + 0.42%), 06/25/2055 | 771293 | 763258 |
| &nbsp;&nbsp; Series 2015-4, Class FA, 4.67% (30 day avg SOFR US + 0.46%), 02/25/2045 | 486720 | 476209 |
| &nbsp;&nbsp; Series 2015-48, Class FB, 4.29% (30 day avg SOFR US + 0.41%), 07/25/2045 | 234164 | 229299 |
| &nbsp;&nbsp; Series 2015-73, Class ES, 0.00% (-2 x 30 day avg SOFR US + 9.07%), 10/25/2045 <sup>(f)(i)</sup> | 198408 | 132067 |
| &nbsp;&nbsp; Series 2016-106, Class EF, 4.49% (30 day avg SOFR US + 0.61%), 01/25/2047 | 5037994 | 4971687 |
| &nbsp;&nbsp; Series 2016-2, Class FB, 4.39% (30 day avg SOFR US + 0.51%), 02/25/2046 | 2988704 | 2951238 |
| &nbsp;&nbsp; Series 2016-50, Class PC, 2.00%, 08/25/2046 | 589240 | 483691 |
| &nbsp;&nbsp; Series 2016-60, Class UF, 4.39% (30 day avg SOFR US + 0.51%), 09/25/2046 | 319323 | 316898 |
| &nbsp;&nbsp; Series 2016-61, Class ML, 3.00%, 09/25/2046 | 1400000 | 1195174 |
| &nbsp;&nbsp; Series 2017-39, Class FT, 4.39% (30 day avg SOFR US + 0.51%), 05/25/2047 | 1960781 | 1925149 |
| &nbsp;&nbsp; Series 2017-51, Class FC, 4.34% (30 day avg SOFR US + 0.46%), 07/25/2047 | 1146902 | 1124565 |
| &nbsp;&nbsp; Series 2018-11, Class KA, 3.00%, 03/25/2048 | 977364 | 872064 |
| &nbsp;&nbsp; Series 2018-16, Class FN, 4.24% (30 day avg SOFR US + 0.36%), 03/25/2048 | 303083 | 294016 |
| &nbsp;&nbsp; Series 2018-21, Class PO, 0.00%, 04/25/2048 <sup>(g)</sup> | 499809 | 362468 |
| &nbsp;&nbsp; Series 2018-22, Class FJ, 4.29% (30 day avg SOFR US + 0.41%), 04/25/2048 | 182667 | 177677 |
| &nbsp;&nbsp; Series 2018-32, Class FC, 4.29% (30 day avg SOFR US + 0.41%), 05/25/2048 | 3712197 | 3610820 |
| &nbsp;&nbsp; Series 2018-35, Class FA, 4.29% (30 day avg SOFR US + 0.41%), 05/25/2048 | 2445832 | 2379335 |
| &nbsp;&nbsp; Series 2018-39, Class FG, 4.24% (30 day avg SOFR US + 0.36%), 11/25/2033 | 670826 | 663424 |
| &nbsp;&nbsp; Series 2018-4, Class FM, 4.29% (30 day avg SOFR US + 0.41%), 02/25/2048 | 792704 | 771344 |
| &nbsp;&nbsp; Series 2018-45, Class FT, 4.29% (30 day avg SOFR US + 0.41%), 06/25/2048 | 756968 | 737252 |
| &nbsp;&nbsp; Series 2018-76, Class FN, 4.34% (30 day avg SOFR US + 0.46%), 10/25/2048 | 3492783 | 3408742 |
| &nbsp;&nbsp; Series 2018-94, Class FA, 4.39% (30 day avg SOFR US + 0.51%), 01/25/2049 | 577575 | 565386 |
| &nbsp;&nbsp; Series 2019-1, Class NF, 4.44% (30 day avg SOFR US + 0.56%), 02/25/2049 | 2099243 | 2061697 |
| &nbsp;&nbsp; Series 2019-12, Class FB, 4.44% (30 day avg SOFR US + 0.56%), 04/25/2049 | 213635 | 209640 |
| &nbsp;&nbsp; Series 2019-17, Class JF, 4.39% (30 day avg SOFR US + 0.51%), 04/25/2049 | 5165444 | 5086060 |
| &nbsp;&nbsp; Series 2019-20, Class ND, 2.50%, 05/25/2049 | 235627 | 198337 |
| &nbsp;&nbsp; Series 2019-20, Class NE, 2.75%, 05/25/2049 | 300424 | 265305 |
| &nbsp;&nbsp; Series 2019-24, Class NJ, 2.50%, 05/25/2049 | 965629 | 843565 |
| &nbsp;&nbsp; Series 2019-25, Class FA, 4.44% (30 day avg SOFR US + 0.56%), 06/25/2049 | 181628 | 178390 |
| &nbsp;&nbsp; Series 2019-25, Class PD, 2.50%, 05/25/2048 | 175254 | 159330 |
| &nbsp;&nbsp; Series 2019-33, Class FB, 4.44% (30 day avg SOFR US + 0.56%), 07/25/2049 | 135702 | 133168 |
| &nbsp;&nbsp; Series 2019-34, Class KP, 2.50%, 07/25/2049 | 59780 | 50730 |
| &nbsp;&nbsp; Series 2019-35, Class FA, 4.39% (30 day avg SOFR US + 0.51%), 07/25/2049 | 4259368 | 4202552 |
| &nbsp;&nbsp; Series 2019-43, Class FC, 4.39% (30 day avg SOFR US + 0.51%), 08/25/2049 | 231720 | 228074 |
| &nbsp;&nbsp; Series 2019-46, Class FG, 4.39% (30 day avg SOFR US + 0.51%), 08/25/2049 | 219175 | 216951 |
| &nbsp;&nbsp; Series 2019-48, Class ML, 3.00%, 09/25/2049 | 75990 | 52315 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) | Federal National Mortgage Association (Continued) |
| &nbsp;&nbsp; Series 2019-5, Class FE, 4.44% (30 day avg SOFR US + 0.56%), 03/25/2049 | 278047 | 274237 |
| &nbsp;&nbsp; Series 2019-51, Class TB, 2.25%, 05/25/2049 | 1239570 | 1094861 |
| &nbsp;&nbsp; Series 2019-57, Class FG, 4.44% (30 day avg SOFR US + 0.56%), 10/25/2049 | 5048879 | 4975808 |
| &nbsp;&nbsp; Series 2019-57, Class LF, 4.49% (30 day avg SOFR US + 0.61%), 10/25/2049 | 13895294 | 13627000 |
| &nbsp;&nbsp; Series 2019-62, Class FA, 4.49% (30 day avg SOFR US + 0.61%), 11/25/2059 | 918859 | 907463 |
| &nbsp;&nbsp; Series 2019-68, Class FD, 4.49% (30 day avg SOFR US + 0.61%), 11/25/2049 | 2576791 | 2527654 |
| &nbsp;&nbsp; Series 2019-68, Class KP, 2.50%, 11/25/2049 | 245444 | 213225 |
| &nbsp;&nbsp; Series 2019-69, Class FA, 4.49% (30 day avg SOFR US + 0.61%), 12/25/2049 | 623365 | 615063 |
| &nbsp;&nbsp; Series 2019-8, Class FA, 4.44% (30 day avg SOFR US + 0.56%), 03/25/2049 | 711799 | 703972 |
| &nbsp;&nbsp; Series 2019-81, Class FJ, 4.49% (30 day avg SOFR US + 0.61%), 01/25/2050 | 2084374 | 2047372 |
| &nbsp;&nbsp; Series 2020-37, Class FD, 4.39% (30 day avg SOFR US + 0.51%), 06/25/2050 | 868223 | 860039 |
| &nbsp;&nbsp; Series 2020-48, Class DA, 2.00%, 07/25/2050 | 605186 | 515195 |
| &nbsp;&nbsp; Series 2020-49, Class GA, 1.50%, 02/25/2049 | 337590 | 284335 |
| &nbsp;&nbsp; Series 2020-61, Class GF, 4.20% (30 day avg SOFR US + 0.33%), 09/25/2050 | 4241629 | 3981058 |
| &nbsp;&nbsp; Series 2020-70, Class JC, 1.25%, 10/25/2050 | 6277168 | 4712623 |
| &nbsp;&nbsp; Series 2020-71, Class KU, 1.00%, 10/25/2050 | 95471 | 53235 |
| &nbsp;&nbsp; Series 2020-75, Class ND, 1.25%, 10/25/2050 | 1935223 | 1452503 |
| &nbsp;&nbsp; Series 2020-75, Class PB, 1.00%, 11/25/2050 | 3381812 | 2786175 |
| &nbsp;&nbsp; Series 2020-78, Class CA, 2.00%, 10/25/2044 | 28117 | 25935 |
| &nbsp;&nbsp; Series 2020-80, Class JF, 4.17% (30 day avg SOFR US + 0.30%), 11/25/2050 | 1580945 | 1519480 |
| &nbsp;&nbsp; Series 2020-80, Class MA, 1.00%, 11/25/2050 | 3146216 | 2343899 |
| &nbsp;&nbsp; Series 2020-92, Class PH, 1.00%, 02/25/2050 | 3055929 | 2358853 |
| &nbsp;&nbsp; Series 2020-95, Class BE, 0.75%, 01/25/2051 | 1027416 | 753433 |
| &nbsp;&nbsp; Series 2020-96, Class NW, 1.00%, 01/25/2051 | 955117 | 734157 |
| &nbsp;&nbsp; Series 2021-15, Class HD, 1.00%, 04/25/2051 | 1853508 | 1388416 |
| &nbsp;&nbsp; Series 2021-15, Class HN, 1.00%, 04/25/2051 | 347533 | 260328 |
| &nbsp;&nbsp; Series 2021-18, Class AD, 0.75%, 11/25/2049 | 656822 | 560706 |
| &nbsp;&nbsp; Series 2021-2, Class HB, 1.00%, 02/25/2051 | 644501 | 485626 |
| &nbsp;&nbsp; Series 2021-56, Class HE, 1.25%, 09/25/2051 | 446824 | 389473 |
| &nbsp;&nbsp; Series 2021-58, Class KC, 1.50%, 04/25/2051 | 3267312 | 2841562 |
| &nbsp;&nbsp; Series 2021-58, Class LD, 1.50%, 03/25/2051 | 1389203 | 1212434 |
| &nbsp;&nbsp; Series 2021-65, Class GA, 2.00%, 07/25/2049 | 69614 | 57945 |
| &nbsp;&nbsp; Series 2021-66, Class HB, 2.00%, 10/25/2051 <sup>(e)</sup> | 149034 | 91190 |
| &nbsp;&nbsp; Series 2021-69, Class LK, 1.50%, 05/25/2051 | 1367786 | 1185525 |
| &nbsp;&nbsp; Series 2021-72, Class JC, 1.25%, 05/25/2051 | 729285 | 629387 |
| &nbsp;&nbsp; Series 2021-75, Class PB, 1.50%, 11/25/2051 | 1411373 | 1225873 |
| &nbsp;&nbsp; Series 2021-87, Class NC, 1.50%, 11/25/2051 | 1446898 | 1200656 |
| &nbsp;&nbsp; Series 2021-87, Class QA, 2.00%, 12/25/2051 | 213443 | 133925 |
| &nbsp;&nbsp; Series 2021-87, Class QC, 2.00%, 12/25/2051 | 359666 | 220712 |
| &nbsp;&nbsp; Series 2021-87, Class WM, 2.00%, 12/25/2051 | 61000 | 36630 |
| &nbsp;&nbsp; Series 2021-93, Class CG, 2.00%, 03/25/2047 | 2132943 | 1852439 |
| &nbsp;&nbsp; Series 2021-94, Class KU, 2.00%, 12/25/2051 | 97533 | 56127 |
| &nbsp;&nbsp; Series 2022-17, Class YE, 3.50%, 04/25/2052 | 69000 | 62811 |
| &nbsp;&nbsp; Series 2022-66, Class CA, 4.50%, 10/25/2052 | 25992 | 24015 |
| &nbsp;&nbsp; Series 2023-36, Class AO, 0.00%, 08/25/2050 <sup>(g)</sup> | 772759 | 564047 |
| &nbsp;&nbsp; Series 2023-38, Class FD, 4.94% (30 day avg SOFR US + 0.86%), 10/25/2039 | 1245768 | 1221044 |
| &nbsp;&nbsp; Series 2023-53, Class FH, 5.67% (30 day avg SOFR US + 1.80%), 11/25/2053 | 2299992 | 2338422 |
| &nbsp;&nbsp; Series 2024-103, Class FE, 5.17% (30 day avg SOFR US + 1.30%), 01/25/2055 | 273417 | 275054 |
| &nbsp;&nbsp; Series 2024-15, Class FD, 5.22% (30 day avg SOFR US + 1.35%), 04/25/2054 | 470719 | 473789 |
| &nbsp;&nbsp; Series 2024-38, Class FE, 4.92% (30 day avg SOFR US + 1.05%), 06/25/2054 | 348408 | 349331 |
| &nbsp;&nbsp; Series 2024-77, Class FG, 4.97% (30 day avg SOFR US + 1.10%), 11/25/2054 | 2703071 | 2708291 |
| &nbsp;&nbsp; Series 2024-96, Class FB, 5.27% (30 day avg SOFR US + 1.40%), 12/25/2054 | 9446270 | 9524771 |
| &nbsp;&nbsp; Series 2025-11, Class FB, 4.87% (30 day avg SOFR US + 1.00%), 03/25/2055 | 757975 | 759982 |
| &nbsp;&nbsp; Series 2025-12, Class GF, 5.22% (30 day avg SOFR US + 1.35%), 03/25/2055 | 1270725 | 1279732 |
| &nbsp;&nbsp; Series 2025-16, Class FA, 5.02% (30 day avg SOFR US + 1.15%), 03/25/2055 | 563060 | 564886 |
| &nbsp;&nbsp; Series 2025-24, Class FA, 4.77% (30 day avg SOFR US + 0.90%), 04/25/2055 | 258930 | 259756 |
| &nbsp;&nbsp; Series 2025-35, Class FB, 4.87% (30 day avg SOFR US + 1.00%), 05/25/2055 | 580150 | 583112 |
| &nbsp;&nbsp; Series 2025-35, Class FM, 4.92% (30 day avg SOFR US + 1.05%), 05/25/2055 | 186973 | 188311 |
| &nbsp;&nbsp; Series 2025-5, Class FA, 5.07% (30 day avg SOFR US + 1.20%), 02/25/2055 | 671513 | 673938 |
| &nbsp;&nbsp; Series 399, Class 1, 0.00%, 11/25/2039 <sup>(g)</sup> | 1309314 | 1078943 |
| &nbsp;&nbsp; Series 405, Class 1, 0.00%, 10/25/2040 <sup>(g)</sup> | 1207492 | 964834 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
|  Freddie Mac Whole Loan, Series 2005-S001, Class 2A2, 4.00% (1 mo. Term SOFR + 0.26%), 09/25/2045 | 7347869 | 7205930 |
|  Freddie Mac Whole Loan Securities Trust, Series 2017-SC02, Class 2A, 3.50%, 05/25/2047 | 20059 | 17731 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; Series 2013-28, Class ME, 1.75%, 11/20/2042 | 118820 | 112533 |
| &nbsp;&nbsp; Series 2014-H10, Class FA, 4.61% (1 mo. Term SOFR + 0.61%), 04/20/2064 | 64483 | 64496 |
| &nbsp;&nbsp; Series 2017-101, Class AB, 2.50%, 07/20/2047 | 693058 | 613629 |
| &nbsp;&nbsp; Series 2018-125, Class HY, 4.00%, 09/20/2048 | 1000000 | 896798 |
| &nbsp;&nbsp; Series 2018-138, Class AB, 3.50%, 10/20/2048 | 83295 | 77398 |
| &nbsp;&nbsp; Series 2019-97, Class FG, 3.50% (1 mo. Term SOFR + 0.80%), 08/20/2049 | 4214296 | 3809496 |
| &nbsp;&nbsp; Series 2020-104, Class AP, 1.00%, 07/20/2050 <sup>(e)</sup> | 66614 | 49128 |
| &nbsp;&nbsp; Series 2020-140, Class NG, 0.75%, 09/20/2050 | 867029 | 644848 |
| &nbsp;&nbsp; Series 2020-30, Class EA, 2.00%, 01/20/2050 | 566119 | 484543 |
| &nbsp;&nbsp; Series 2020-4, Class AD, 3.25%, 01/20/2050 <sup>(e)</sup> | 206954 | 180826 |
| &nbsp;&nbsp; Series 2021-89, Class JL, 1.50%, 05/20/2051 | 290582 | 151155 |
| &nbsp;&nbsp; Series 2021-96, Class FG, 3.50% (30 day avg SOFR US + 0.30%), 06/20/2051 | 4905387 | 4399304 |
| &nbsp;&nbsp; Series 2021-H17, Class BA, 2.85%, 10/20/2071 <sup>(b)</sup> | 51738 | 50893 |
| &nbsp;&nbsp; Series 2022-161, Class FQ, 4.57% (30 day avg SOFR US + 0.65%), 09/20/2052 | 36204360 | 35704374 |
| &nbsp;&nbsp; Series 2025-1, Class FV, 5.02% (30 day avg SOFR US + 1.10%), 01/20/2055 | 48674 | 48854 |
| &nbsp;&nbsp; Series 2025-105, Class FZ, 5.42% (30 day avg SOFR US + 1.50%), 06/20/2055 <sup>(h)</sup> | 531088 | 429634 |
| &nbsp;&nbsp; Series 2025-55, Class GF, 4.92% (30 day avg SOFR US + 1.00%), 03/20/2055 | 295281 | 296190 |
| &nbsp;&nbsp; Series 2025-89, Class FZ, 5.52% (30 day avg SOFR US + 1.60%), 05/20/2055 <sup>(h)</sup> | 354911 | 292789 |
| &nbsp;&nbsp; Series 2025-89, Class ZF, 5.52% (30 day avg SOFR US + 1.60%), 05/20/2055 <sup>(h)</sup> | 629459 | 530189 |
| &nbsp;&nbsp; Series 2004-63, Class FL, 4.20% (1 mo. Term SOFR + 0.46%), 08/16/2034 | 30894 | 30635 |
| &nbsp;&nbsp; Series 2004-80, Class FA, 4.25% (1 mo. Term SOFR + 0.51%), 10/20/2034 | 231032 | 229489 |
| &nbsp;&nbsp; Series 2007-17, Class CF, 4.10% (1 mo. Term SOFR + 0.36%), 04/16/2037 | 127269 | 126338 |
| &nbsp;&nbsp; Series 2007-26, Class FD, 4.05% (1 mo. Term SOFR + 0.31%), 05/16/2037 | 1593996 | 1569634 |
| &nbsp;&nbsp; Series 2008-65, Class FG, 4.60% (1 mo. Term SOFR + 0.86%), 08/20/2038 | 435547 | 435539 |
| &nbsp;&nbsp; Series 2009-14, Class FA, 4.77% (1 mo. Term SOFR + 1.03%), 03/20/2039 | 723913 | 726655 |
| &nbsp;&nbsp; Series 2009-36, Class FE, 4.65% (1 mo. Term SOFR + 0.91%), 09/20/2038 | 714034 | 714709 |
| &nbsp;&nbsp; Series 2009-40, Class PO, 0.00%, 06/20/2039 <sup>(g)</sup> | 431580 | 343107 |
| &nbsp;&nbsp; Series 2009-50, Class FW, 4.85% (1 mo. Term SOFR + 1.11%), 07/20/2039 | 509058 | 512566 |
| &nbsp;&nbsp; Series 2009-52, Class FD, 4.80% (1 mo. Term SOFR + 1.06%), 07/16/2039 | 268917 | 269778 |
| &nbsp;&nbsp; Series 2009-83, Class TF, 4.75% (1 mo. Term SOFR + 1.01%), 08/20/2039 | 727227 | 731495 |
| &nbsp;&nbsp; Series 2010-147, Class PG, 3.50%, 05/20/2040 | 19572 | 19464 |
| &nbsp;&nbsp; Series 2010-25, Class FH, 4.57% (1 mo. Term SOFR + 0.83%), 02/16/2040 | 394548 | 395288 |
| &nbsp;&nbsp; Series 2010-42, Class OP, 0.00%, 04/20/2040 <sup>(g)</sup> | 1025491 | 838809 |
| &nbsp;&nbsp; Series 2010-68, Class GF, 4.30% (1 mo. Term SOFR + 0.56%), 12/16/2039 | 259560 | 259108 |
| &nbsp;&nbsp; Series 2010-79, Class YF, 4.20% (1 mo. Term SOFR + 0.46%), 05/20/2035 | 943880 | 935487 |
| &nbsp;&nbsp; Series 2011-117, Class FJ, 4.72% (1 mo. Term SOFR + 0.98%), 08/20/2041 | 683578 | 689563 |
| &nbsp;&nbsp; Series 2011-135, Class FN, 4.25% (1 mo. Term SOFR + 0.51%), 10/16/2041 | 220034 | 217431 |
| &nbsp;&nbsp; Series 2011-151, Class DL, 3.00%, 06/16/2041 <sup>(e)</sup> | 153500 | 135560 |
| &nbsp;&nbsp; Series 2011-151, Class FD, 4.25% (1 mo. Term SOFR + 0.51%), 06/16/2041 | 1647937 | 1630218 |
| &nbsp;&nbsp; Series 2011-151, Class FJ, 4.20% (1 mo. Term SOFR + 0.46%), 11/20/2041 | 404392 | 399601 |
| &nbsp;&nbsp; Series 2011-151, Class GF, 4.25% (1 mo. Term SOFR + 0.51%), 11/20/2041 | 1219928 | 1206614 |
| &nbsp;&nbsp; Series 2011-69, Class FB, 4.50% (1 mo. Term SOFR + 0.76%), 05/20/2041 | 1432798 | 1426618 |
| &nbsp;&nbsp; Series 2011-75, Class PO, 0.00%, 05/20/2041 <sup>(g)</sup> | 157282 | 141211 |
| &nbsp;&nbsp; Series 2011-81, Class FT, 4.35% (1 mo. Term SOFR + 0.61%), 04/16/2040 | 494519 | 492132 |
| &nbsp;&nbsp; Series 2011-83, Class F, 4.23% (1 mo. Term SOFR + 0.49%), 06/20/2041 | 958714 | 948568 |
| &nbsp;&nbsp; Series 2012-106, Class QD, 1.50%, 07/20/2042 | 55629 | 49812 |
| &nbsp;&nbsp; Series 2012-17, Class CB, 3.50%, 02/20/2042 | 919385 | 882079 |
| &nbsp;&nbsp; Series 2012-21, Class QF, 4.20% (1 mo. Term SOFR + 0.46%), 02/20/2042 | 835115 | 827595 |
| &nbsp;&nbsp; Series 2012-40, Class PW, 4.00%, 01/20/2042 | 125577 | 123988 |
| &nbsp;&nbsp; Series 2012-84, Class QD, 2.00%, 07/16/2042 | 45290 | 40093 |
| &nbsp;&nbsp; Series 2012-96, Class FQ, 4.25% (1 mo. Term SOFR + 0.51%), 08/20/2042 | 466589 | 463510 |
| &nbsp;&nbsp; Series 2013-131, Class PF, 4.20% (1 mo. Term SOFR + 0.46%), 09/16/2043 | 405144 | 399751 |
| &nbsp;&nbsp; Series 2013-64, Class NF, 4.10% (1 mo. Term SOFR + 0.36%), 04/20/2043 | 283870 | 280552 |
| &nbsp;&nbsp; Series 2013-72, Class DA, 2.04%, 11/16/2047 | 130000 | 95666 |
| &nbsp;&nbsp; Series 2014-2, Class BK, 0.00%, 04/16/2040 <sup>(g)</sup> | 182868 | 147774 |
| &nbsp;&nbsp; Series 2014-21, Class DA, 2.00%, 04/16/2026 | 92 | 92 |
| &nbsp;&nbsp; Series 2014-94, Class CA, 1.75%, 01/20/2044 | 46749 | 43561 |
| &nbsp;&nbsp; Series 2015-126, Class GS, 0.03% (-2 x 1 mo. Term SOFR + 9.07%), 09/20/2045 <sup>(f)</sup> | 357665 | 238073 |
| &nbsp;&nbsp; Series 2015-159, Class DW, 0.00% (-3 x 1 mo. Term SOFR + 7.79%), 08/20/2045 <sup>(f)(i)</sup> | 208043 | 137195 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **AGENCY MORTGAGE-BACKED SECURITIES (Continued)** | **Par** | **Value**  |
| Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) | Government National Mortgage Association (Continued) |
| &nbsp;&nbsp; Series 2015-53, Class KC, 3.00%, 04/16/2045 | 58514 | 44640 |
| &nbsp;&nbsp; Series 2015-77, Class DG, 2.50%, 05/20/2045 | 67349 | 61350 |
| &nbsp;&nbsp; Series 2015-8, Class LZ, 3.00%, 11/16/2044 <sup>(h)</sup> | 762810 | 699081 |
| &nbsp;&nbsp; Series 2016-49, Class MF, 4.35% (1 mo. Term SOFR + 0.61%), 04/20/2046 | 1291565 | 1282671 |
| &nbsp;&nbsp; Series 2017-180, Class GF, 4.29% (1 mo. Term SOFR + 0.41%), 12/20/2047 | 314424 | 305836 |
| &nbsp;&nbsp; Series 2017-39, Class BD, 2.50%, 06/20/2045 | 109525 | 107145 |
| &nbsp;&nbsp; Series 2018-120, Class FL, 4.15% (1 mo. Term SOFR + 0.41%), 09/20/2048 | 174208 | 169629 |
| &nbsp;&nbsp; Series 2018-138, Class FB, 4.15% (1 mo. Term SOFR + 0.41%), 10/20/2048 | 2254408 | 2195128 |
| &nbsp;&nbsp; Series 2018-14, Class FB, 4.10% (1 mo. Term SOFR + 0.36%), 01/20/2048 | 2697768 | 2640981 |
| &nbsp;&nbsp; Series 2018-168, Class KF, 4.20% (1 mo. Term SOFR + 0.46%), 12/20/2048 | 2830370 | 2766964 |
| &nbsp;&nbsp; Series 2018-49, Class FM, 4.10% (1 mo. Term SOFR + 0.36%), 04/20/2048 | 860710 | 836614 |
| &nbsp;&nbsp; Series 2018-77, Class FA, 4.15% (1 mo. Term SOFR + 0.41%), 06/20/2048 | 2603388 | 2534484 |
| &nbsp;&nbsp; Series 2019-103, Class FG, 4.30% (1 mo. Term SOFR + 0.56%), 04/20/2049 | 732485 | 718623 |
| &nbsp;&nbsp; Series 2019-23, Class FT, 4.30% (1 mo. Term SOFR + 0.56%), 02/20/2049 | 1457270 | 1430814 |
| &nbsp;&nbsp; Series 2019-23, Class NE, 3.50%, 11/20/2048 | 512458 | 484548 |
| &nbsp;&nbsp; Series 2019-33, Class F, 4.30% (1 mo. Term SOFR + 0.56%), 03/20/2049 | 315964 | 310523 |
| &nbsp;&nbsp; Series 2019-42, Class FG, 4.25% (1 mo. Term SOFR + 0.51%), 09/20/2039 | 8785443 | 8716235 |
| &nbsp;&nbsp; Series 2019-43, Class CF, 4.30% (1 mo. Term SOFR + 0.56%), 04/20/2049 | 10811089 | 10603400 |
| &nbsp;&nbsp; Series 2019-43, Class FB, 4.30% (1 mo. Term SOFR + 0.56%), 04/20/2049 | 7353834 | 7219453 |
| &nbsp;&nbsp; Series 2019-43, Class SQ, 2.20% (-1 x 1 mo. Term SOFR + 5.94%), 04/20/2049 <sup>(d)(f)</sup> | 2084953 | 176854 |
| &nbsp;&nbsp; Series 2019-44, Class FM, 4.30% (1 mo. Term SOFR + 0.56%), 04/20/2049 | 2893926 | 2839688 |
| &nbsp;&nbsp; Series 2019-78, Class FB, 4.25% (1 mo. Term SOFR + 0.51%), 06/20/2049 | 4460230 | 4387898 |
| &nbsp;&nbsp; Series 2019-86, Class FE, 4.25% (1 mo. Term SOFR + 0.51%), 07/20/2049 | 1788796 | 1765528 |
| &nbsp;&nbsp; Series 2019-89, Class FH, 4.25% (1 mo. Term SOFR + 0.51%), 07/20/2049 | 6616347 | 6473277 |
| &nbsp;&nbsp; Series 2019-90, Class AF, 4.25% (1 mo. Term SOFR + 0.51%), 07/20/2049 | 371093 | 362798 |
| &nbsp;&nbsp; Series 2019-98, Class KF, 4.30% (1 mo. Term SOFR + 0.56%), 08/20/2049 | 2838409 | 2781304 |
| &nbsp;&nbsp; Series 2020-127, Class LP, 1.50%, 06/20/2050 | 727748 | 593771 |
| &nbsp;&nbsp; Series 2020-134, Class AP, 1.00%, 09/20/2050 | 2202964 | 1807219 |
| &nbsp;&nbsp; Series 2020-134, Class AQ, 1.00%, 09/20/2050 | 2753705 | 2259024 |
| &nbsp;&nbsp; Series 2020-134, Class XJ, 1.00%, 09/20/2050 | 274999 | 123799 |
| &nbsp;&nbsp; Series 2020-149, Class BP, 1.00%, 10/20/2050 | 2038165 | 1579066 |
| &nbsp;&nbsp; Series 2020-149, Class JT, 1.00%, 10/20/2050 | 3213578 | 2587255 |
| &nbsp;&nbsp; Series 2020-149, Class UY, 2.00%, 10/20/2050 | 151103 | 86508 |
| &nbsp;&nbsp; Series 2020-160, Class KQ, 1.50%, 10/20/2050 | 507445 | 319693 |
| &nbsp;&nbsp; Series 2020-165, Class UC, 1.25%, 11/20/2050 | 613440 | 475316 |
| &nbsp;&nbsp; Series 2020-183, Class HX, 1.00%, 12/20/2049 | 48000 | 24698 |
| &nbsp;&nbsp; Series 2020-191, Class PC, 1.00%, 12/20/2050 | 3468882 | 2819705 |
| &nbsp;&nbsp; Series 2020-30, Class FE, 4.30% (1 mo. Term SOFR + 0.56%), 03/20/2050 | 9557914 | 9360483 |
| &nbsp;&nbsp; Series 2020-35, Class KF, 4.30% (1 mo. Term SOFR + 0.56%), 03/20/2050 | 6644225 | 6502267 |
| &nbsp;&nbsp; Series 2020-5, Class NA, 3.50%, 12/20/2049 <sup>(e)</sup> | 177827 | 160044 |
| &nbsp;&nbsp; Series 2020-62, Class KF, 4.20% (1 mo. Term SOFR + 0.46%), 05/20/2050 | 12182444 | 11836443 |
| &nbsp;&nbsp; Series 2020-7, Class FM, 4.30% (1 mo. Term SOFR + 0.56%), 01/20/2050 | 18950563 | 18546036 |
| &nbsp;&nbsp; Series 2021-139, Class QO, 0.00%, 09/20/2049 <sup>(g)</sup> | 881942 | 397179 |
| &nbsp;&nbsp; Series 2021-158, Class A, 1.00%, 01/20/2050 | 764705 | 588277 |
| &nbsp;&nbsp; Series 2021-160, Class MA, 1.00%, 01/20/2050 | 400845 | 315530 |
| &nbsp;&nbsp; Series 2021-46, Class KU, 1.50%, 02/20/2051 | 195994 | 99660 |
| &nbsp;&nbsp; Series 2021-66, Class DU, 2.00%, 04/20/2051 | 40732 | 24207 |
| &nbsp;&nbsp; Series 2021-98, Class IY, 3.00%, 06/20/2051 <sup>(d)</sup> | 119781 | 15330 |
| &nbsp;&nbsp; Series 2022-154, Class FC, 4.47% (30 day avg SOFR US + 0.55%), 09/20/2052 | 2493073 | 2456074 |
| &nbsp;&nbsp; Series 2022-24, Class UA, 2.50%, 02/20/2052 | 76892 | 46333 |
| &nbsp;&nbsp; Series 2023-101, Class KO, 0.00%, 01/20/2051 <sup>(g)</sup> | 868708 | 576293 |
| &nbsp;&nbsp; Series 2023-117, Class FA, 5.17% (30 day avg SOFR US + 1.25%), 08/20/2053 | 450542 | 452505 |
| &nbsp;&nbsp; Series 2023-134, Class F, 4.92% (30 day avg SOFR US + 1.00%), 08/20/2053 | 3299793 | 3306237 |
| &nbsp;&nbsp; Series 2023-80, Class GF, 4.82% (30 day avg SOFR US + 0.90%), 06/20/2053 | 106018 | 106007 |
| &nbsp;&nbsp; Series 2024-143, Class FB, 5.07% (30 day avg SOFR US + 1.15%), 09/20/2054 | 373631 | 374868 |
| &nbsp;&nbsp; Series 2024-51, Class FL, 4.82% (30 day avg SOFR US + 0.90%), 03/20/2054 | 210674 | 210648 |
| &nbsp;&nbsp; Series 2024-64, Class YF, 5.20% (30 day avg SOFR US + 1.10%), 04/20/2054 | 20639 | 20693 |
| &nbsp;&nbsp; Series 2024-95, Class FW, 5.02% (30 day avg SOFR US + 1.10%), 06/20/2054 | 275147 | 275780 |
| **TOTAL AGENCY MORTGAGE-BACKED SECURITIES** (Cost $720,396,703) | **TOTAL AGENCY MORTGAGE-BACKED SECURITIES** (Cost $720,396,703) | 726047839 |

| | | |
|:---|:---|:---|
| **Regan Total Return Income Fund** | **Regan Total Return Income Fund** | **Regan Total Return Income Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** | **December 31, 2025 (Unaudited)** |
| **U.S. TREASURY SECURITIES - 15.9%** | **Par** | **Value**  |
| United States Treasury Floating Rate Note | United States Treasury Floating Rate Note | United States Treasury Floating Rate Note |
| &nbsp;&nbsp; 3.75% (3 mo. U.S. Treasury Money Market Yield + 0.15%), 04/30/2026 | 23000000 | 22998411 |
| &nbsp;&nbsp; 3.78% (3 mo. U.S. Treasury Money Market Yield + 0.18%), 07/31/2026 | 20000000 | 20006876 |
| &nbsp;&nbsp; 3.81% (3 mo. U.S. Treasury Money Market Yield + 0.21%), 10/31/2026 | 50500000 | 50538768 |
| &nbsp;&nbsp; 3.70% (3 mo. U.S. Treasury Money Market Yield + 0.10%), 01/31/2027 | 25000000 | 24992745 |
| &nbsp;&nbsp; 3.76% (3 mo. U.S. Treasury Money Market Yield + 0.16%), 04/30/2027 | 50000000 | 50016855 |
| &nbsp;&nbsp; 3.76% (3 mo. U.S. Treasury Money Market Yield + 0.16%), 07/31/2027 | 28000000 | 28016146 |
| &nbsp;&nbsp; 3.79% (3 mo. U.S. Treasury Money Market Yield + 0.19%), 10/31/2027 | 50000000 | 50034980 |
| United States Treasury Inflation Indexed Bonds | United States Treasury Inflation Indexed Bonds | United States Treasury Inflation Indexed Bonds |
| &nbsp;&nbsp; 0.63%, 01/15/2026 | 62665703 | 62518830 |
| &nbsp;&nbsp; 0.13%, 10/15/2026 | 14298720 | 14167585 |
| &nbsp;&nbsp; 0.38%, 01/15/2027 | 26958600 | 26630240 |
| **TOTAL U.S. TREASURY SECURITIES** (Cost $349,965,471) | **TOTAL U.S. TREASURY SECURITIES** (Cost $349,965,471) | 349921436 |
| **MUNICIPAL BONDS - 2.1%** | **Par** | **Value**  |
|  Florida Housing Finance Corp., 5.00%, 07/01/2050 | 6200000 | 6269150 |
|  Georgia Housing & Finance Authority, 5.20%, 12/01/2050 | 12600000 | 12819644 |
|  Illinois Housing Development Authority, 4.95%, 04/01/2051 | 9165000 | 9149270 |
|  Indiana Housing & Community Development Authority, 4.95%, 07/01/2050 | 4000000 | 4007395 |
|  Ohio Housing Finance Agency, 4.80%, 09/01/2055 | 1215000 | 1202728 |
|  Texas Department of Housing & Community Affairs, 5.00%, 07/01/2050 | 7040000 | 7116237 |
|  Virginia Housing Development Authority, 4.88%, 07/01/2056 | 5225000 | 5198173 |
| **TOTAL MUNICIPAL BONDS** (Cost $45,640,600) | **TOTAL MUNICIPAL BONDS** (Cost $45,640,600) | 45762597 |
| **CORPORATE BONDS - 1.2%** | **Par** | **Value**  |
| **Finance and Insurance - 1.2%** | **Finance and Insurance - 1.2%** | **Finance and Insurance - 1.2%** |
| Athene Global Funding | Athene Global Funding | Athene Global Funding |
| &nbsp;&nbsp; 4.80% (SOFR + 0.95%), 03/06/2028 <sup>(a)</sup> | 5000000 | 5005796 |
| &nbsp;&nbsp; 4.86% (SOFR + 1.00%), 09/18/2028 <sup>(a)</sup> | 11000000 | 10948798 |
|  Goldman Sachs Group, Inc., 4.88% (SOFR + 0.92%), 10/21/2029 | 10000000 | 10005679 |
|  |  | 25960273 |
| **TOTAL CORPORATE BONDS** (Cost $26,011,232) | **TOTAL CORPORATE BONDS** (Cost $26,011,232) | 25960273 |
| **MORTGAGE SECURED NOTES - 0.0% <sup>(j)</sup>** | **Par** | **Value**  |
|  Korth Direct Mortgage, Inc., Series 2021 B, 12.50%, 01/25/2027 <sup>(a)(e)</sup> | 800000 | 0 |
| **TOTAL MORTGAGE SECURED NOTES** (Cost $800,000) | **TOTAL MORTGAGE SECURED NOTES** (Cost $800,000) | 0 |
| **SHORT-TERM INVESTMENTS** | **SHORT-TERM INVESTMENTS** | **SHORT-TERM INVESTMENTS** |
| **U.S. TREASURY BILLS - 1.2%** | **Par** | **Value**  |
| 3.47%, 01/08/2026 <sup>(k)</sup> | 25000000 | 24985507 |
| **TOTAL U.S. TREASURY BILLS** (Cost $24,983,147) | **TOTAL U.S. TREASURY BILLS** (Cost $24,983,147) | 24985507 |
| **MONEY MARKET FUNDS - 0.7%** | **Shares** | **Value**  |
| First American Government Obligations Fund - Class X, 3.67% <sup>(l)</sup> | 15897381 | 15897381 |
| **TOTAL MONEY MARKET FUNDS** (Cost $15,897,381) | **TOTAL MONEY MARKET FUNDS** (Cost $15,897,381) | 15897381 |
| **TOTAL INVESTMENTS - 99.5% (**Cost $2,370,782,392**)** | **TOTAL INVESTMENTS - 99.5% (**Cost $2,370,782,392**)** | 2189965951 |
| Other Assets in Excess of Liabilities - 0.5% | Other Assets in Excess of Liabilities - 0.5% | 11795434 |
| **TOTAL NET ASSETS - 100.0%** |  | $2201761385 |
| Par amount is in USD unless otherwise indicated. | Par amount is in USD unless otherwise indicated. |  |
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. |  |

---

---

| |
|:---|
| CMT - Constant Maturity Treasury |
| Ent 11th COFI Repl - Enterprise 11th District COFI Replacement Index |
| LLC - Limited Liability Company |
| LP - Limited Partnership |
| PO Principal Only |
| SOFR - Secured Overnight Financing Rate |

---

------

---

| |
|:---|
| **Regan Total Return Income Fund** |
| **Schedule of Investments** |
| **December 31, 2025 (Unaudited)** |

---

(a) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified
 institutional investors. As of December 31, 2025, the value of these securities total $297,628,351 or 13.5% of the Fund's net assets.

(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral
 increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2025.

(c) Step coupon bond. The rate disclosed is as of December 31, 2025.

(d) Interest only security.

(e) Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities
 represented $50,871,623 or 2.3% of net assets as of December 31, 2025.

(f) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope.
 Interest rate may also be subject to a cap or floor.

(g) Principal only security.

(h) This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate
 disclosed is as of December 31, 2025.

(i) Zero coupon bonds make no periodic interest payments.

(j) Represents less than 0.05% of net assets.

(k) The rate shown is the annualized yield as of December 31, 2025.

(l) The rate shown represents the 7-day annualized yield as of December 31, 2025.

------

#### Summary of Fair Value Disclosure as of December 31, 2025 (Unaudited)
Regan Total Return Income Fund (the "Fund") has adopted fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or valuation methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and based on the best information available.

The following is a summary of the fair valuation hierarchy of the Fund's securities as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **<u>Level 1</u>** | **<u>Level 2</u>** | **<u>Level 3</u>** | **<u>Total</u>** |
| <u>Investments:</u> |  |  |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency Mortgage-Backed Securities | $– | $1000390345 | $49837650 | $1050227995 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Agency Mortgage-Backed Securities | – | 676176789 | 1033973 | 677210762 |
|  &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Securities | – | 349921436 | – | 349921436 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Municipal Bonds | – | 45762597 | – | 45762597 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Corporate Bonds | – | 25960273 | – | 25960273 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Mortgage Secured Notes | – | – | 0 | 0 |
|  &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Bills | – | 24985507 | – | 24985507 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Money Market Funds | 15897381 | – | – | 15897381 |
| Total Investments | $15897381 | $2123196947 | $50871623 | $2189965951 |
| Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Non-Agency**<br> **Mortgage-Backed<br> Securities** | **Mortgage**<br> **Secured Note** | **Agency**<br> **Mortgage-Backed**<br> **Securities** |
|  Beginning balance as of September 30, 2025 | $18194505 | $– | $695797 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Purchases | 27478949 | – | 405595 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Accrued discounts/premiums | 524587 | – | 6528 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Sale/paydown proceeds | (705888) | – | (13629) |
|  &nbsp;&nbsp;&nbsp;&nbsp;Realized gain (loss) | 116423 | – | 1903 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) | (493812) | – | (44075) |
|  &nbsp;&nbsp;&nbsp;&nbsp;Transfers to Level 3 | 5128695 | – | 478579 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Transfers from Level 3 | (635762) | – | (266772) |
| Ending balance as of December 31, 2025 | $49607697 | $– | $1263926 |

---

---

| | |
|:---|:---|
| Change in unrealized appreciation/depreciation still held as of December 31, 2025 | $(537887 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Advisor Managed Portfolios

- **b. Investment Company Act file number:** 811-23859

- **c. CIK number of Registrant:** 0001970751

- **d. LEI of Registrant:** 529900AK253W8LJALD89

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

  - **Street Address 1:** 615 East Michigan Street

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202-5210

  - **Telephone number:** 4142873700

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

- **a. Name of Series:** Regan Total Return Income Fund

- **b. EDGAR series identifier (if any):** S000082971

- **c. LEI of Series:** 529900RYECXJYW3V1K88

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

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

- **b. Date as of which information is reported:** 2025-12-31

**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:** $2507404779.90

**Total Liabilities:** $308185345.24

**Net Assets:** $2199219434.66

**Delayed Delivery Securities:** $285483638.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 21369.911816000000 | **1-Year:** 29353.612323000000 | **5-Year:** 34624.105186000000 | **10-Year:** 185803.045861000000 | **30-Year:** 233559.552158000000

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

- **3-Month:** 319101.341568000000 | **1-Year:** 8168.645308000000 | **5-Year:** 9856.068046000000 | **10-Year:** 40636.688383000000 | **30-Year:** 27784.967159000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246397 | 0.82%                | 0.71%                | -0.01%               |
| Class ID C000246398 | 0.83%                | 0.72%                | 0.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $382521.74               | $-3472653.65                               |
| Month 2  | $604347.14               | $-4738738.94                               |
| Month 3  | $823239.33               | $-17298660.42                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2011-1                                                | CUSIP: 00190VDR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3222000 | PA      | $1006875.00   | 0.05%             | 2036-09-28      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2004-RM1                       | CUSIP: 004421FU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176647 | PA      | $171313.14    | 0.01%             | 2034-07-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402520 | PA      | $198212.71    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-34                                                   | CUSIP: 02148AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282103 | PA      | $559877.65    | 0.03%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469973 | PA      | $250739.74    | 0.01%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                            | CUSIP: 04685A4T5<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10948798.08  | 0.50%             | 2028-09-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-5 Trust                                             | CUSIP: 05946XF57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123321 | PA      | $116073.52    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-1 Trust                                             | CUSIP: 05946XQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23717 | PA      | $23463.64     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-3 Trust                                             | CUSIP: 05946XVS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248141 | PA      | $230297.86    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583944 | PA      | $514276.43    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483139 | PA      | $374962.20    | 0.02%             | 2046-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424089 | PA      | $359725.10    | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-1                                    | CUSIP: 059496AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207151 | PA      | $189720.86    | 0.01%             | 2022-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-5                                    | CUSIP: 05950BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747608 | PA      | $657509.79    | 0.03%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-4 Trust                                             | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156652 | PA      | $125044.84    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505297 | PA      | $450057.77    | 0.02%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45480 | PA      | $47212.02     | 0.00%             | 2037-03-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660872 | PA      | $1095611.43   | 0.05%             | 2037-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722736 | PA      | $617778.97    | 0.03%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding Corp                                                     | CUSIP: 05953AAD5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1384770 | PA      | $958866.25    | 0.04%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-6CB                                                  | CUSIP: 12667F5H4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660737 | PA      | $562242.71    | 0.03%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-45                                                   | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479022 | PA      | $343657.10    | 0.02%             | 2035-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J7                                                   | CUSIP: 12667GF81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000753 | PA      | $418565.83    | 0.02%             | 2035-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102134 | PA      | $37994.52     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864243 | PA      | $809261.76    | 0.04%             | 2035-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385526 | PA      | $1212705.28   | 0.06%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-60T1                                                 | CUSIP: 12668AUW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102500 | PA      | $66947.94     | 0.00%             | 2035-12-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4004046 | PA      | $1247186.20   | 0.06%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-HYB2                                        | CUSIP: 126694C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203318 | PA      | $179786.55    | 0.01%             | 2036-04-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98296 | PA      | $89113.00     | 0.00%             | 2035-12-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-J5                                          | CUSIP: 12669FF24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51083 | PA      | $48783.96     | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38926 | PA      | $37832.43     | 0.00%             | 2035-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851466 | PA      | $687807.38    | 0.03%             | 2035-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541NTQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82774 | PA      | $85408.98     | 0.00%             | 2032-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1146902 | PA      | $1124565.04   | 0.05%             | 2047-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B0E44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792704 | PA      | $771344.02    | 0.04%             | 2048-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670826 | PA      | $663423.56    | 0.03%             | 2033-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5T47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239570 | PA      | $1094860.59   | 0.05%             | 2049-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375GGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45290 | PA      | $40093.44     | 0.00%             | 2042-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ACN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2254408 | PA      | $2195127.84   | 0.10%             | 2048-10-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512458 | PA      | $484547.94    | 0.02%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210674 | PA      | $210647.77    | 0.01%             | 2054-03-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251580 | PA      | $232368.96    | 0.01%             | 2046-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J2                                          | CUSIP: 12545EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163041 | PA      | $53267.47     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-36                                                   | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189715 | PA      | $176849.23    | 0.01%             | 2035-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363005 | PA      | $315008.80    | 0.01%             | 2035-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44650 | PA      | $38578.01     | 0.00%             | 2035-11-20      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-50CB                                                 | CUSIP: 12668ALK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127839 | PA      | $422303.01    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67785 | PA      | $45241.62     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-31                                          | CUSIP: 126694UL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169766 | PA      | $153153.48    | 0.01%             | 2036-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                           | CUSIP: 126694Y28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075663 | PA      | $366773.79    | 0.02%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-15                                          | CUSIP: 12669GQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444760 | PA      | $222625.41    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260882 | PA      | $109570.04    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328222 | PA      | $333338.83    | 0.02%             | 2035-10-25      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458F52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939686 | PA      | $326474.03    | 0.01%             | 2035-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470M75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537309 | PA      | $115069.77    | 0.01%             | 2036-04-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0PH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250934 | PA      | $179783.69    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386964 | PA      | $339155.38    | 0.02%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2008-RS1        | CUSIP: 25156BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023213 | PA      | $964048.09    | 0.04%             | 2037-05-28      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2168776 | PA      | $264638.15    | 0.01%             | 2036-04-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1935223 | PA      | $1452503.40   | 0.07%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644501 | PA      | $485625.94    | 0.02%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149034 | PA      | $91190.01     | 0.00%             | 2051-10-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411373 | PA      | $1225872.68   | 0.06%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A9WQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2942655 | PA      | $2342414.92   | 0.11%             | 2041-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ABET4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726605 | PA      | $606639.42    | 0.03%             | 2041-05-15      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ANYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267457 | PA      | $254617.14    | 0.01%             | 2041-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B1W99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58125 | PA      | $46167.29     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BBQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046906 | PA      | $807424.98    | 0.04%             | 2044-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BD5X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2924429 | PA      | $2875518.72   | 0.13%             | 2044-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2455369 | PA      | $2422902.85   | 0.11%             | 2043-11-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWU44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100054 | PA      | $86872.05     | 0.00%             | 2047-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2952944 | PA      | $2271223.65   | 0.10%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8P80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319312 | PA      | $258304.26    | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9PU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85291 | PA      | $61534.54     | 0.00%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTUF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1827772 | PA      | $1794368.48   | 0.08%             | 2050-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTVA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2175063 | PA      | $2128989.10   | 0.10%             | 2050-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86528 | PA      | $42202.25     | 0.00%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H33W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496293 | PA      | $416768.64    | 0.02%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3F98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83631 | PA      | $33383.85     | 0.00%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4TJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10905424 | PA      | $8917370.71   | 0.41%             | 2050-05-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    837034 | PA      | $838792.88    | 0.04%             | 2054-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498212 | PA      | $499198.60    | 0.02%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060961 | PA      | $1059093.55   | 0.05%             | 2055-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395ABZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28152 | PA      | $28066.40     | 0.00%             | 2034-06-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan  | Finance America Mortgage Loan Trust 2004-2                                       | CUSIP: 317350BK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545523 | PA      | $481579.58    | 0.02%             | 2034-08-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP1                                               | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25935 | PA      | $22562.96     | 0.00%             | 2035-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494519 | PA      | $492131.82    | 0.02%             | 2040-04-16      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DAB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    919385 | PA      | $882078.74    | 0.04%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR15                                       | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202744 | PA      | $141384.07    | 0.01%             | 2037-08-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2629780 | PA      | $1788169.47   | 0.08%             | 2047-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5105 | PA      | $6148.42      | 0.00%             | 2036-09-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584231 | PA      | $492853.46    | 0.02%             | 2047-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164827 | PA      | $147985.28    | 0.01%             | 2035-07-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-10R                                           | CUSIP: 65541BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343926 | PA      | $1102944.79   | 0.05%             | 2036-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-3                                    | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4135742 | PA      | $1904653.60   | 0.09%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S3 Trust                                                       | CUSIP: 74958BAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281296 | PA      | $196551.99    | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S12 Trust                                                      | CUSIP: 74958EAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97283 | PA      | $83269.37     | 0.00%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13349822 | PA      | $3080285.91   | 0.14%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009BB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100546 | PA      | $860110.95    | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-HE1                          | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663040 | PA      | $214744.37    | 0.01%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140259 | PA      | $52421.75     | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  3 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579NZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379838 | PA      | $393256.98    | 0.02%             | 2035-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464545 | PA      | $430415.37    | 0.02%             | 2035-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2006-2                                    | CUSIP: 86358EE77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430108 | PA      | $204458.08    | 0.01%             | 2036-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR5                          | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5526 | PA      | $5352.22      | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517183 | PA      | $433388.92    | 0.02%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE9                            | CUSIP: 073879KD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1731545 | PA      | $1684697.34   | 0.08%             | 2034-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879SM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110646 | PA      | $67269.15     | 0.00%             | 2035-04-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC8                            | CUSIP: 073879Z43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3017321 | PA      | $765192.72    | 0.03%             | 2035-11-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-AC5                            | CUSIP: 07388BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3780099 | PA      | $1310086.78   | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76634 | PA      | $73903.53     | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655465 | PA      | $475211.79    | 0.02%             | 2036-01-26      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204412 | PA      | $145132.26    | 0.01%             | 2046-12-26      | Variable      | 3.94%                 | No            |                  3 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2022-NQM3                                        | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742453 | PA      | $741458.45    | 0.03%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61015 | PA      | $56697.21     | 0.00%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-4                                                | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30180 | PA      | $4118.29      | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264786 | PA      | $249904.84    | 0.01%             | 2036-08-27      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648949 | PA      | $52215.52     | 0.00%             | 2036-12-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAA0<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |    257687 | PA      | $231030.48    | 0.01%             | 2037-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8 | CUSIP: 1729734E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4179325 | PA      | $4117800.20   | 0.19%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17310CAA0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   5295369 | PA      | $2347469.50   | 0.11%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203936 | PA      | $99180.60     | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AHA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183000 | PA      | $168674.53    | 0.01%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2428606 | PA      | $2383944.95   | 0.11%             | 2049-05-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247371 | PA      | $238037.69    | 0.01%             | 2049-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2004-4                                            | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20990 | PA      | $20516.59     | 0.00%             | 2034-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-A                                            | CUSIP: 542515AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    972187 | PA      | $16016.49     | 0.00%             | 2036-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173307 | PA      | $172072.91    | 0.01%             | 2034-11-21      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Alliance Bancorp Trust         | Alliance Bancorp Trust 2007-OA1                                                  | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557545 | PA      | $498012.84    | 0.02%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6710136 | PA      | $683516.62    | 0.03%             | 2036-12-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6855840 | PA      | $993407.03    | 0.05%             | 2037-02-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285026 | PA      | $9159.38      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156943 | PA      | $397965.88    | 0.02%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156943 | PA      | $119173.67    | 0.01%             | 2037-05-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-2                                   | CUSIP: 02660TFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486538 | PA      | $395882.33    | 0.02%             | 2045-09-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892139 | PA      | $842136.72    | 0.04%             | 2046-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2010-RR9 Trust                                                          | CUSIP: 05533GCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5896631 | PA      | $5030415.54   | 0.23%             | 2035-10-26      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-H Trust                                             | CUSIP: 05946XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78305 | PA      | $70266.17     | 0.00%             | 2035-11-20      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-7 Trust                                             | CUSIP: 05946XU92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66099 | PA      | $64791.35     | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344911 | PA      | $262901.28    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60826 | PA      | $46819.79     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243876 | PA      | $98992.01     | 0.00%             | 2035-09-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1547519 | PA      | $1444608.57   | 0.07%             | 2036-05-27      | Variable      | 2.00%                 | No            |                  3 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616461 | PA      | $567413.66    | 0.03%             | 2034-04-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-34T1                                                 | CUSIP: 12667FK87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674372 | PA      | $607964.83    | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-J5                                                   | CUSIP: 12667FLM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140631 | PA      | $139268.68    | 0.01%             | 2034-08-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J8                                                   | CUSIP: 12667GJ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287386 | PA      | $196047.87    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J9                                                   | CUSIP: 12667GT37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3407731 | PA      | $1612665.60   | 0.07%             | 2035-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212666 | PA      | $103390.93    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995434 | PA      | $754598.83    | 0.03%             | 2047-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1122422 | PA      | $496725.24    | 0.02%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA22                                                 | CUSIP: 23245PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294415 | PA      | $259084.79    | 0.01%             | 2047-02-25      | Floating      | 4.27%                 | No            |                  3 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2586505 | PA      | $168097.46    | 0.01%             | 2035-12-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7595621 | PA      | $6766403.78   | 0.31%             | 2036-04-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2WJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166609 | PA      | $147023.16    | 0.01%             | 2041-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4P86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485602 | PA      | $481622.99    | 0.02%             | 2042-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ABV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90423 | PA      | $80066.79     | 0.00%             | 2043-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189382 | PA      | $188022.18    | 0.01%             | 2042-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AJXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397139 | PA      | $1376625.85   | 0.06%             | 2044-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28117 | PA      | $25935.08     | 0.00%             | 2044-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDQS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1027416 | PA      | $753432.97    | 0.03%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3267312 | PA      | $2841562.50   | 0.13%             | 2051-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BU5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563060 | PA      | $564886.01    | 0.03%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137APJ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181553 | PA      | $144690.07    | 0.01%             | 2039-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2600 | PA      | $2599.14      | 0.00%             | 2041-02-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFCH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3024561 | PA      | $2392971.94   | 0.11%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194727 | PA      | $189766.79    | 0.01%             | 2048-08-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BE93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28952 | PA      | $28433.04     | 0.00%             | 2032-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394V4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207402 | PA      | $205532.63    | 0.01%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315820 | PA      | $311614.43    | 0.01%             | 2037-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA3                     | CUSIP: 32051GKC8<br>LEI: 5493008TK1VAAKZ9Y255 | Long             | ABS-MBS          | CORP              | US        |   1634430 | PA      | $916277.14    | 0.04%             | 2035-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239090 | PA      | $25390.98     | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR6                                                 | CUSIP: 362341SG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80257 | PA      | $69309.93     | 0.00%             | 2035-09-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236121 | PA      | $214595.88    | 0.01%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-11                                                   | CUSIP: 362367AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600735 | PA      | $839296.01    | 0.04%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4193463 | PA      | $911869.78    | 0.04%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-WF                                                              | CUSIP: 36242DKN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176215 | PA      | $176464.40    | 0.01%             | 2034-10-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-GR2                                     | CUSIP: 36262JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498049 | PA      | $1388680.46   | 0.06%             | 2052-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378FWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118820 | PA      | $112533.13    | 0.01%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693058 | PA      | $613628.89    | 0.03%             | 2047-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2603388 | PA      | $2534483.97   | 0.12%             | 2048-06-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BZ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206954 | PA      | $180826.30    | 0.01%             | 2050-01-20      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HHN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66614 | PA      | $49127.95     | 0.00%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  3 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73544 | PA      | $66417.55     | 0.00%             | 2045-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-7N                                                   | CUSIP: 525221EN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179336 | PA      | $146670.32    | 0.01%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM2 Trust                                                              | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |  17839539 | PA      | $17957430.00  | 0.82%             | 2063-12-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM18 Trust                                                             | CUSIP: 673913AA7<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |    625626 | PA      | $629271.72    | 0.03%             | 2064-10-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM9 Trust                                                              | CUSIP: 673921AA0<br>LEI: 2549007JKD4UEFDCFB08 | Long             | ABS-MBS          | CORP              | US        |   1248574 | PA      | $1263838.23   | 0.06%             | 2063-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15142 | PA      | $14568.68     | 0.00%             | 2027-05-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648379 | PA      | $586573.48    | 0.03%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217879 | PA      | $116058.61    | 0.01%             | 2037-04-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust                    | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365733 | PA      | $331403.07    | 0.02%             | 2046-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                    | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412221 | PA      | $364520.35    | 0.02%             | 2046-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108962 | PA      | $112122.94    | 0.01%             | 2035-10-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318649 | PA      | $131766.76    | 0.01%             | 2036-10-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust   | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2349504 | PA      | $610539.65    | 0.03%             | 2036-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288713 | PA      | $111744.72    | 0.01%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409486 | PA      | $37214.53     | 0.00%             | 2037-03-25      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250180 | PA      | $180434.26    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-19                                                   | CUSIP: 362244AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74132 | PA      | $18957.59     | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1647806 | PA      | $448807.54    | 0.02%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2121878 | PA      | $756660.39    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-OPT                                                             | CUSIP: 36242DNZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791737 | PA      | $617466.85    | 0.03%             | 2034-11-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15355 | PA      | $10748.68     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A7CB                                 | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428536 | PA      | $67779.37     | 0.00%             | 2036-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A6                                   | CUSIP: 76114CAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1446375 | PA      | $713570.12    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $50016854.50  | 2.27%             | 2027-04-30      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-4                                                | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   1087370 | PA      | $1101311.82   | 0.05%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR12 Trust                   | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25137 | PA      | $23024.59     | 0.00%             | 2035-10-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8854284 | PA      | $1597195.05   | 0.07%             | 2036-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337130 | PA      | $182303.17    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-2R                                  | CUSIP: 021482AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127380 | PA      | $495305.89    | 0.02%             | 2037-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-HY13                                                 | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374921 | PA      | $336110.29    | 0.02%             | 2037-02-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-11T1                                                 | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357064 | PA      | $106132.63    | 0.00%             | 2037-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-7                                                  | CUSIP: 073875AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1544721 | PA      | $1034396.14   | 0.05%             | 2046-12-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE8                            | CUSIP: 073879HG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385326 | PA      | $380885.77    | 0.02%             | 2034-09-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-IM1                            | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2404849 | PA      | $2609446.80   | 0.12%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II    | Bear Stearns ALT-A Trust II 2007-1                                               | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6626399 | PA      | $3088295.72   | 0.14%             | 2047-09-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM2                                        | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3496445 | PA      | $3527634.50   | 0.16%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM5                                        | CUSIP: 10569UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070740 | PA      | $1076000.12   | 0.05%             | 2063-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-7R                                                               | CUSIP: 12647DBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4362482 | PA      | $837051.28    | 0.04%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  3 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-17                                    | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613890 | PA      | $1344180.63   | 0.06%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462480 | PA      | $354207.76    | 0.02%             | 2035-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-70CB                                                 | CUSIP: 12668A2N4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359909 | PA      | $225311.19    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284644 | PA      | $162902.55    | 0.01%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AZ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061380 | PA      | $712550.58    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369798 | PA      | $332200.24    | 0.02%             | 2047-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust        | EMC Mortgage Loan Trust 2001-A                                                   | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417659 | PA      | $413421.35    | 0.02%             | 2040-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9PC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148366 | PA      | $108320.50    | 0.00%             | 2042-11-25      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AD5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639553 | PA      | $327303.70    | 0.01%             | 2043-05-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7YU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623364 | PA      | $615063.09    | 0.03%             | 2049-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBE81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4241629 | PA      | $3981057.56   | 0.18%             | 2050-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H65L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693808 | PA      | $621025.52    | 0.03%             | 2052-02-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T4                                                 | CUSIP: 31392B6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109169 | PA      | $117274.66    | 0.01%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427778 | PA      | $427037.58    | 0.02%             | 2036-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549688 | PA      | $550812.90    | 0.03%             | 2054-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562759 | PA      | $566172.72    | 0.03%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82879 | PA      | $82036.05     | 0.00%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135228 | PA      | $1109684.23   | 0.05%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403367 | PA      | $405619.06    | 0.02%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461681 | PA      | $460991.85    | 0.02%             | 2055-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79377 | PA      | $79535.08     | 0.00%             | 2038-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2079439 | PA      | $2063291.13   | 0.09%             | 2041-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442875 | PA      | $441449.65    | 0.02%             | 2041-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142065 | PA      | $141002.77    | 0.01%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-AR1                                                             | CUSIP: 36228F6P6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372775 | PA      | $1515525.25   | 0.07%             | 2034-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334HJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1293195 | PA      | $152098.95    | 0.01%             | 2036-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362341AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231687 | PA      | $221549.03    | 0.01%             | 2035-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417924 | PA      | $365006.88    | 0.02%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388335 | PA      | $333805.58    | 0.02%             | 2035-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4Y6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379962 | PA      | $320737.66    | 0.01%             | 2035-05-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-OPT                                                             | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39540 | PA      | $38508.13     | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-7F                                                  | CUSIP: 36298NAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690538 | PA      | $439501.69    | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-AR1                           | CUSIP: 59020VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466334 | PA      | $148255.08    | 0.01%             | 2037-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                      | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1154044 | PA      | $842389.61    | 0.04%             | 2036-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101411 | PA      | $96855.91     | 0.00%             | 2034-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124077 | PA      | $119205.83    | 0.01%             | 2034-03-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-11                    | CUSIP: 86362HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1927828 | PA      | $1926161.01   | 0.09%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AFC Home Equity Loan Trust     | AFC Trust Series 2000-1                                                          | CUSIP: 00105HEH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100219 | PA      | $96911.63     | 0.00%             | 2030-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2013-2                                                | CUSIP: 00214CAV7<br>LEI: 549300U5XN3K6DTLD558 | Long             | ABS-MBS          | CORP              | US        |   2118396 | PA      | $1915824.83   | 0.09%             | 2035-12-28      | Variable      | 4.98%                 | No            |                  3 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182259 | PA      | $174076.32    | 0.01%             | 2036-01-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883357 | PA      | $332883.04    | 0.02%             | 2036-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-46                                                   | CUSIP: 02147JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7052840 | PA      | $2490217.42   | 0.11%             | 2047-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-HY8C                                                 | CUSIP: 02150XAA9<br>LEI: 549300WVYUN6JZ4UKU34 | Long             | ABS-MBS          | CORP              | US        |    836195 | PA      | $784876.36    | 0.04%             | 2047-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770099 | PA      | $584648.36    | 0.03%             | 2037-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1681922 | PA      | $753886.38    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21042054 | PA      | $3265964.61   | 0.15%             | 2047-05-25      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-4                                                  | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-MBS          | CORP              | US        |    215321 | PA      | $217856.60    | 0.01%             | 2069-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W4                                                  | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267765 | PA      | $63535.22     | 0.00%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2005-WF1 Trust                                                              | CUSIP: 04542BMF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324122 | PA      | $329197.68    | 0.01%             | 2034-04-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                            | CUSIP: 04685A4M0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5005796.40   | 0.23%             | 2028-03-06      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2003-H Trust                                            | CUSIP: 05948XTH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537480 | PA      | $516532.62    | 0.02%             | 2033-09-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-4 Trust                                             | CUSIP: 05950FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275184 | PA      | $1816133.05   | 0.08%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                            | CUSIP: 05950GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256166 | PA      | $228013.27    | 0.01%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337447 | PA      | $294648.43    | 0.01%             | 2046-09-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217314 | PA      | $26135.23     | 0.00%             | 2036-09-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993872 | PA      | $860221.90    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76418 | PA      | $61852.68     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-4 Trust                                             | CUSIP: 05953YBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150269 | PA      | $115897.35    | 0.01%             | 2037-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-3                                                  | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116814 | PA      | $116130.54    | 0.01%             | 2034-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2005-SD2                              | CUSIP: 073877BU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2687497 | PA      | $3285385.02   | 0.15%             | 2044-12-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-FR2                            | CUSIP: 073879FK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334034 | PA      | $413374.17    | 0.02%             | 2034-06-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399440 | PA      | $367809.21    | 0.02%             | 2036-02-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC3                            | CUSIP: 07387NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2696534 | PA      | $633813.60    | 0.03%             | 2036-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1408468 | PA      | $461008.27    | 0.02%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63456 | PA      | $59461.13     | 0.00%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR5                                     | CUSIP: 07400NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176720 | PA      | $1025033.21   | 0.05%             | 2047-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM8                                        | CUSIP: 10567MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1899144 | PA      | $1912910.01   | 0.09%             | 2063-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294657 | PA      | $265226.04    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237673 | PA      | $1031257.48   | 0.05%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460363 | PA      | $414083.14    | 0.02%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667G5X7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611825 | PA      | $575642.59    | 0.03%             | 2035-10-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-19CB                                                 | CUSIP: 12667GGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246943 | PA      | $201377.66    | 0.01%             | 2035-06-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249850 | PA      | $186393.99    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317260 | PA      | $271887.53    | 0.01%             | 2035-07-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679447 | PA      | $1325702.82   | 0.06%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-17                                                   | CUSIP: 12667GSB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505191 | PA      | $422182.33    | 0.02%             | 2035-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324538 | PA      | $318139.93    | 0.01%             | 2035-11-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J2                                                   | CUSIP: 12668BTE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010847 | PA      | $220100.65    | 0.01%             | 2036-04-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902367 | PA      | $438699.63    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-21                                          | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172139 | PA      | $90490.65     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-18                                          | CUSIP: 12669F4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107885 | PA      | $106779.59    | 0.00%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630763 | PA      | $496173.67    | 0.02%             | 2035-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAA2<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |    735146 | PA      | $777292.92    | 0.04%             | 2047-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     51580 | PA      | $46948.43     | 0.00%             | 2047-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR1                                           | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367208 | PA      | $356407.24    | 0.02%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727461 | PA      | $525877.83    | 0.02%             | 2035-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A1                               | CUSIP: 17309AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171860 | PA      | $159130.30    | 0.01%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR1                                           | CUSIP: 17310UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929947 | PA      | $1086379.33   | 0.05%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134396 | PA      | $486712.23    | 0.02%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-3 Mortgage Loan Trust                                                  | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |   4949284 | PA      | $5003922.63   | 0.23%             | 2068-09-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12739754 | PA      | $3097864.93   | 0.14%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980116 | PA      | $991668.50    | 0.05%             | 2031-03-01      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2005-AR5                                                | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4564267 | PA      | $2393105.20   | 0.11%             | 2045-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3                    | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180860 | PA      | $162039.80    | 0.01%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11203 | PA      | $9098.52      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6543949 | PA      | $30307.64     | 0.00%             | 2036-04-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7TZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4969399 | PA      | $4925561.27   | 0.22%             | 2042-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A95L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622884 | PA      | $613889.98    | 0.03%             | 2042-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035846 | PA      | $1020784.39   | 0.05%             | 2043-06-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637793 | PA      | $631641.79    | 0.03%             | 2044-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AP7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198408 | PA      | $132066.85    | 0.01%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234164 | PA      | $229299.15    | 0.01%             | 2045-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ARDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2988704 | PA      | $2951238.15   | 0.13%             | 2046-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319323 | PA      | $316897.96    | 0.01%             | 2046-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756968 | PA      | $737252.39    | 0.03%             | 2048-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3GA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3492783 | PA      | $3408742.45   | 0.15%             | 2048-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3V56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711799 | PA      | $703971.85    | 0.03%             | 2049-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300424 | PA      | $265305.22    | 0.01%             | 2049-05-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3055929 | PA      | $2358852.65   | 0.11%             | 2050-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3381812 | PA      | $2786175.14   | 0.13%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3146216 | PA      | $2343899.38   | 0.11%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1580945 | PA      | $1519479.98   | 0.07%             | 2050-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273417 | PA      | $275053.56    | 0.01%             | 2055-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207492 | PA      | $964834.35    | 0.04%             | 2040-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133596 | PA      | $132368.03    | 0.01%             | 2042-11-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2080612 | PA      | $1546951.41   | 0.07%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1733948 | PA      | $1265284.11   | 0.06%             | 2050-12-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514976 | PA      | $504218.05    | 0.02%             | 2049-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQG64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1481410 | PA      | $1462744.23   | 0.07%             | 2049-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7833747 | PA      | $7467188.92   | 0.34%             | 2051-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHEL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172822 | PA      | $173293.28    | 0.01%             | 2054-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W1                                                   | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    964778 | PA      | $974054.94    | 0.04%             | 2042-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66392 | PA      | $68167.70     | 0.00%             | 2042-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74218 | PA      | $73452.13     | 0.00%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1784280 | PA      | $1787204.81   | 0.08%             | 2038-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343246 | PA      | $344270.76    | 0.02%             | 2040-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2003-FF5                                      | CUSIP: 32027NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278613 | PA      | $268496.73    | 0.01%             | 2034-03-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA6                     | CUSIP: 32051GTG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729453 | PA      | $360191.57    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA2                     | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261506 | PA      | $212607.06    | 0.01%             | 2036-05-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA2                     | CUSIP: 32053LAE2<br>LEI: 549300PO80CHJL6XUB79 | Long             | ABS-MBS          | CORP              | US        |      8624 | PA      | $1927.93      | 0.00%             | 2037-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377XQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683578 | PA      | $689563.27    | 0.03%             | 2041-08-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55629 | PA      | $49812.43     | 0.00%             | 2042-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378WH22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405144 | PA      | $399750.81    | 0.02%             | 2043-09-16      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045776 | PA      | $1079901.50   | 0.05%             | 2030-03-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-11                                  | CUSIP: 466300AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4763922 | PA      | $3784340.49   | 0.17%             | 2037-01-26      | Variable      | 5.95%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-3                                                     | CUSIP: 52520CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4551665 | PA      | $637759.29    | 0.03%             | 2036-07-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136443 | PA      | $567557.39    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297318 | PA      | $68052.76     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-15N                                                  | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23211 | PA      | $22980.85     | 0.00%             | 2037-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-14H                                                         | CUSIP: 52525LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2682628 | PA      | $2543646.54   | 0.12%             | 2047-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-7                                                   | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2746673 | PA      | $2449725.20   | 0.11%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-4                                     | CUSIP: 576433MA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173442 | PA      | $166539.92    | 0.01%             | 2034-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-6XS                                      | CUSIP: 61751JAL5<br>LEI: 54930082QRSQQM7E0E88 | Long             | ABS-MBS          | CORP              | US        |   1615376 | PA      | $528215.79    | 0.02%             | 2047-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mortgage Corp         | ABN Amro Mortgage Corp                                                           | CUSIP: 00077B5C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79445 | PA      | $79474.29     | 0.00%             | 2032-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884066 | PA      | $775198.55    | 0.04%             | 2035-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1761511 | PA      | $1240937.73   | 0.06%             | 2035-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-6A                                           | CUSIP: 007036PG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114967 | PA      | $30551.42     | 0.00%             | 2035-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5613894 | PA      | $2049769.74   | 0.09%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6147940 | PA      | $6299097.24   | 0.29%             | 2036-07-25      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3420368 | PA      | $1248859.88   | 0.06%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1505559 | PA      | $474487.99    | 0.02%             | 2036-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-33CB                                                 | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249862 | PA      | $125263.18    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939373 | PA      | $421012.57    | 0.02%             | 2037-01-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2644298 | PA      | $282604.05    | 0.01%             | 2037-01-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-A                                   | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109975 | PA      | $22392.56     | 0.00%             | 2046-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2003-2 Trust                                             | CUSIP: 05946XCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144837 | PA      | $143738.40    | 0.01%             | 2032-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-E Trust                                             | CUSIP: 05946XXW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1078257 | PA      | $858090.08    | 0.04%             | 2035-06-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R6 Trust                                            | CUSIP: 05969KAG8<br>LEI: 549300R28UJ0IF8WGK39 | Long             | ABS-MBS          | CORP              | US        |    817625 | PA      | $745060.95    | 0.03%             | 2036-10-26      | Variable      | 4.34%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668348 | PA      | $202566.90    | 0.01%             | 2037-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY5                                         | CUSIP: 12544BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390252 | PA      | $363561.83    | 0.02%             | 2037-09-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY1                                         | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163027 | PA      | $1084165.91   | 0.05%             | 2037-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12667G7H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238662 | PA      | $163798.47    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543687 | PA      | $263984.75    | 0.01%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE1                                  | CUSIP: 144538AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1346019.20   | 0.06%             | 2036-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                                      | CUSIP: 16158RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144000 | PA      | $113503.35    | 0.01%             | 2049-04-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2412348 | PA      | $736585.71    | 0.03%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683985 | PA      | $419836.03    | 0.02%             | 2035-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1               | CUSIP: 16678RAT4<br>LEI: 5493000I2UKXKSXK3222 | Long             | ABS-MBS          | CORP              | US        |    403275 | PA      | $400408.62    | 0.02%             | 2035-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597359 | PA      | $328751.09    | 0.01%             | 2031-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75990 | PA      | $52314.59     | 0.00%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1853508 | PA      | $1388416.11   | 0.06%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213443 | PA      | $133925.29    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4J65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60941 | PA      | $60604.10     | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717272 | PA      | $543536.92    | 0.02%             | 2041-01-15      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27065 | PA      | $27192.04     | 0.00%             | 2032-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393Y3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243027 | PA      | $216243.70    | 0.01%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2X2<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   1812079 | PA      | $658483.11    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA8                     | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956152 | PA      | $334666.58    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Mortgage Trust        | FirstKey Mortgage Trust 2015-1                                                   | CUSIP: 33767CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43346 | PA      | $40580.34     | 0.00%             | 2045-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1432798 | PA      | $1426618.33   | 0.06%             | 2041-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153500 | PA      | $135559.69    | 0.01%             | 2041-06-16      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378C6K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    835115 | PA      | $827594.52    | 0.04%             | 2042-02-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545929 | PA      | $372381.72    | 0.02%             | 2037-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A5                                                 | CUSIP: 466247SE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50561 | PA      | $46718.48     | 0.00%             | 2035-08-25      | Variable      | 4.74%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51090 | PA      | $38989.36     | 0.00%             | 2037-06-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Resecuritization Trust 2015-R2                                    | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    794748 | PA      | $720422.05    | 0.03%             | 2046-12-27      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R3                                            | CUSIP: 61759DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6013819 | PA      | $5145661.65   | 0.23%             | 2036-06-26      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2024-RPL1                                    | CUSIP: 64832AAA5<br>LEI: 213800YID3SS4UZHT817 | Long             | ABS-MBS          | CORP              | US        |    225097 | PA      | $214900.16    | 0.01%             | 2064-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930311 | PA      | $985650.73    | 0.04%             | 2029-11-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                       | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52361 | PA      | $42942.82     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1672294 | PA      | $1245039.00   | 0.06%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864380 | PA      | $1427236.32   | 0.06%             | 2036-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461473 | PA      | $379736.42    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96245 | PA      | $84637.54     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885418 | PA      | $745630.78    | 0.03%             | 2046-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3066892 | PA      | $2802147.24   | 0.13%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56077 | PA      | $63868.16     | 0.00%             | 2036-01-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202356 | PA      | $34263.92     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571531 | PA      | $162983.28    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS         | CUSIP: 86359BJV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220063 | PA      | $216450.39    | 0.01%             | 2034-03-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR6                          | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1789032 | PA      | $1271369.83   | 0.06%             | 2046-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | SunTrust Alternative Loan Trust 2006-1F                                          | CUSIP: 86800RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174721 | PA      | $411109.18    | 0.02%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921171 | PA      | $263096.69    | 0.01%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11067275 | PA      | $448181.47    | 0.02%             | 2036-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2006-9HGA                                                  | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    891451 | PA      | $264369.84    | 0.01%             | 2037-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CKM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23000000 | PA      | $22998410.70  | 1.05%             | 2026-04-30      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $28016146.48  | 1.27%             | 2027-07-31      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust                    | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259668 | PA      | $251995.23    | 0.01%             | 2035-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust                     | CUSIP: 92922FMB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17223 | PA      | $17481.89     | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR11 Trust                   | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103205 | PA      | $100830.92    | 0.00%             | 2034-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust                    | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    913707 | PA      | $827880.70    | 0.04%             | 2036-03-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245807 | PA      | $219418.43    | 0.01%             | 2037-02-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust                    | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132282 | PA      | $109029.85    | 0.00%             | 2037-05-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR9 Trust                    | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10280 | PA      | $10067.48     | 0.00%             | 2042-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-15 Trust                             | CUSIP: 949797AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520259 | PA      | $509872.63    | 0.02%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599840 | PA      | $1459097.77   | 0.07%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150463 | PA      | $108654.14    | 0.00%             | 2035-10-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-5        | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143708 | PA      | $131932.20    | 0.01%             | 2034-12-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59397 | PA      | $51810.56     | 0.00%             | 2046-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-J1                                                   | CUSIP: 02149MAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772119 | PA      | $513198.97    | 0.02%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-14T2                                                 | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6824366 | PA      | $3489493.51   | 0.16%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351315 | PA      | $40037.90     | 0.00%             | 2037-04-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382613 | PA      | $303986.26    | 0.01%             | 2037-08-25      | Floating      | 15.92%                | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-2                                   | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975261 | PA      | $345148.37    | 0.02%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2008-RR3 Trust                                                          | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2676023 | PA      | $795772.60    | 0.04%             | 2036-10-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203027 | PA      | $451835.20    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-10                                   | CUSIP: 05948KQ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402007 | PA      | $351391.46    | 0.02%             | 2035-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-E Trust                                            | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203941 | PA      | $196053.35    | 0.01%             | 2035-06-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-F Trust                                            | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255978 | PA      | $243867.48    | 0.01%             | 2035-07-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage Trust 2005-8                                            | CUSIP: 05949CGZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686725 | PA      | $601290.06    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471569 | PA      | $326266.61    | 0.01%             | 2037-09-25      | Floating      | 4.85%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44512 | PA      | $37285.08     | 0.00%             | 2033-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-AC5                            | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103616 | PA      | $100241.29    | 0.00%             | 2034-10-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2007-2                                                    | CUSIP: 07401EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748436 | PA      | $676551.99    | 0.03%             | 2046-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683157 | PA      | $622391.69    | 0.03%             | 2035-11-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118331 | PA      | $721896.00    | 0.03%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11850 | PA      | $12394.96     | 0.00%             | 2035-11-25      | Floating      | 7.73%                 | No            |                  3 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2019-2                                             | CUSIP: 36418AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44870 | PA      | $42063.99     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR4                                               | CUSIP: 76112BUF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80560 | PA      | $58246.14     | 0.00%             | 2035-07-19      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BF6N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620199 | PA      | $1600713.22   | 0.07%             | 2044-06-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BR4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779256 | PA      | $769819.52    | 0.04%             | 2046-08-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9WS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201560 | PA      | $150619.18    | 0.01%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509719 | PA      | $385282.87    | 0.02%             | 2051-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137691 | PA      | $302576.43    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1371047 | PA      | $436907.05    | 0.02%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2350366 | PA      | $748983.52    | 0.03%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1049719 | PA      | $365511.68    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3486784 | PA      | $557129.47    | 0.03%             | 2037-09-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-4 Mortgage Loan Trust                                                  | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |   1949790 | PA      | $1973749.49   | 0.09%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628333 | PA      | $870262.98    | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18473122 | PA      | $4453387.45   | 0.20%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90604 | PA      | $88160.26     | 0.00%             | 2035-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42278 | PA      | $32090.04     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117310 | PA      | $85570.34     | 0.00%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KU80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154136 | PA      | $141082.11    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-34CB                                                 | CUSIP: 12667GW58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291046 | PA      | $21327.74     | 0.00%             | 2035-09-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA7                                                  | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |   1752957 | PA      | $1629275.30   | 0.07%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-A Trust                                            | CUSIP: 05949AH52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103463 | PA      | $89289.30     | 0.00%             | 2035-02-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248296 | PA      | $179946.84    | 0.01%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385526 | PA      | $250527.89    | 0.01%             | 2035-11-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347379 | PA      | $154392.17    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938334 | PA      | $886398.77    | 0.04%             | 2047-05-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769814 | PA      | $727130.26    | 0.03%             | 2047-02-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0J65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158459 | PA      | $157905.10    | 0.01%             | 2041-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A12P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30517 | PA      | $30417.58     | 0.00%             | 2039-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170838 | PA      | $144323.52    | 0.01%             | 2035-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164953 | PA      | $57592.64     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6ZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400492 | PA      | $1385479.43   | 0.06%             | 2042-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7PQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9614650 | PA      | $9479531.48   | 0.43%             | 2042-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4               | CUSIP: 16678RCE5<br>LEI: 549300BO65N44G8TZI31 | Long             | ABS-MBS          | CORP              | US        |   2333296 | PA      | $1973728.51   | 0.09%             | 2035-10-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1288203 | PA      | $1270510.88   | 0.06%             | 2033-12-01      | Variable      | 9.55%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7965150 | PA      | $2181836.06   | 0.10%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402926 | PA      | $193672.30    | 0.01%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1368735 | PA      | $484189.95    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1CS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977364 | PA      | $872064.25    | 0.04%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465784 | PA      | $317744.68    | 0.01%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-12                                                   | CUSIP: 362381AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3088163 | PA      | $696641.36    | 0.03%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3WF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577575 | PA      | $565386.22    | 0.03%             | 2049-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B45C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135702 | PA      | $133168.30    | 0.01%             | 2049-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2001-C                  | CUSIP: 456606DD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390514 | PA      | $405858.65    | 0.02%             | 2032-12-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194907 | PA      | $130616.75    | 0.01%             | 2035-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235627 | PA      | $198336.53    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4SP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965628 | PA      | $843565.04    | 0.04%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2004-AR9                                        | CUSIP: 45660N3U7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427333 | PA      | $355194.12    | 0.02%             | 2034-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645952 | PA      | $959444.26    | 0.04%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5JC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4259368 | PA      | $4202552.24   | 0.19%             | 2049-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772759 | PA      | $564046.70    | 0.03%             | 2050-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283560 | PA      | $218592.89    | 0.01%             | 2037-03-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3                        | CUSIP: 59020UL45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9128 | PA      | $8925.41      | 0.00%             | 2035-11-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9446270 | PA      | $9524771.29   | 0.43%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757975 | PA      | $759982.17    | 0.03%             | 2055-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                       | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161162 | PA      | $153435.49    | 0.01%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-HE1                                  | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222164 | PA      | $221114.80    | 0.01%             | 2034-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6DK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250624 | PA      | $245108.57    | 0.01%             | 2041-02-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8HX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398885 | PA      | $395706.03    | 0.02%             | 2041-03-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-6AR                                      | CUSIP: 61748HML2<br>LEI: 5493009TSYV65TPO7151 | Long             | ABS-MBS          | CORP              | US        |    521979 | PA      | $456205.62    | 0.02%             | 2035-11-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347766 | PA      | $136135.72    | 0.01%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8J25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240506 | PA      | $239843.66    | 0.01%             | 2033-02-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQMT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554480 | PA      | $550159.58    | 0.03%             | 2042-05-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAG1<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   2944345 | PA      | $996995.02    | 0.05%             | 2036-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2006-HE6                                  | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153688 | PA      | $52841.42     | 0.00%             | 2036-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1429116 | PA      | $1414198.17   | 0.06%             | 2042-06-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AS4Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78001 | PA      | $77245.37     | 0.00%             | 2042-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2081846 | PA      | $469541.32    | 0.02%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-15AR                                     | CUSIP: 61756XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1369069 | PA      | $1138461.06   | 0.05%             | 2037-11-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203747 | PA      | $877351.96    | 0.04%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASEM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184260 | PA      | $181555.80    | 0.01%             | 2042-07-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASUW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272443 | PA      | $269479.71    | 0.01%             | 2042-08-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ATBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3789847 | PA      | $3751956.36   | 0.17%             | 2042-08-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AU2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2409456 | PA      | $2376310.54   | 0.11%             | 2042-09-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUBQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1684322 | PA      | $1659483.93   | 0.08%             | 2042-09-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AWEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342747 | PA      | $335874.09    | 0.02%             | 2042-11-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B5X65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2860444 | PA      | $2300280.27   | 0.10%             | 2041-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BEH49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297822 | PA      | $294902.59    | 0.01%             | 2041-02-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8NS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    963206 | PA      | $748182.30    | 0.03%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFZ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198495 | PA      | $148991.80    | 0.01%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJK81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27304152 | PA      | $17592501.74  | 0.80%             | 2056-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1971453 | PA      | $1932411.33   | 0.09%             | 2049-05-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060145 | PA      | $1040899.28   | 0.05%             | 2049-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482548 | PA      | $474735.92    | 0.02%             | 2049-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1734841 | PA      | $1459538.85   | 0.07%             | 2053-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HJAV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571480 | PA      | $573683.05    | 0.03%             | 2054-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317716 | PA      | $318904.93    | 0.01%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKL85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972750 | PA      | $979998.90    | 0.04%             | 2055-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15923 | PA      | $15748.84     | 0.00%             | 2036-11-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445096 | PA      | $440766.14    | 0.02%             | 2036-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507721 | PA      | $502299.40    | 0.02%             | 2037-05-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12111 | PA      | $12055.56     | 0.00%             | 2037-05-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43648 | PA      | $43952.38     | 0.00%             | 2038-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA8                     | CUSIP: 32052AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221171 | PA      | $149012.09    | 0.01%             | 2037-02-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-4                                 | CUSIP: 32056CAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3176538 | PA      | $748076.67    | 0.03%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-B                                                   | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74213 | PA      | $22842.66     | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     52387 | PA      | $48584.03     | 0.00%             | 2032-04-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ABZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83295 | PA      | $77398.08     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TF83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8785443 | PA      | $8716235.43   | 0.40%             | 2039-09-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727748 | PA      | $593771.39    | 0.03%             | 2050-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2202964 | PA      | $1807219.04   | 0.08%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764705 | PA      | $588277.36    | 0.03%             | 2050-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606GA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184628 | PA      | $154962.92    | 0.01%             | 2035-03-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR5                                        | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284567 | PA      | $188203.56    | 0.01%             | 2035-05-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029748 | PA      | $497550.39    | 0.02%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR31                                       | CUSIP: 45660LW96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303246 | PA      | $1553311.84   | 0.07%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717154 | PA      | $614116.06    | 0.03%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A2                                                 | CUSIP: 466247NK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81273 | PA      | $79786.75     | 0.00%             | 2035-04-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A1                                         | CUSIP: 46627MCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2231989 | PA      | $1656781.43   | 0.08%             | 2036-03-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A6                                         | CUSIP: 466285AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667727 | PA      | $562125.30    | 0.03%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A7                                         | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131406 | PA      | $1025540.48   | 0.05%             | 2036-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312537 | PA      | $171604.64    | 0.01%             | 2036-10-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A7                                                 | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217380 | PA      | $174197.60    | 0.01%             | 2037-01-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-CH2                                    | CUSIP: 46629QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535461 | PA      | $318735.16    | 0.01%             | 2036-10-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5406136 | PA      | $1177037.88   | 0.05%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440213 | PA      | $997129.65    | 0.05%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-8                                                     | CUSIP: 52520SAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20366090 | PA      | $2335041.42   | 0.11%             | 2036-12-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-10                                                   | CUSIP: 525221FM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005825 | PA      | $869208.15    | 0.04%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization  | MASTR Seasoned Securitization Trust 2005-1                                       | CUSIP: 55265WCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195112 | PA      | $189024.11    | 0.01%             | 2032-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979487 | PA      | $267160.99    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2007-4R                                                              | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57556 | PA      | $52288.34     | 0.00%             | 2036-10-26      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4752645 | PA      | $1895111.66   | 0.09%             | 2035-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547286 | PA      | $233225.82    | 0.01%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216421 | PA      | $74529.37     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-13                                             | CUSIP: 576434A53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690671 | PA      | $1425822.04   | 0.06%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2003-HE1                           | CUSIP: 5899294W5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40062 | PA      | $39881.61     | 0.00%             | 2034-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-12N                                                  | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48776 | PA      | $52354.69     | 0.00%             | 2046-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-16N                                                  | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6810646 | PA      | $6284208.43   | 0.29%             | 2047-09-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2012-RR4 Trust                                                          | CUSIP: 05540XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1803034 | PA      | $959638.52    | 0.04%             | 2036-02-26      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-J Trust                                            | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48606 | PA      | $44292.92     | 0.00%             | 2035-11-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093623 | PA      | $468378.22    | 0.02%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-8                                                | CUSIP: 22942MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179955 | PA      | $33657.61     | 0.00%             | 2021-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347256 | PA      | $296899.50    | 0.01%             | 2038-02-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146770 | PA      | $140664.48    | 0.01%             | 2035-07-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                            | CUSIP: 05950GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632220 | PA      | $515330.64    | 0.02%             | 2046-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-6                                                    | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80518 | PA      | $79643.97     | 0.00%             | 2033-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2009-RR4 Trust                                                          | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72468 | PA      | $16216.09     | 0.00%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1802118 | PA      | $1009185.86   | 0.05%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24985507.00  | 1.14%             | 2026-01-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-5                                                | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |   1356056 | PA      | $1360849.99   | 0.06%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR9 Trust                                                          | CUSIP: 05536KCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251414 | PA      | $1355433.42   | 0.06%             | 2036-01-26      | Variable      | 4.33%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-B Trust                                             | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35573 | PA      | $32619.67     | 0.00%             | 2036-03-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-B Trust                                             | CUSIP: 05946XRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257066 | PA      | $241741.79    | 0.01%             | 2035-04-20      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage Trust 2005-3                                            | CUSIP: 05949A3Q1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411754 | PA      | $378637.32    | 0.02%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-G Trust                                             | CUSIP: 05950MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2816 | PA      | $2803.65      | 0.00%             | 2036-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589733 | PA      | $461809.50    | 0.02%             | 2036-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211602 | PA      | $198564.55    | 0.01%             | 2047-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158150 | PA      | $117044.66    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2009-R14 Trust                                           | CUSIP: 05955MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413868 | PA      | $351250.93    | 0.02%             | 2035-07-26      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606BAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $34994.94     | 0.00%             | 2021-06-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2004-10                                                   | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42247 | PA      | $40848.73     | 0.00%             | 2035-01-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043761 | PA      | $571469.29    | 0.03%             | 2036-11-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-3                                                | CUSIP: 12628KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584408 | PA      | $75158.32     | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707850 | PA      | $491847.15    | 0.02%             | 2035-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344143 | PA      | $312121.05    | 0.01%             | 2035-08-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333360 | PA      | $263719.40    | 0.01%             | 2035-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53185 | PA      | $28217.08     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GWY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1951367 | PA      | $1550251.22   | 0.07%             | 2035-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628641 | PA      | $1644614.36   | 0.07%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104374 | PA      | $92956.77     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A3                                      | CUSIP: 161639AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108635 | PA      | $89051.36     | 0.00%             | 2037-12-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A3                                      | CUSIP: 161639BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277362 | PA      | $241904.46    | 0.01%             | 2037-12-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203877 | PA      | $181628.54    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105007 | PA      | $53971.79     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-HE5                       | CUSIP: 000797AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6518161 | PA      | $2063306.30   | 0.09%             | 2037-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-2                                            | CUSIP: 007036BU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6709 | PA      | $6668.21      | 0.00%             | 2035-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-4                                            | CUSIP: 007036DN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22792 | PA      | $22444.60     | 0.00%             | 2035-03-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336688 | PA      | $167517.38    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-G Trust                                            | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394350 | PA      | $375822.73    | 0.02%             | 2035-08-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition  | Bayview Financial Mortgage Pass-Through Trust 2006-C                             | CUSIP: 07325DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710054 | PA      | $675452.44    | 0.03%             | 2036-11-28      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3854333 | PA      | $2086151.25   | 0.09%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3931055 | PA      | $938427.85    | 0.04%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE7                            | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3109 | PA      | $3089.58      | 0.00%             | 2034-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166544 | PA      | $159499.93    | 0.01%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-6                                                                | CUSIP: 12647MAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16318 | PA      | $15910.65     | 0.00%             | 2028-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2006-AR1                                                | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2109805 | PA      | $1717724.08   | 0.08%             | 2046-04-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83549 | PA      | $70628.91     | 0.00%             | 2037-03-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1                                | CUSIP: 251563CA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28200 | PA      | $27962.35     | 0.00%             | 2033-12-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6206063 | PA      | $1817091.26   | 0.08%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2011-4R                                                              | CUSIP: 12645KDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4866885 | PA      | $4442928.00   | 0.20%             | 2036-05-27      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716764 | PA      | $659368.65    | 0.03%             | 2036-04-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2318958 | PA      | $2259022.41   | 0.10%             | 2036-04-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust  | EquiFirst Mortgage Loan Trust 2004-2                                             | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39742 | PA      | $37976.73     | 0.00%             | 2034-10-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc             | Equity One Mortgage Pass-Through Trust 2004-3                                    | CUSIP: 294751FA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667699 | PA      | $570180.39    | 0.03%             | 2034-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3GS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1924102 | PA      | $1941075.21   | 0.09%             | 2053-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 1998-W2                                                   | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42664 | PA      | $43182.87     | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A1PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286421 | PA      | $1274838.73   | 0.06%             | 2041-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2D59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100599 | PA      | $80981.06     | 0.00%             | 2041-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223294 | PA      | $196479.78    | 0.01%             | 2047-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OH1                                                  | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55442 | PA      | $49577.45     | 0.00%             | 2047-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803216 | PA      | $798436.04    | 0.04%             | 2042-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141953 | PA      | $140633.19    | 0.01%             | 2042-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E                        | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94707 | PA      | $90270.37     | 0.00%             | 2028-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2005-A9                            | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184179 | PA      | $176815.09    | 0.01%             | 2035-12-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636089 | PA      | $629752.47    | 0.03%             | 2042-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309314 | PA      | $1078942.87   | 0.05%             | 2039-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL2A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    757454 | PA      | $739181.25    | 0.03%             | 2042-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BLD88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277413 | PA      | $275010.22    | 0.01%             | 2045-09-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BRYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941552 | PA      | $754468.50    | 0.03%             | 2042-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4UZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154618 | PA      | $1124901.61   | 0.05%             | 2048-02-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210698 | PA      | $46516.89     | 0.00%             | 2037-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629ECG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8236949 | PA      | $994072.89    | 0.05%             | 2037-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6EY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430495 | PA      | $216097.56    | 0.01%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8579131 | PA      | $8379029.13   | 0.38%             | 2057-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76117 | PA      | $79739.53     | 0.00%             | 2046-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-1                                     | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17620 | PA      | $17440.09     | 0.00%             | 2036-07-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1313005 | PA      | $1285895.07   | 0.06%             | 2049-03-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213039 | PA      | $180327.22    | 0.01%             | 2049-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205063 | PA      | $205109.05    | 0.01%             | 2034-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-30CB                                                 | CUSIP: 12667FJ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1849286 | PA      | $1220449.21   | 0.06%             | 2035-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FU6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2465094 | PA      | $2405620.19   | 0.11%             | 2050-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FUA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89569 | PA      | $51586.33     | 0.00%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180705 | PA      | $163538.31    | 0.01%             | 2035-06-25      | Floating      | 4.35%                 | No            |                  3 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5357237 | PA      | $4989493.45   | 0.23%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2001-T13                                                | CUSIP: 31392A5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1587544 | PA      | $1530989.80   | 0.07%             | 2032-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T16                                                | CUSIP: 31392FDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14978 | PA      | $14884.56     | 0.00%             | 2042-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Pass-Through Certificates Series 2006-1                      | CUSIP: 225470T37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1568843 | PA      | $409153.29    | 0.02%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-1                                                | CUSIP: 22943HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4586228 | PA      | $557425.28    | 0.03%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85121 | PA      | $85302.25     | 0.00%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BP39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86409 | PA      | $85840.64     | 0.00%             | 2036-10-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-SL4                       | CUSIP: 00441WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1751875 | PA      | $64377.91     | 0.00%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXFQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099562 | PA      | $893760.51    | 0.04%             | 2040-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT5A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613193 | PA      | $476567.30    | 0.02%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727324 | PA      | $726440.46    | 0.03%             | 2041-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412100 | PA      | $413092.72    | 0.02%             | 2040-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1                      | CUSIP: 00442AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262576 | PA      | $17808.48     | 0.00%             | 2036-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44671 | PA      | $23028.48     | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31339L2E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47507 | PA      | $47581.08     | 0.00%             | 2031-11-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446898 | PA      | $1200656.09   | 0.05%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G3A1<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |    770159 | PA      | $279864.66    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2002-HE1                                            | CUSIP: 361856BU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102204 | PA      | $77998.09     | 0.00%             | 2029-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247086 | PA      | $122746.14    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577551 | PA      | $276546.20    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A3CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911688 | PA      | $904717.31    | 0.04%             | 2040-11-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJ3X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130768 | PA      | $130275.22    | 0.01%             | 2041-07-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1647937 | PA      | $1630217.97   | 0.07%             | 2041-06-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378YZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        92 | PA      | $91.95        | 0.00%             | 2026-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AXAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538059 | PA      | $525262.14    | 0.02%             | 2037-09-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJTM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2693351 | PA      | $2636542.29   | 0.12%             | 2045-06-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379FWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208043 | PA      | $137194.85    | 0.01%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379LD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58514 | PA      | $44640.28     | 0.00%             | 2045-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271600 | PA      | $220674.99    | 0.01%             | 2046-10-15      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417382 | PA      | $408926.99    | 0.02%             | 2055-01-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWWX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532926 | PA      | $526508.35    | 0.02%             | 2042-12-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4KV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301004 | PA      | $257828.56    | 0.01%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2633520 | PA      | $2024666.13   | 0.09%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394TZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4698 | PA      | $3920.32      | 0.00%             | 2034-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379PLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67349 | PA      | $61349.84     | 0.00%             | 2045-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381NCG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531088 | PA      | $429634.48    | 0.02%             | 2055-06-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396RE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383021 | PA      | $379769.17    | 0.02%             | 2036-05-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130089 | PA      | $128614.79    | 0.01%             | 2036-11-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844656 | PA      | $674468.04    | 0.03%             | 2036-08-27      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136532 | PA      | $113020.50    | 0.01%             | 2035-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6732529 | PA      | $748035.80    | 0.03%             | 2037-06-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213570 | PA      | $94201.19     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397EWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211366 | PA      | $208993.92    | 0.01%             | 2037-02-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397GZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338019 | PA      | $335385.40    | 0.02%             | 2036-07-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315964 | PA      | $310523.00    | 0.01%             | 2049-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TRK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2893926 | PA      | $2839687.95   | 0.13%             | 2049-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830533 | PA      | $305636.25    | 0.01%             | 2045-11-25      | Floating      | 5.88%                 | No            |                  3 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431963 | PA      | $406221.16    | 0.02%             | 2046-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264869 | PA      | $261713.59    | 0.01%             | 2037-05-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GS48<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   3018178 | PA      | $931572.78    | 0.04%             | 2036-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WH50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1788796 | PA      | $1765527.72   | 0.08%             | 2049-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371093 | PA      | $362797.85    | 0.02%             | 2049-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21482 | PA      | $19472.96     | 0.00%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA HSG FIN CORP REVENUE   | Florida Housing Finance Corp                                                     | CUSIP: 34074NFS3<br>LEI: 549300W0PCIJCI0JCF10 | Long             | DBT              | MUN               | US        |   6200000 | PA      | $6269150.46   | 0.29%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298702 | PA      | $80988.05     | 0.00%             | 2036-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2005-AQ1 Trust                                                              | CUSIP: 04542BNC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14947865 | PA      | $14424690.13  | 0.66%             | 2035-06-25      | Variable      | 4.81%                 | No            |                  3 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49681 | PA      | $37207.84     | 0.00%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618260 | PA      | $1340885.23   | 0.06%             | 2036-04-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152314 | PA      | $141890.55    | 0.01%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 073324AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6973967 | PA      | $6274211.52   | 0.29%             | 2037-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2004-J2                                                | CUSIP: 36185N2F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105824 | PA      | $91270.85     | 0.00%             | 2034-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334JR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361276 | PA      | $327471.72    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566119 | PA      | $484543.06    | 0.02%             | 2050-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382FPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12182444 | PA      | $11836443.24  | 0.54%             | 2050-05-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3879580 | PA      | $229756.50    | 0.01%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370117 | PA      | $331224.91    | 0.02%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-9F                                                  | CUSIP: 362341Q85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277354 | PA      | $234921.72    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-2F                                                  | CUSIP: 36242DYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397496 | PA      | $78504.01     | 0.00%             | 2035-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245456 | PA      | $193238.55    | 0.01%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968225 | PA      | $565158.39    | 0.03%             | 2036-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc                                             | CUSIP: 12587PFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3392627 | PA      | $2619386.31   | 0.12%             | 2047-06-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-4 Mortgage Loan Trust                                                  | CUSIP: 12598WAE2<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |   2688000 | PA      | $2729830.92   | 0.12%             | 2068-10-25      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-10F                                                 | CUSIP: 36266WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1657489 | PA      | $198105.61    | 0.01%             | 2037-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380Y4Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $896797.60    | 0.04%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-6                                                           | CUSIP: 52524PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462670 | PA      | $383681.75    | 0.02%             | 2037-05-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G                        | CUSIP: 59020UNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22032 | PA      | $20864.12     | 0.00%             | 2030-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-HE6                                  | CUSIP: 61744CFC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111928 | PA      | $111386.37    | 0.01%             | 2034-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-NC1                                  | CUSIP: 61744CMP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57900 | PA      | $54715.81     | 0.00%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-1R                                                              | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45629 | PA      | $43931.26     | 0.00%             | 2037-05-27      | Floating      | 4.30%                 | No            |                  3 | On Loan: No      |
| Encore Credit Receivables Trus | Encore Credit Receivables Trust 2005-1                                           | CUSIP: 126673VS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626282 | PA      | $562576.28    | 0.03%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TW27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10811089 | PA      | $10603399.74  | 0.48%             | 2049-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177827 | PA      | $160044.01    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-NC5                                  | CUSIP: 61746RFV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896634 | PA      | $874711.04    | 0.04%             | 2034-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-7                                        | CUSIP: 61748HPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107327 | PA      | $94033.88     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239271 | PA      | $210708.02    | 0.01%             | 2036-05-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-9                                           | CUSIP: 12669FUC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164405 | PA      | $161285.28    | 0.01%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9557914 | PA      | $9360482.66   | 0.43%             | 2050-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2753705 | PA      | $2259023.80   | 0.10%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328905 | PA      | $186738.68    | 0.01%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458630 | PA      | $181820.84    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153529 | PA      | $140712.89    | 0.01%             | 2035-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2006-1                                            | CUSIP: 225470A78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56598 | PA      | $52538.10     | 0.00%             | 2036-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1471811 | PA      | $1489890.05   | 0.07%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582576 | PA      | $587639.61    | 0.03%             | 2026-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61762BBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296082 | PA      | $260816.61    | 0.01%             | 2036-12-26      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2004-2                                        | CUSIP: 64352VFZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281548 | PA      | $281539.33    | 0.01%             | 2034-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1194294 | PA      | $518713.11    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4481093 | PA      | $893315.71    | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-7                                                    | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12235 | PA      | $11200.71     | 0.00%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| INDIANA ST HSG & CMNTY DEV AUT | Indiana Housing & Community Development Authority                                | CUSIP: 45505WCX0<br>LEI: 549300QRKDYVNHT1OE86 | Long             | DBT              | MUN               | US        |   4000000 | PA      | $4007395.20   | 0.18%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust Series 2005-A                                 | CUSIP: 64352VMA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43907 | PA      | $42604.23     | 0.00%             | 2035-08-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    869665 | PA      | $628292.92    | 0.03%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46404 | PA      | $31871.06     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4992976 | PA      | $4483747.84   | 0.20%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM6 Trust                                                              | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224532 | PA      | $225598.40    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| OHIO ST HSG FIN AGY RSDL MTGE  | Ohio Housing Finance Agency                                                      | CUSIP: 67756UFY9<br>LEI: 549300K10X7VPG6JVX38 | Long             | DBT              | MUN               | US        |   1215000 | PA      | $1202727.53   | 0.05%             | 2055-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2003-A9                                   | CUSIP: 45660NSX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318874 | PA      | $285580.91    | 0.01%             | 2033-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937721 | PA      | $334860.78    | 0.02%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-2                                                      | CUSIP: 74161YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502651 | PA      | $1381584.75   | 0.06%             | 2036-11-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA3 Trust                                                       | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1672551 | PA      | $1507231.54   | 0.07%             | 2036-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3842138 | PA      | $461127.20    | 0.02%             | 2036-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18146074 | PA      | $1611966.60   | 0.07%             | 2036-09-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2004-OP2                          | CUSIP: 81375WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452708 | PA      | $451748.72    | 0.02%             | 2034-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC3               | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77412 | PA      | $46352.22     | 0.00%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-3                                                     | CUSIP: 52521JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1386376 | PA      | $189656.27    | 0.01%             | 2037-03-25      | Floating      | 2.85%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6734650 | PA      | $1541486.05   | 0.07%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250132 | PA      | $255910.75    | 0.01%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2004-2                                            | CUSIP: 542514FT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774858 | PA      | $1732339.03   | 0.08%             | 2034-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2004-3                                          | CUSIP: 55265K8A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416206 | PA      | $352113.97    | 0.02%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-6                                     | CUSIP: 576433NY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69550 | PA      | $69222.12     | 0.00%             | 2034-07-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2005-11                                   | CUSIP: 86358EZT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269048 | PA      | $261394.64    | 0.01%             | 2036-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-S3                     | CUSIP: 86359WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939806 | PA      | $230418.23    | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476364 | PA      | $446971.33    | 0.02%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336305 | PA      | $276738.13    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633207 | PA      | $580858.58    | 0.03%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773314 | PA      | $641395.95    | 0.03%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS2 Trust                                                       | CUSIP: 74923CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287129 | PA      | $234185.13    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651360 | PA      | $480247.65    | 0.02%             | 2036-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14298720 | PA      | $14167584.87  | 0.64%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1744000 | PA      | $1745104.30   | 0.08%             | 2068-03-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44650 | PA      | $22297.59     | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2667611 | PA      | $2207785.75   | 0.10%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305918 | PA      | $245313.33    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-AR3 Trust                            | CUSIP: 94983UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1592410 | PA      | $1414882.02   | 0.06%             | 2037-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust       | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75419 | PA      | $23082.39     | 0.00%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A6                                   | CUSIP: 76113FAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4929266 | PA      | $546953.86    | 0.02%             | 2036-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938798 | PA      | $654379.36    | 0.03%             | 2037-04-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85339 | PA      | $61697.19     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-4                                                 | CUSIP: 78473WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111209 | PA      | $82056.47     | 0.00%             | 2037-10-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811723 | PA      | $757549.51    | 0.03%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust 2006-5                                                 | CUSIP: 872225AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9215000 | PA      | $1554316.17   | 0.07%             | 2036-11-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust 2007-2                                                 | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1522175 | PA      | $557831.57    | 0.03%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CMJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24992745.50  | 1.14%             | 2027-01-31      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CPG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $50034980.00  | 2.28%             | 2027-10-31      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12788 | PA      | $12105.95     | 0.00%             | 2046-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                    | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100721 | PA      | $86746.03     | 0.00%             | 2037-04-25      | Variable      | 3.67%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                    | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3013039 | PA      | $2791936.52   | 0.13%             | 2046-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust   | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759623 | PA      | $753329.45    | 0.03%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR14 Trust                           | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174932 | PA      | $160736.78    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684224 | PA      | $556556.01    | 0.03%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Charlie Mac                    | Charlie Mac Trust 2004-1                                                         | CUSIP: 160762AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25687 | PA      | $24139.39     | 0.00%             | 2034-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As | Chase Funding Trust Series 2003-5                                                | CUSIP: 161546GN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72328 | PA      | $66837.93     | 0.00%             | 2032-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1167 | PA      | $1168.64      | 0.00%             | 2037-02-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-3                                                    | CUSIP: 16165AAB0<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |  10687664 | PA      | $3149892.96   | 0.14%             | 2037-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     16439 | PA      | $16142.33     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340905 | PA      | $1038939.67   | 0.05%             | 2035-09-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3714739 | PA      | $662934.47    | 0.03%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-1T1                                                  | CUSIP: 23246KAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3079562 | PA      | $1113495.45   | 0.05%             | 2037-03-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1219427 | PA      | $1123414.58   | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-4                                 | CUSIP: 17310DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    909955 | PA      | $841854.51    | 0.04%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-2                                             | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1526694 | PA      | $1217834.24   | 0.06%             | 2036-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17896 | PA      | $17596.60     | 0.00%             | 2037-09-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-3                                                   | CUSIP: 55027AAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74392 | PA      | $67158.83     | 0.00%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433B21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4014 | PA      | $3734.36      | 0.00%             | 2035-06-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9                     | CUSIP: 22540VG63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745911 | PA      | $662294.14    | 0.03%             | 2032-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2007-BC2                                   | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305542 | PA      | $279687.38    | 0.01%             | 2047-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-SL3                       | CUSIP: 004423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9093539 | PA      | $75038.06     | 0.00%             | 2036-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2007-3                                       | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136577 | PA      | $133020.33    | 0.01%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768298 | PA      | $610877.06    | 0.03%             | 2036-03-27      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                                 | CUSIP: 12667FYM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91742 | PA      | $78738.84     | 0.00%             | 2035-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173854 | PA      | $140879.56    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS Mortgage Loan Trust 2007-CB3                                              | CUSIP: 17311YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8783459 | PA      | $3184952.65   | 0.14%             | 2037-03-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc             | Equity One Mortgage Pass-Through Trust 2002-5                                    | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334064 | PA      | $362326.20    | 0.02%             | 2032-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431465 | PA      | $428162.82    | 0.02%             | 2042-07-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646939 | PA      | $2626773.10   | 0.12%             | 2041-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2004-FF7                                      | CUSIP: 32027NLG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735271 | PA      | $811278.15    | 0.04%             | 2034-09-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA9                     | CUSIP: 32051GXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850012 | PA      | $732968.34    | 0.03%             | 2035-11-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3L66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1009222 | PA      | $1011618.41   | 0.05%             | 2054-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3LJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1005936 | PA      | $1009542.96   | 0.05%             | 2054-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743559 | PA      | $111528.42    | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Trust 2005-3                                                          | CUSIP: 61915RAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56804 | PA      | $57022.56     | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4LD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152338 | PA      | $151298.38    | 0.01%             | 2042-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718254 | PA      | $708673.56    | 0.03%             | 2042-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2084374 | PA      | $2047371.55   | 0.09%             | 2050-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B9S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868223 | PA      | $860039.37    | 0.04%             | 2050-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95471 | PA      | $53234.54     | 0.00%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1168530 | PA      | $1162648.52   | 0.05%             | 2037-08-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS 2007-CB5 Trust                                                            | CUSIP: 12464YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109844 | PA      | $65590.71     | 0.00%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS 2007-CB4 Trust                                                            | CUSIP: 1248MEAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $578614.47    | 0.03%             | 2037-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175077 | PA      | $175432.48    | 0.01%             | 2040-05-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan         | Freddie Mac Securities REMIC Trust 2005-S001                                     | CUSIP: 35562QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7347869 | PA      | $7205930.11   | 0.33%             | 2045-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177225 | PA      | $174373.78    | 0.01%             | 2037-12-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-17                                                   | CUSIP: 362257AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6159313 | PA      | $1455551.07   | 0.07%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525945 | PA      | $489656.50    | 0.02%             | 2047-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3261869 | PA      | $1574142.09   | 0.07%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-3                                                    | CUSIP: 362334BT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4832103 | PA      | $286497.32    | 0.01%             | 2036-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770008 | PA      | $346096.84    | 0.02%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S5                                                              | CUSIP: 36244WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22148931 | PA      | $252438.01    | 0.01%             | 2036-09-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GD50<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10005678.50  | 0.45%             | 2029-10-21      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374T3U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714034 | PA      | $714709.31    | 0.03%             | 2038-09-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375JSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127269 | PA      | $126337.97    | 0.01%             | 2037-04-16      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376CAC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727227 | PA      | $731494.65    | 0.03%             | 2039-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    958714 | PA      | $948568.19    | 0.04%             | 2041-06-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376MK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109525 | PA      | $107144.79    | 0.00%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TR98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7353834 | PA      | $7219453.28   | 0.33%             | 2049-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AUP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400845 | PA      | $315529.57    | 0.01%             | 2050-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470655 | PA      | $471488.59    | 0.02%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-1                                                    | CUSIP: 16165LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30805 | PA      | $29520.68     | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973N47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |    187018 | PA      | $174311.06    | 0.01%             | 2035-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6189448 | PA      | $1864257.34   | 0.08%             | 2031-06-20      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518585 | PA      | $443929.34    | 0.02%             | 2045-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-11                                            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107062 | PA      | $109520.84    | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470UJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23780 | PA      | $24328.89     | 0.00%             | 2036-02-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28091 | PA      | $25954.44     | 0.00%             | 2036-04-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328979 | PA      | $295316.01    | 0.01%             | 2036-04-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Resecurit Trust Ser 2009-RS2      | CUSIP: 25158EAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1486267 | PA      | $633436.77    | 0.03%             | 2037-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44323 | PA      | $21789.63     | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299481 | PA      | $286086.57    | 0.01%             | 2045-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193569 | PA      | $191300.19    | 0.01%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUA74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1471806 | PA      | $1453411.65   | 0.07%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AV2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1095914 | PA      | $705055.27    | 0.03%             | 2042-10-15      | Floating      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FP2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5395975 | PA      | $5298702.23   | 0.24%             | 2049-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431430 | PA      | $418111.24    | 0.02%             | 2050-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga | New Century Alternative Mortgage Loan Trust 2006-ALT2                            | CUSIP: 643529AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498398 | PA      | $263164.50    | 0.01%             | 2036-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-5                                    | CUSIP: 66988YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914483 | PA      | $275516.72    | 0.01%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1                        | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218928 | PA      | $213646.87    | 0.01%             | 2036-02-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2                        | CUSIP: 590219AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23738 | PA      | $23350.70     | 0.00%             | 2036-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    520381 | PA      | $381379.47    | 0.02%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FY3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1146745 | PA      | $873612.83    | 0.04%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LTB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161309 | PA      | $515853.59    | 0.02%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355507 | PA      | $213526.67    | 0.01%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  3 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                        | CUSIP: 59023MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3571057 | PA      | $1071412.82   | 0.05%             | 2037-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWT4<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |    600148 | PA      | $323215.97    | 0.01%             | 2036-03-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2002-W8                                                         | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109956 | PA      | $115698.93    | 0.01%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571010 | PA      | $567881.54    | 0.03%             | 2037-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-GP2                                                  | CUSIP: 525227AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41351 | PA      | $40483.01     | 0.00%             | 2046-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-10N                                                  | CUSIP: 525229AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483586 | PA      | $368025.53    | 0.02%             | 2046-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285401 | PA      | $263708.41    | 0.01%             | 2037-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA1                     | CUSIP: 32053DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11170523 | PA      | $2707964.83   | 0.12%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-2AX                                      | CUSIP: 61751TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860990 | PA      | $292352.12    | 0.01%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4620225 | PA      | $3637363.89   | 0.17%             | 2036-04-16      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBN6<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |     21762 | PA      | $20981.24     | 0.00%             | 2048-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381BFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2830370 | PA      | $2766964.05   | 0.13%             | 2048-12-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WSQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4460230 | PA      | $4387898.16   | 0.20%             | 2049-06-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6616347 | PA      | $6473276.67   | 0.29%             | 2049-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246428 | PA      | $250271.37    | 0.01%             | 2028-07-15      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1828498 | PA      | $1710942.80   | 0.08%             | 2045-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-10H                                                         | CUSIP: 525237AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349113 | PA      | $327080.48    | 0.01%             | 2037-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8137483 | PA      | $2320559.59   | 0.11%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust        | Home Equity Asset Trust                                                          | CUSIP: 437084AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32585 | PA      | $32357.08     | 0.00%             | 2034-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2006-HE2                                     | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462300 | PA      | $111789.99    | 0.01%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571112 | PA      | $1381883.77   | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                      | CUSIP: 74161BAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1154044 | PA      | $161802.03    | 0.01%             | 2036-06-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180284 | PA      | $1139966.29   | 0.05%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244259 | PA      | $231402.86    | 0.01%             | 2050-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4656907 | PA      | $389859.51    | 0.02%             | 2037-01-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS18 Trust                                                      | CUSIP: 74922RAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14817631 | PA      | $10962851.10  | 0.50%             | 2036-12-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-INV1                                               | CUSIP: 46591VBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48091 | PA      | $45598.58     | 0.00%             | 2050-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A4                                                 | CUSIP: 46628LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105458 | PA      | $70421.62     | 0.00%             | 2036-06-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2414606 | PA      | $1009089.89   | 0.05%             | 2037-08-26      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25467 | PA      | $8106.55      | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679522 | PA      | $1545248.80   | 0.07%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1648100 | PA      | $1416188.94   | 0.06%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-2                                   | CUSIP: 46642AAF1<br>LEI: 5493004EDOTOJ5TDDQ63 | Long             | ABS-MBS          | CORP              | US        |    329441 | PA      | $307322.23    | 0.01%             | 2037-03-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-4                                                  | CUSIP: 46648UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3791 | PA      | $3463.29      | 0.00%             | 2048-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3341331 | PA      | $972491.91    | 0.04%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707573 | PA      | $625096.27    | 0.03%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023513 | PA      | $664753.29    | 0.03%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355178 | PA      | $211360.36    | 0.01%             | 2035-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA4 Trust                                      | CUSIP: 94984UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375735 | PA      | $354244.03    | 0.02%             | 2037-07-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-4                                              | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17842 | PA      | $17574.85     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4241284 | PA      | $1839856.75   | 0.08%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250656 | PA      | $246675.85    | 0.01%             | 2035-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10                      | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1857593 | PA      | $1838500.02   | 0.08%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed  | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                     | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425968 | PA      | $368130.67    | 0.02%             | 2036-08-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2004-5AR                                      | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131409 | PA      | $121927.60    | 0.01%             | 2034-07-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22843 | PA      | $14275.51     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAS5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |     37090 | PA      | $9198.58      | 0.00%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5377067 | PA      | $1344569.92   | 0.06%             | 2046-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227638 | PA      | $239049.42    | 0.01%             | 2037-03-26      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust Series 2002-1                                 | CUSIP: 64352VCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65615 | PA      | $65866.55     | 0.00%             | 2032-03-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust Series 2005-A                                 | CUSIP: 64352VLZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1367081 | PA      | $1230232.13   | 0.06%             | 2035-08-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4              | CUSIP: 65538DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167148 | PA      | $154726.93    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7085228 | PA      | $6585796.78   | 0.30%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA7 Trust                                                       | CUSIP: 76110H7A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774655 | PA      | $1272474.85   | 0.06%             | 2035-07-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS11 Trust                                                      | CUSIP: 761118CG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353439 | PA      | $21395.41     | 0.00%             | 2035-07-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795669 | PA      | $34383.50     | 0.00%             | 2035-11-25      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-9HE                                                   | CUSIP: 881561JY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724789 | PA      | $694093.14    | 0.03%             | 2034-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| VIRGINIA HSG DEV AUTH          | Virginia Housing Development Authority                                           | CUSIP: 92812XRE4<br>LEI: 549300LW3QBOVLQBP895 | Long             | DBT              | MUN               | US        |   5225000 | PA      | $5198172.76   | 0.24%             | 2056-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                    | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270623 | PA      | $271684.09    | 0.01%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26958600 | PA      | $26630239.67  | 1.21%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667204 | PA      | $130708.90    | 0.01%             | 2037-04-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV1                                                              | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211852 | PA      | $205621.82    | 0.01%             | 2049-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1726285 | PA      | $1589428.69   | 0.07%             | 2036-04-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HX5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939336 | PA      | $927689.15    | 0.04%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back | Ownit Mortgage Loan Trust Series 2006-6                                          | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1269107 | PA      | $560549.96    | 0.03%             | 2037-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                       | CUSIP: 748940AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382255 | PA      | $110311.67    | 0.01%             | 2036-06-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362225 | PA      | $296602.50    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386852 | PA      | $318316.16    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167197 | PA      | $899421.84    | 0.04%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226054 | PA      | $181204.61    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510623 | PA      | $346787.29    | 0.02%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708900 | PA      | $297993.16    | 0.01%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370743 | PA      | $166553.56    | 0.01%             | 2036-12-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232856 | PA      | $191592.31    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH9 Trust                                                       | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310131 | PA      | $258428.84    | 0.01%             | 2037-11-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH8 Trust                                                       | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898403 | PA      | $713289.31    | 0.03%             | 2037-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2008-QR1 Trust                                                       | CUSIP: 74925FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204061 | PA      | $166140.92    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-B                                                    | CUSIP: 74928BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10682600 | PA      | $9842662.31   | 0.45%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5599440 | PA      | $1371135.42   | 0.06%             | 2036-10-26      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-2                                              | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419947 | PA      | $398193.73    | 0.02%             | 2036-12-26      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217005 | PA      | $174273.52    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317760 | PA      | $230503.55    | 0.01%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50719 | PA      | $79725.79     | 0.00%             | 2037-04-25      | Floating      | 23.78%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184780 | PA      | $104773.20    | 0.00%             | 2036-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507862 | PA      | $161380.44    | 0.01%             | 2036-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A6                                   | CUSIP: 76113FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3666348 | PA      | $827031.21    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987949 | PA      | $281732.95    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4031646 | PA      | $1106690.50   | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23613703 | PA      | $2683489.51   | 0.12%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362153 | PA      | $130179.31    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                   | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687836 | PA      | $639279.73    | 0.03%             | 2045-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                   | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185116 | PA      | $171181.20    | 0.01%             | 2045-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                    | CUSIP: 92922FE95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37095 | PA      | $37507.01     | 0.00%             | 2045-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    836668 | PA      | $795458.55    | 0.04%             | 2044-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197543 | PA      | $177850.60    | 0.01%             | 2036-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605135 | PA      | $526480.14    | 0.02%             | 2036-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                        | CUSIP: 93363XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550190 | PA      | $321093.14    | 0.01%             | 2047-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525903 | PA      | $465667.25    | 0.02%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY2 Trust | CUSIP: 939348AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7782133 | PA      | $3968981.34   | 0.18%             | 2037-04-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51577 | PA      | $45542.35     | 0.00%             | 2035-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78774 | PA      | $63104.74     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845459 | PA      | $813108.70    | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723732 | PA      | $550691.00    | 0.03%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FMF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889088 | PA      | $881675.62    | 0.04%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324429 | PA      | $260156.98    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424438 | PA      | $272316.47    | 0.01%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636700 | PA      | $16.37        | 0.00%             | 2021-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust   | CUSIP: 93935YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307359 | PA      | $248960.82    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1008871 | PA      | $80010.50     | 0.00%             | 2037-01-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5728 | PA      | $5703.49      | 0.00%             | 2035-12-27      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3907450 | PA      | $3933379.66   | 0.18%             | 2053-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0NR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148975 | PA      | $148865.98    | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556299 | PA      | $566690.50    | 0.03%             | 2046-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-21                                          | CUSIP: 126694CQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91173 | PA      | $60833.70     | 0.00%             | 2035-10-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J2                                          | CUSIP: 126694H68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714260 | PA      | $338431.00    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-25                                          | CUSIP: 126694JQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394261 | PA      | $177550.52    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-30                                          | CUSIP: 126694TX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91707 | PA      | $53765.46     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2003-J2                                                   | CUSIP: 12669E4E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125889 | PA      | $126977.89    | 0.01%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-56                                          | CUSIP: 12669FBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7767 | PA      | $8943.41      | 0.00%             | 2033-12-25      | Variable      | 10.25%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4L2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148770 | PA      | $767964.24    | 0.03%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612019 | PA      | $607356.47    | 0.03%             | 2042-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203214 | PA      | $129261.38    | 0.01%             | 2042-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-9                                           | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213291 | PA      | $184496.97    | 0.01%             | 2035-05-25      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102098 | PA      | $35647.16     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-2               | CUSIP: 16678RDL8<br>LEI: 549300QD5ZVFK417DY24 | Long             | ABS-MBS          | CORP              | US        |    218028 | PA      | $211205.73    | 0.01%             | 2036-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAB2<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   2878346 | PA      | $2238767.89   | 0.10%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GJX7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     75432 | PA      | $68210.18     | 0.00%             | 2034-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470M59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9650000 | PA      | $436306.42    | 0.02%             | 2036-04-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470R21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193599 | PA      | $459491.00    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-12                                    | CUSIP: 23242EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142554 | PA      | $136066.27    | 0.01%             | 2037-01-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-4                  | CUSIP: 251510FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57203 | PA      | $52123.47     | 0.00%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552583 | PA      | $484295.99    | 0.02%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101108 | PA      | $100494.55    | 0.00%             | 2042-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A63M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254502 | PA      | $252585.71    | 0.01%             | 2042-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62163 | PA      | $54500.54     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AMQU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486720 | PA      | $476208.80    | 0.02%             | 2045-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BATZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605186 | PA      | $515194.66    | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955117 | PA      | $734156.62    | 0.03%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1389203 | PA      | $1212433.66   | 0.06%             | 2051-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61000 | PA      | $36630.21     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F74H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15655536 | PA      | $12289240.18  | 0.56%             | 2050-12-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33209 | PA      | $30203.49     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440129 | PA      | $343340.57    | 0.02%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHEB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466017 | PA      | $453624.03    | 0.02%             | 2048-07-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503358 | PA      | $492809.62    | 0.02%             | 2049-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FRHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187369 | PA      | $160811.57    | 0.01%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYA30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8225909 | PA      | $6704974.33   | 0.30%             | 2050-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8SJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31999333 | PA      | $31554094.01  | 1.43%             | 2052-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360406 | PA      | $361562.41    | 0.02%             | 2054-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2004-W14                                                  | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |   1385101 | PA      | $1343269.43   | 0.06%             | 2044-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394430 | PA      | $348666.39    | 0.02%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396R3N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21829 | PA      | $21722.74     | 0.00%             | 2034-02-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593892 | PA      | $591744.72    | 0.03%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059544 | PA      | $1057941.83   | 0.05%             | 2037-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397YSC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778748 | PA      | $792582.53    | 0.04%             | 2039-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509978 | PA      | $510098.28    | 0.02%             | 2040-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376V4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394548 | PA      | $395287.54    | 0.02%             | 2040-02-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379QFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357665 | PA      | $238072.51    | 0.01%             | 2045-09-20      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380UX99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2697768 | PA      | $2640980.84   | 0.12%             | 2048-01-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381X3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732485 | PA      | $718623.21    | 0.03%             | 2049-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2838409 | PA      | $2781304.19   | 0.13%             | 2049-08-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382C2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6644225 | PA      | $6502266.95   | 0.30%             | 2050-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RYV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40732 | PA      | $24207.33     | 0.00%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382YHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51738 | PA      | $50892.66     | 0.00%             | 2071-10-20      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505T51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7437897 | PA      | $7541126.05   | 0.34%             | 2028-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2006-2                                           | CUSIP: 40431HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8274470 | PA      | $1522585.26   | 0.07%             | 2036-12-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-9                                            | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270055 | PA      | $250027.63    | 0.01%             | 2035-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-6                                            | CUSIP: 41161UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423613 | PA      | $271341.79    | 0.01%             | 2036-08-19      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-9                                            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821964 | PA      | $778947.00    | 0.04%             | 2036-11-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-11                                           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612448 | PA      | $1461987.84   | 0.07%             | 2036-12-19      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L3G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4277637 | PA      | $4402867.52   | 0.20%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2004-A4                                   | CUSIP: 45660NK61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434671 | PA      | $391456.23    | 0.02%             | 2034-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426176 | PA      | $355371.97    | 0.02%             | 2037-05-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-3                                                  | CUSIP: 46647EAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820222 | PA      | $733380.83    | 0.03%             | 2046-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546008 | PA      | $291117.50    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust   | Mastr Specialized Loan Trust                                                     | CUSIP: 576436CH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901537 | PA      | $991051.12    | 0.05%             | 2035-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation   | MERIT Securities Corp                                                            | CUSIP: 589962CV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16018 | PA      | $16023.14     | 0.00%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14084 | PA      | $11790.80     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7LX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73260 | PA      | $72458.07     | 0.00%             | 2042-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9P28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $42132.19     | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076693 | PA      | $1062810.47   | 0.05%             | 2044-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATCN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589240 | PA      | $483691.05    | 0.02%             | 2046-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5037994 | PA      | $4971686.93   | 0.23%             | 2047-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1BM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303083 | PA      | $294015.66    | 0.01%             | 2048-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3ZV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2099243 | PA      | $2061697.16   | 0.09%             | 2049-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367786 | PA      | $1185525.02   | 0.05%             | 2051-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BK5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132943 | PA      | $1852438.58   | 0.08%             | 2047-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BN6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25992 | PA      | $24015.04     | 0.00%             | 2052-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BRMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470719 | PA      | $473789.35    | 0.02%             | 2054-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2703071 | PA      | $2708290.77   | 0.12%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671513 | PA      | $673937.62    | 0.03%             | 2055-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B4UR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240315 | PA      | $238725.54    | 0.01%             | 2041-05-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F2ZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942125 | PA      | $921918.07    | 0.04%             | 2047-08-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2042603 | PA      | $2000789.22   | 0.09%             | 2043-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6JY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    818051 | PA      | $621257.06    | 0.03%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6LV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72872 | PA      | $48214.51     | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFMK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1202763 | PA      | $906618.30    | 0.04%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5225 | PA      | $5216.93      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1588267 | PA      | $1558691.68   | 0.07%             | 2049-04-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNQ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156292 | PA      | $132572.19    | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240549 | PA      | $235532.48    | 0.01%             | 2049-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707467 | PA      | $692730.73    | 0.03%             | 2049-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1035290 | PA      | $774116.18    | 0.04%             | 2051-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYL53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405412 | PA      | $334017.47    | 0.02%             | 2050-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYY83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294934 | PA      | $175601.88    | 0.01%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8VZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58286507 | PA      | $57328201.46  | 2.61%             | 2052-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384049 | PA      | $384790.17    | 0.02%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513659 | PA      | $516736.94    | 0.02%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583357 | PA      | $586804.81    | 0.03%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79179 | PA      | $79559.99     | 0.00%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98844 | PA      | $100604.24    | 0.00%             | 2042-10-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323800 | PA      | $320991.56    | 0.01%             | 2035-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394RQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19233 | PA      | $19110.73     | 0.00%             | 2034-03-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395DVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64653 | PA      | $64299.78     | 0.00%             | 2036-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395WT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188796 | PA      | $186682.73    | 0.01%             | 2035-07-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396JWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241124 | PA      | $238936.99    | 0.01%             | 2036-04-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24282 | PA      | $24200.50     | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227723 | PA      | $226941.65    | 0.01%             | 2037-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BDF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396441 | PA      | $393298.17    | 0.02%             | 2036-09-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288171 | PA      | $285258.40    | 0.01%             | 2037-03-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-E                                                   | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1357157 | PA      | $698568.17    | 0.03%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426120 | PA      | $419094.14    | 0.02%             | 2037-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125329 | PA      | $123295.99    | 0.01%             | 2037-12-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-3F                                                  | CUSIP: 3622MWAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4346946 | PA      | $663942.99    | 0.03%             | 2037-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334KT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375543 | PA      | $28665.44     | 0.00%             | 2036-03-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109415 | PA      | $132520.54    | 0.01%             | 2036-01-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2015-3R                                             | CUSIP: 36250FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518567 | PA      | $473663.88    | 0.02%             | 2037-01-26      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466067 | PA      | $262987.63    | 0.01%             | 2036-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GEORGIA ST HSG & FIN AUTH REVE | Georgia Housing & Finance Authority                                              | CUSIP: 37353PSR1<br>LEI: 549300I628IMF9PWV724 | Long             | DBT              | MUN               | US        |  12600000 | PA      | $12819644.46  | 0.58%             | 2050-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    323956 | PA      | $315594.34    | 0.01%             | 2032-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375D4S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268917 | PA      | $269777.58    | 0.01%             | 2039-07-16      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64483 | PA      | $64496.25     | 0.00%             | 2064-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943880 | PA      | $935486.99    | 0.04%             | 2035-05-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GZN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259560 | PA      | $259107.85    | 0.01%             | 2039-12-16      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377YXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220034 | PA      | $217431.11    | 0.01%             | 2041-10-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466589 | PA      | $463510.04    | 0.02%             | 2042-08-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274999 | PA      | $123799.50    | 0.01%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382K4S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613440 | PA      | $475315.67    | 0.02%             | 2050-11-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MNP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3468882 | PA      | $2819704.97   | 0.13%             | 2050-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450542 | PA      | $452504.63    | 0.02%             | 2053-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385GHC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629459 | PA      | $530189.23    | 0.02%             | 2055-05-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505HL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3859471 | PA      | $38.59        | 0.00%             | 2026-09-15      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2006-AR1                                       | CUSIP: 39538WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94195 | PA      | $86713.00     | 0.00%             | 2036-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2006-2                                           | CUSIP: 40431HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283552 | PA      | $72661.60     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215663 | PA      | $342155.17    | 0.02%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-8                                            | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197103 | PA      | $180805.98    | 0.01%             | 2034-11-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141573 | PA      | $137598.48    | 0.01%             | 2035-03-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524640 | PA      | $628283.40    | 0.03%             | 2036-02-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-14                                           | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1207273 | PA      | $569654.04    | 0.03%             | 2035-12-19      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185415 | PA      | $1644841.47   | 0.07%             | 2045-10-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062818 | PA      | $1952043.83   | 0.09%             | 2037-05-19      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3710580 | PA      | $1546038.76   | 0.07%             | 2037-04-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770199 | PA      | $1525227.02   | 0.07%             | 2036-09-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A5                                         | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157074 | PA      | $147649.17    | 0.01%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661945 | PA      | $353394.12    | 0.02%             | 2036-05-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103457 | PA      | $103517.08    | 0.00%             | 2036-08-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2576539 | PA      | $533999.40    | 0.02%             | 2036-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-6                                              | CUSIP: 576434W34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483523 | PA      | $561186.15    | 0.03%             | 2035-12-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-1                                              | CUSIP: 576434Y40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881905 | PA      | $578248.28    | 0.03%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2006-2                                     | CUSIP: 576438AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57792 | PA      | $26073.26     | 0.00%             | 2036-04-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | Mellon Residential Funding Cor Mor Pas Thr Tr Ser 1999-tbc3                      | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323200 | PA      | $315625.62    | 0.01%             | 2029-10-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5                   | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2637147 | PA      | $1618174.53   | 0.07%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-4                                        | CUSIP: 61748HKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34442 | PA      | $15224.45     | 0.00%             | 2035-08-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519089 | PA      | $370931.94    | 0.02%             | 2036-06-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9022 | PA      | $8077.26      | 0.00%             | 2036-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9903802 | PA      | $2610068.75   | 0.12%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10923871 | PA      | $444066.26    | 0.02%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-14AR                                     | CUSIP: 61756VAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314431 | PA      | $297207.17    | 0.01%             | 2037-10-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2007-HE7                                  | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105000 | PA      | $1880720.25   | 0.09%             | 2037-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946225 | PA      | $843279.79    | 0.04%             | 2037-06-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1                | CUSIP: 65538PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    713357 | PA      | $651309.34    | 0.03%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM9 Trust                                                              | CUSIP: 67119DAA6<br>LEI: 2549004KB8X0K1PPTU08 | Long             | ABS-MBS          | CORP              | US        |   2507923 | PA      | $2540654.25   | 0.12%             | 2064-01-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                       | CUSIP: 748940AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209676 | PA      | $171962.98    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227097 | PA      | $940505.25    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2595452 | PA      | $2090800.49   | 0.10%             | 2035-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73590 | PA      | $72854.53     | 0.00%             | 2035-08-25      | Floating      | 8.84%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1644264 | PA      | $1452602.30   | 0.07%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795807 | PA      | $661472.27    | 0.03%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO2 Trust                                                       | CUSIP: 761118VY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7163433 | PA      | $1171867.40   | 0.05%             | 2046-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444705 | PA      | $227110.29    | 0.01%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15458 | PA      | $14472.67     | 0.00%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-OPT5                                              | CUSIP: 83612CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400777 | PA      | $3164472.74   | 0.14%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-12                    | CUSIP: 863579SS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193838 | PA      | $142184.80    | 0.01%             | 2035-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp                                                 | CUSIP: 86359BYT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938302 | PA      | $740794.26    | 0.03%             | 2029-12-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3080 | PA      | $2948.70      | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774466 | PA      | $668532.51    | 0.03%             | 2036-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1562540 | PA      | $705383.85    | 0.03%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308291 | PA      | $108820.23    | 0.00%             | 2046-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283553 | PA      | $117816.62    | 0.01%             | 2036-05-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust                    | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339256 | PA      | $331241.24    | 0.02%             | 2034-02-27      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                   | CUSIP: 929227XE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65312 | PA      | $61922.59     | 0.00%             | 2042-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,  | Wachovia Mortgage Loan Trust LLC Series 2005-A Trust                             | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326070 | PA      | $320014.81    | 0.01%             | 2035-08-20      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R8 Trust                                            | CUSIP: 05956GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264187 | PA      | $149484.16    | 0.01%             | 2036-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust        | Home Equity Asset Trust                                                          | CUSIP: 2254W0AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145010 | PA      | $141228.35    | 0.01%             | 2033-05-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-7                                            | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215801 | PA      | $204064.22    | 0.01%             | 2037-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3362351 | PA      | $2723621.81   | 0.12%             | 2038-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279585 | PA      | $271226.81    | 0.01%             | 2037-07-19      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-4                                                    | CUSIP: 45254NJB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357783 | PA      | $366416.87    | 0.02%             | 2034-09-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104050 | PA      | $94335.46     | 0.00%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2007-A2                                         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127112 | PA      | $111703.71    | 0.01%             | 2037-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S1                                         | CUSIP: 46627MFW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30540 | PA      | $31130.65     | 0.00%             | 2036-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-10                                  | CUSIP: 46634AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3868498 | PA      | $1132286.63   | 0.05%             | 2037-08-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-1                                   | CUSIP: 46641TAL8<br>LEI: 549300L90VVKXEKB0M74 | Long             | ABS-MBS          | CORP              | US        |    346511 | PA      | $340405.02    | 0.02%             | 2037-05-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-1                                   | CUSIP: 46641TBB9<br>LEI: 549300L90VVKXEKB0M74 | Long             | ABS-MBS          | CORP              | US        |    484134 | PA      | $469417.33    | 0.02%             | 2036-11-26      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2015-1                                   | CUSIP: 46644BAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6252358 | PA      | $2309464.74   | 0.11%             | 2036-07-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| KORTH DIRECT MORTGAGE          | Korth Direct Mortgage Inc                                                        | CUSIP: 50067HDB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $0.00         | 0.00%             | 2027-01-25      | None          | 12.50%                | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3911947 | PA      | $1884581.16   | 0.09%             | 2035-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2177760 | PA      | $1540742.61   | 0.07%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648146 | PA      | $55949.17     | 0.00%             | 2036-08-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182748 | PA      | $285484.20    | 0.01%             | 2037-02-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2937505 | PA      | $1429329.57   | 0.06%             | 2037-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107016 | PA      | $564307.49    | 0.03%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3356868 | PA      | $1633382.97   | 0.07%             | 2037-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80234 | PA      | $71064.35     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113369 | PA      | $158515.16    | 0.01%             | 2036-08-25      | Floating      | 17.00%                | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4224145 | PA      | $4173234.55   | 0.19%             | 2035-09-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391797 | PA      | $260055.17    | 0.01%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-6                                              | CUSIP: 576434GQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310125 | PA      | $280876.24    | 0.01%             | 2033-09-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-3                                              | CUSIP: 57645DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065125 | PA      | $392933.70    | 0.02%             | 2036-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F                        | CUSIP: 5899292W7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83944 | PA      | $82988.47     | 0.00%             | 2028-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A                        | CUSIP: 589929G28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13240 | PA      | $11574.82     | 0.00%             | 2028-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-RM2                           | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7369865 | PA      | $2052547.15   | 0.09%             | 2037-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-RM3                           | CUSIP: 590217AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5939596 | PA      | $162323.21    | 0.01%             | 2037-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-3                        | CUSIP: 59023PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582090 | PA      | $488223.25    | 0.02%             | 2036-10-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed  | Merrill Lynch Mortgage Backed Securities Trust Series 2007-3                     | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865059 | PA      | $493390.31    | 0.02%             | 2037-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82997 | PA      | $66836.47     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2588241 | PA      | $2027970.06   | 0.09%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154760 | PA      | $154768.56    | 0.01%             | 2068-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR3 Trust | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44560 | PA      | $40018.86     | 0.00%             | 2046-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86367 | PA      | $68877.79     | 0.00%             | 2046-06-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2005-1 Trust                                        | CUSIP: 94981FAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696505 | PA      | $658423.05    | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930599 | PA      | $821665.40    | 0.04%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41139 | PA      | $37125.44     | 0.00%             | 2049-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust | Accredited Mortgage Loan Trust 2004-4                                            | CUSIP: 004375CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44855 | PA      | $44840.64     | 0.00%             | 2035-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2              | CUSIP: 04541GQE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199370 | PA      | $192076.71    | 0.01%             | 2035-02-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142608 | PA      | $101951.74    | 0.00%             | 2037-06-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-6 Trust                                             | CUSIP: 05946XM83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268486 | PA      | $226921.69    | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305774 | PA      | $259366.67    | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202653 | PA      | $177966.33    | 0.01%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42632 | PA      | $37246.96     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3532625 | PA      | $1118199.44   | 0.05%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-AB4                                   | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257150 | PA      | $235827.79    | 0.01%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338374 | PA      | $303859.50    | 0.01%             | 2046-12-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR7                                           | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853123 | PA      | $810637.94    | 0.04%             | 2046-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR7                                           | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185636 | PA      | $159600.54    | 0.01%             | 2036-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-8                                             | CUSIP: 17307GF94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695134 | PA      | $648844.97    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GPH5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    337412 | PA      | $297905.08    | 0.01%             | 2034-11-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2007-5                                 | CUSIP: 17312KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46568 | PA      | $41874.11     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950424 | PA      | $447607.90    | 0.02%             | 2035-09-25      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647665 | PA      | $639314.57    | 0.03%             | 2043-11-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BR4Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348408 | PA      | $349331.41    | 0.02%             | 2054-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258930 | PA      | $259755.51    | 0.01%             | 2055-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513698 | PA      | $515467.16    | 0.02%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4666 | PA      | $4677.87      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15172 | PA      | $15102.65     | 0.00%             | 2034-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396REA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190190 | PA      | $188889.47    | 0.01%             | 2036-05-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176842 | PA      | $175472.48    | 0.01%             | 2036-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442617 | PA      | $436532.61    | 0.02%             | 2036-07-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380UEE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314424 | PA      | $305836.24    | 0.01%             | 2047-12-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380YVU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174208 | PA      | $169628.83    | 0.01%             | 2048-09-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-BU1                                          | CUSIP: 41161PG80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497323 | PA      | $371561.16    | 0.02%             | 2046-02-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316853 | PA      | $188249.29    | 0.01%             | 2035-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST HSG DEV AUTH REVEN | Illinois Housing Development Authority                                           | CUSIP: 45203MW31<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | DBT              | MUN               | US        |   9165000 | PA      | $9149270.11   | 0.42%             | 2051-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-8                                                    | CUSIP: 45254NRH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831088 | PA      | $787405.89    | 0.04%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106498 | PA      | $95545.17     | 0.00%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62364 | PA      | $57010.90     | 0.00%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    838141 | PA      | $253334.22    | 0.01%             | 2037-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R6 Trust                                            | CUSIP: 05956EAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583902 | PA      | $191699.54    | 0.01%             | 2037-09-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-2                                                    | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167950 | PA      | $144422.86    | 0.01%             | 2036-07-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18456 | PA      | $7593.74      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150717 | PA      | $1097305.47   | 0.05%             | 2049-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688960 | PA      | $1620195.81   | 0.07%             | 2050-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110047 | PA      | $669046.74    | 0.03%             | 2037-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-4                                                     | CUSIP: 52524UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7702341 | PA      | $2087210.29   | 0.09%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM3 Trust                                                              | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17526308 | PA      | $17522798.84  | 0.80%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM1 Trust                                                              | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    664835 | PA      | $669060.90    | 0.03%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing    | Origen Manufactured Housing Contract Trust 2002-A                                | CUSIP: 68619AAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163220 | PA      | $166501.45    | 0.01%             | 2032-05-15      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6QP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13895294 | PA      | $13627000.43  | 0.62%             | 2049-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F1FL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347004 | PA      | $340113.94    | 0.02%             | 2047-06-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-2                                        | CUSIP: 759950CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323205 | PA      | $290105.85    | 0.01%             | 2034-07-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2004-QA6 Trust                                                       | CUSIP: 76110HH28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527293 | PA      | $230178.64    | 0.01%             | 2034-12-26      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17258164 | PA      | $3134353.60   | 0.14%             | 2037-04-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                                    | CUSIP: 81745DAN1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    350102 | PA      | $250682.33    | 0.01%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FWXN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700883 | PA      | $549271.07    | 0.02%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9684893 | PA      | $7073402.02   | 0.32%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0RQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367487 | PA      | $300720.08    | 0.01%             | 2049-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1T55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1127813 | PA      | $939004.15    | 0.04%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1VN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134111 | PA      | $115433.05    | 0.01%             | 2049-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HADW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644205 | PA      | $453756.82    | 0.02%             | 2050-09-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145082 | PA      | $93007.68     | 0.00%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9738923 | PA      | $1232102.33   | 0.06%             | 2037-02-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285834 | PA      | $272408.75    | 0.01%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C                        | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225706 | PA      | $210329.80    | 0.01%             | 2028-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-D                        | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199972 | PA      | $185407.48    | 0.01%             | 2028-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4697049 | PA      | $1286388.83   | 0.06%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11283 | PA      | $7844.18      | 0.00%             | 2036-06-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2004-4                                        | CUSIP: 64352VJK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1453 | PA      | $2715.77      | 0.00%             | 2035-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2011-4R                                            | CUSIP: 65539CBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512540 | PA      | $804738.50    | 0.04%             | 2035-12-26      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1674959 | PA      | $1446108.06   | 0.07%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA2 Trust   | CUSIP: 939336S20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17429 | PA      | $14656.80     | 0.00%             | 2033-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust                            | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173700 | PA      | $172231.41    | 0.01%             | 2036-04-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR12 Trust                           | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76422 | PA      | $73481.60     | 0.00%             | 2036-09-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172138 | PA      | $151988.43    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR2                                           | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207171 | PA      | $153354.88    | 0.01%             | 2036-03-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                       | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  37301506 | NS      | $37301505.84  | 1.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S8 Trust                                                       | CUSIP: 74957XAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832251 | PA      | $583637.55    | 0.03%             | 2036-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737778 | PA      | $1417236.45   | 0.06%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2583958 | PA      | $728788.23    | 0.03%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 10                                                        | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25196 | PA      | $23986.92     | 0.00%             | 2027-10-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2004-6                                                    | CUSIP: 81744FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77002 | PA      | $71858.82     | 0.00%             | 2034-07-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-OPT3                                              | CUSIP: 83611MPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24592 | PA      | $24481.38     | 0.00%             | 2036-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC4               | CUSIP: 84751YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1638064 | PA      | $556557.41    | 0.03%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2003-BC2                                  | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53073 | PA      | $53178.76     | 0.00%             | 2033-04-25      | Floating      | 4.57%                 | No            |                  3 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2004-8                                    | CUSIP: 86358ELL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1004733 | PA      | $968402.39    | 0.04%             | 2034-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-7                     | CUSIP: 86364DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729554 | PA      | $737379.61    | 0.03%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-WF1                                           | CUSIP: 17307G4H8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566778 | PA      | $258815.44    | 0.01%             | 2036-03-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GK31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160065 | PA      | $1025163.40   | 0.05%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405249 | PA      | $1035353.10   | 0.05%             | 2037-01-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2009-8                                             | CUSIP: 17315NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1962358 | PA      | $1076844.20   | 0.05%             | 2037-04-25      | Variable      | 6.10%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2012-7                                             | CUSIP: 17319NAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622749 | PA      | $562014.15    | 0.03%             | 2035-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336610 | PA      | $294598.27    | 0.01%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FAWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1840361 | PA      | $1783530.81   | 0.08%             | 2038-05-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2005-AR3                               | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580845 | PA      | $383184.00    | 0.02%             | 2035-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA6                     | CUSIP: 32052FAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110649 | PA      | $29748.13     | 0.00%             | 2036-11-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ACY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404392 | PA      | $399601.50    | 0.02%             | 2041-11-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378KQP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $95665.71     | 0.00%             | 2047-11-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380WRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860710 | PA      | $836614.02    | 0.04%             | 2048-04-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606FZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293558 | PA      | $242119.58    | 0.01%             | 2035-03-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8157013 | PA      | $2213250.63   | 0.10%             | 2036-02-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738547 | PA      | $274297.96    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR18                                       | CUSIP: 45660LWA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607885 | PA      | $249764.44    | 0.01%             | 2036-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A10                                  | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321145 | PA      | $134299.46    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR9                                        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69426 | PA      | $59907.74     | 0.00%             | 2036-06-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282857 | PA      | $174320.44    | 0.01%             | 2036-09-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR37                                       | CUSIP: 45668LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39744 | PA      | $31382.00     | 0.00%             | 2037-02-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                        | CUSIP: 59020UAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54454 | PA      | $33623.88     | 0.00%             | 2029-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-HE6                                  | CUSIP: 61744CFD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58944 | PA      | $56735.56     | 0.00%             | 2034-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2003-NC8                                  | CUSIP: 61746RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94530 | PA      | $112870.33    | 0.01%             | 2033-09-25      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237406 | PA      | $228896.89    | 0.01%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715835 | PA      | $723803.28    | 0.03%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1               | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396336 | PA      | $235775.64    | 0.01%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2007-1                                                      | CUSIP: 74162FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1915963 | PA      | $1733722.91   | 0.08%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765900 | PA      | $635567.11    | 0.03%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1764865 | PA      | $1353366.52   | 0.06%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445385 | PA      | $345062.34    | 0.02%             | 2037-05-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762156 | PA      | $277478.84    | 0.01%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296987 | PA      | $197429.50    | 0.01%             | 2036-03-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181046 | PA      | $282523.17    | 0.01%             | 2037-04-25      | Floating      | 23.53%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78387 | PA      | $120303.20    | 0.01%             | 2037-04-25      | Floating      | 22.95%                | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-4                                        | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164719 | PA      | $151192.04    | 0.01%             | 2034-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253888 | PA      | $172749.03    | 0.01%             | 2035-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    906035 | PA      | $227147.62    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595952 | PA      | $791118.65    | 0.04%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP2 Trust                                                       | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570901 | PA      | $529444.16    | 0.02%             | 2044-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161427 | PA      | $148304.17    | 0.01%             | 2041-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AMAF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566631 | PA      | $1553671.25   | 0.07%             | 2042-02-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASFJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27226 | PA      | $26962.40     | 0.00%             | 2041-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AYEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14435 | PA      | $13431.02     | 0.00%             | 2042-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2038165 | PA      | $1579066.18   | 0.07%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJKN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323322 | PA      | $1294371.35   | 0.06%             | 2048-11-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1852368 | PA      | $1617910.16   | 0.07%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTPF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2048896 | PA      | $2008716.03   | 0.09%             | 2050-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1514777 | PA      | $1211710.47   | 0.06%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507445 | PA      | $319692.54    | 0.01%             | 2050-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382P3K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195994 | PA      | $99659.63     | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2536530 | PA      | $1955858.83   | 0.09%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3179740 | PA      | $697036.89    | 0.03%             | 2037-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119781 | PA      | $15329.90     | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385CJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48674 | PA      | $48854.06     | 0.00%             | 2055-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2022-NQM4                                           | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1091603 | PA      | $1087620.20   | 0.05%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732534 | PA      | $255179.30    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2004-C                                                   | CUSIP: 35729PEU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98284 | PA      | $85934.45     | 0.00%             | 2034-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-17                                                   | CUSIP: 362257AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3821253 | PA      | $1196945.23   | 0.05%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6583094 | PA      | $2162444.86   | 0.10%             | 2035-10-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR6                                        | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217776 | PA      | $172723.92    | 0.01%             | 2035-04-25      | Floating      | 4.33%                 | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2004-2F                                                  | CUSIP: 36229RKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20321 | PA      | $20779.53     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266574 | PA      | $72415.65     | 0.00%             | 2036-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334JV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220713 | PA      | $200060.52    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1870007 | PA      | $1738014.75   | 0.08%             | 2036-01-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2404840 | PA      | $1772831.40   | 0.08%             | 2035-05-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR2                                                 | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435919 | PA      | $381591.43    | 0.02%             | 2035-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384ELE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3299793 | PA      | $3306237.36   | 0.15%             | 2053-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384W6J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373631 | PA      | $374867.93    | 0.02%             | 2054-09-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-11                                                   | CUSIP: 45254NMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234165 | PA      | $206817.08    | 0.01%             | 2035-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-8                                                    | CUSIP: 45254NRG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387815 | PA      | $367931.42    | 0.02%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606FY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579288 | PA      | $490760.76    | 0.02%             | 2035-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-4                                              | CUSIP: 576434Q80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532362 | PA      | $473649.73    | 0.02%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | MRFC Mortgage Pass-Through Trust Series 1999-TBC2                                | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110763 | PA      | $108937.67    | 0.00%             | 2030-06-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust   | Meritage Mortgage Loan Trust 2004-1                                              | CUSIP: 59001FAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257801 | PA      | $242816.29    | 0.01%             | 2034-07-25      | Floating      | 4.60%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183709 | PA      | $148927.15    | 0.01%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO4 Trust                                                       | CUSIP: 75114GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035996 | PA      | $987410.04    | 0.04%             | 2046-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1092497 | PA      | $808717.58    | 0.04%             | 2036-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448753 | PA      | $356087.55    | 0.02%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR7                                        | CUSIP: 45660LLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631108 | PA      | $342299.20    | 0.02%             | 2035-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2004-A4                                   | CUSIP: 45660NK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72303 | PA      | $70148.44     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181477 | PA      | $173662.96    | 0.01%             | 2037-01-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6411156 | PA      | $4742462.42   | 0.22%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1829089 | PA      | $1372878.84   | 0.06%             | 2037-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-9                                              | CUSIP: 74927TAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005536 | PA      | $398221.92    | 0.02%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S7 Trust                                                       | CUSIP: 74958AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257712 | PA      | $221106.24    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS13 Trust                                                      | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453641 | PA      | $365346.76    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS7 Trust                                                       | CUSIP: 761118AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205280 | PA      | $1030506.77   | 0.05%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2005-SA2 Trust                                                      | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381796 | PA      | $362896.52    | 0.02%             | 2035-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A1                                   | CUSIP: 761136AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2892151 | PA      | $451267.22    | 0.02%             | 2037-03-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu | Citigroup Global Markets Mortgage Securities VII Inc                             | CUSIP: 79548KUQ9<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |    205451 | PA      | $90603.82     | 0.00%             | 2030-12-25      | Variable      | 2.59%                 | No            |                  3 | On Loan: No      |
| Saxon Asset Securities Trust   | Saxon Asset Securities Trust 2004-1                                              | CUSIP: 805564PL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1965582 | PA      | $1757965.65   | 0.08%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3321 | PA      | $3334.62      | 0.00%             | 2033-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 9                                                         | CUSIP: 81743SAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54769 | PA      | $54077.68     | 0.00%             | 2032-09-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2004-6                                                    | CUSIP: 81744FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9949 | PA      | $9984.71      | 0.00%             | 2034-07-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38481 | PA      | $35046.92     | 0.00%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60696 | PA      | $56875.66     | 0.00%             | 2065-05-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT4                                              | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300408 | PA      | $256574.38    | 0.01%             | 2037-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3064346 | PA      | $2189799.83   | 0.10%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-2                                          | CUSIP: 878048AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589789 | PA      | $67482.43     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-7HE                                                   | CUSIP: 881561FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687827 | PA      | $673756.31    | 0.03%             | 2034-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-19HE                                                  | CUSIP: 881561LR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276842 | PA      | $273291.42    | 0.01%             | 2034-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| TEXAS ST DEPT OF HSG & CMNTY A | Texas Department of Housing & Community Affairs                                  | CUSIP: 882750G55<br>LEI: 549300J3RRLLZZN4WP77 | Long             | DBT              | MUN               | US        |   7040000 | PA      | $7116236.86   | 0.32%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2005-1                                       | CUSIP: 885220HA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134516 | PA      | $133555.17    | 0.01%             | 2045-04-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust  | TIAA Bank Mortgage Loan Trust 2018-3                                             | CUSIP: 88632AAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90626 | PA      | $86223.42     | 0.00%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62665703 | PA      | $62518829.87  | 2.84%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-4                                                | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   2345669 | PA      | $2346344.00   | 0.11%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-7                                                | CUSIP: 92539YAA0<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |   9582861 | PA      | $9703663.65   | 0.44%             | 2068-10-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-INV3                                             | CUSIP: 92540CAA5<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   4600971 | PA      | $4665048.97   | 0.21%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-1                                                | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    795958 | PA      | $799830.79    | 0.04%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP1 Trust                                                       | CUSIP: 76112BSA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86043 | PA      | $85586.16     | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1759322 | PA      | $1227715.27   | 0.06%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H                        | CUSIP: 5899296M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197398 | PA      | $174508.50    | 0.01%             | 2029-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2726284 | PA      | $335722.78    | 0.02%             | 2036-12-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2003-BC2               | CUSIP: 84751PAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429852 | PA      | $426950.95    | 0.02%             | 2034-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-21                    | CUSIP: 863579B23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335111 | PA      | $214923.41    | 0.01%             | 2035-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2008-1                     | CUSIP: 86358DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421028 | PA      | $332269.18    | 0.02%             | 2037-10-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3832610 | PA      | $1221325.03   | 0.06%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8993511 | PA      | $815268.08    | 0.04%             | 2047-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234522 | PA      | $348255.86    | 0.02%             | 2037-08-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330158 | PA      | $811222.44    | 0.04%             | 2037-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2476554 | PA      | $698203.65    | 0.03%             | 2037-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-4                                                  | CUSIP: 07386HHU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1252479 | PA      | $1346491.41   | 0.06%             | 2034-06-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-4                                                  | CUSIP: 07386HHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218354 | PA      | $218040.02    | 0.01%             | 2034-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-ST1                            | CUSIP: 073886AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209951 | PA      | $151899.21    | 0.01%             | 2036-10-25      | Floating      | 4.80%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-ST1                            | CUSIP: 073886AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2881763 | PA      | $205325.60    | 0.01%             | 2036-10-25      | Floating      | 3.20%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2006-SD3                              | CUSIP: 073888AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835900 | PA      | $740595.78    | 0.03%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-2                                                    | CUSIP: 07388DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296314 | PA      | $253768.50    | 0.01%             | 2036-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828677 | PA      | $348466.45    | 0.02%             | 2036-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR5                                     | CUSIP: 07400NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378061 | PA      | $335961.45    | 0.02%             | 2047-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554142 | PA      | $229705.52    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819758 | PA      | $45938.43     | 0.00%             | 2035-05-25      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394046 | PA      | $311047.31    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AY33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1842223 | PA      | $1186705.21   | 0.05%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-6                                           | CUSIP: 126694L30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158099 | PA      | $1045797.94   | 0.05%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3561587 | PA      | $2777489.85   | 0.13%             | 2036-10-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                                      | CUSIP: 16158RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63048 | PA      | $60670.70     | 0.00%             | 2049-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S1                                      | CUSIP: 16162WRB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4064585 | PA      | $1720937.80   | 0.08%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440315 | PA      | $157698.87    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |    347558 | PA      | $308225.27    | 0.01%             | 2046-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR1                                           | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30161 | PA      | $30626.10     | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2004-HYB2                                          | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132578 | PA      | $123267.74    | 0.01%             | 2034-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GL89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770313 | PA      | $784463.85    | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GT57<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    112965 | PA      | $69020.84     | 0.00%             | 2035-12-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GVL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    746240 | PA      | $694759.76    | 0.03%             | 2035-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478236 | PA      | $473988.02    | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2014-12                                            | CUSIP: 17323HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2054334 | PA      | $1561529.08   | 0.07%             | 2037-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187062 | PA      | $156871.37    | 0.01%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175254 | PA      | $159330.03    | 0.01%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4ZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181628 | PA      | $178390.20    | 0.01%             | 2049-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59780 | PA      | $50729.54     | 0.00%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219175 | PA      | $216950.80    | 0.01%             | 2049-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5ZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231720 | PA      | $228074.22    | 0.01%             | 2049-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2576791 | PA      | $2527653.64   | 0.11%             | 2049-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6Z48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918859 | PA      | $907462.93    | 0.04%             | 2059-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580150 | PA      | $583111.94    | 0.03%             | 2055-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198880 | PA      | $171172.45    | 0.01%             | 2048-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8F65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96630 | PA      | $46360.68     | 0.00%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1436207 | PA      | $1086355.53   | 0.05%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FABX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645167 | PA      | $577629.70    | 0.03%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FAFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497749 | PA      | $486974.20    | 0.02%             | 2047-08-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587778 | PA      | $573912.12    | 0.03%             | 2048-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FUY81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360163 | PA      | $350239.51    | 0.02%             | 2050-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4325106 | PA      | $3334987.71   | 0.15%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2017-SC02                                | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20059 | PA      | $17730.74     | 0.00%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508125 | PA      | $512789.14    | 0.02%             | 2041-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398J4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144381 | PA      | $133130.42    | 0.01%             | 2038-02-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248464 | PA      | $216054.51    | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374XAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723913 | PA      | $726654.59    | 0.03%             | 2039-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377MH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19572 | PA      | $19463.68     | 0.00%             | 2040-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-7                                                     | CUSIP: 52519BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2024684 | PA      | $946876.16    | 0.04%             | 2037-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3361958 | PA      | $825073.62    | 0.04%             | 2036-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106679 | PA      | $90048.46     | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729752 | PA      | $2031690.56   | 0.09%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Resi Finance Limited Partnersh | RESI Finance LP 2003-D                                                           | CUSIP: 74951PCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     18964 | PA      | $8078.82      | 0.00%             | 2035-12-10      | Floating      | 5.19%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365695 | PA      | $367199.93    | 0.02%             | 2046-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203532 | PA      | $937518.89    | 0.04%             | 2036-08-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4411735 | PA      | $1396533.97   | 0.06%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183096 | PA      | $147910.50    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217467 | PA      | $198400.76    | 0.01%             | 2033-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA8 Trust                                                       | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720122 | PA      | $359181.11    | 0.02%             | 2035-07-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QO1 Trust                                                       | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1526040 | PA      | $1050727.21   | 0.05%             | 2035-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA9 Trust                                                       | CUSIP: 761118FG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87701 | PA      | $78250.01     | 0.00%             | 2035-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1294493 | PA      | $1014277.04   | 0.05%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 86359BRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419410 | PA      | $405313.32    | 0.02%             | 2034-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-4                     | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3776644 | PA      | $2107788.33   | 0.10%             | 2036-05-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3403040 | PA      | $2663000.27   | 0.12%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450135 | PA      | $32861.80     | 0.00%             | 2036-03-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210925 | PA      | $96973.83     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20253496 | PA      | $1267737.18   | 0.06%             | 2037-05-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17175 | PA      | $13628.14     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17965621 | PA      | $15095084.85  | 0.69%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-10                    | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380056 | PA      | $287347.57    | 0.01%             | 2036-11-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                     | CUSIP: 86363GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200265 | PA      | $186005.53    | 0.01%             | 2047-04-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA4                                                          | CUSIP: 05530WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487965 | PA      | $947754.11    | 0.04%             | 2047-06-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-I Trust                                            | CUSIP: 05949CHV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465792 | PA      | $374570.04    | 0.02%             | 2035-10-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2177312 | PA      | $160688.89    | 0.01%             | 2025-12-10      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-2                                                    | CUSIP: 12667FZ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70962 | PA      | $69089.24     | 0.00%             | 2035-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418315 | PA      | $1235759.53   | 0.06%             | 2035-08-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BG4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69614 | PA      | $57944.52     | 0.00%             | 2049-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446824 | PA      | $389473.01    | 0.02%             | 2051-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359666 | PA      | $220711.97    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97533 | PA      | $56127.44     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust                                               | CUSIP: 64352VDR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354036 | PA      | $363228.14    | 0.02%             | 2033-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1                | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220384 | PA      | $208463.64    | 0.01%             | 2047-03-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2003-1                                    | CUSIP: 66987XCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28587 | PA      | $28204.86     | 0.00%             | 2033-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198810 | PA      | $185580.69    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73746 | PA      | $67524.41     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2023-NQM2 Trust                                                             | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760941 | PA      | $764556.33    | 0.03%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-6                                              | CUSIP: 74928XCC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140815 | PA      | $461064.89    | 0.02%             | 2036-11-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA3 Trust                                                      | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173110 | PA      | $850115.25    | 0.04%             | 2037-07-27      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-1                                        | CUSIP: 759950CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239243 | PA      | $184245.09    | 0.01%             | 2034-05-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                                | CUSIP: 76116RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2844903 | PA      | $978221.22    | 0.04%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                                | CUSIP: 76116RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5598258 | PA      | $1924859.06   | 0.09%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2005-EC1                          | CUSIP: 81375WDF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187157 | PA      | $244744.43    | 0.01%             | 2035-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loa | Security National Mortgage Loan Trust 2006-3                                     | CUSIP: 81441WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287870 | PA      | $108099.53    | 0.00%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2007-3                                                    | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91 | PA      | $72.23        | 0.00%             | 2037-07-20      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Equity Loan Trust 2001-2                                          | CUSIP: 83611PAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70736 | PA      | $69396.86     | 0.00%             | 2030-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-7 Trust                              | CUSIP: 94982XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479472 | PA      | $391632.12    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2622267 | PA      | $770933.40    | 0.04%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2024703 | PA      | $2122576.72   | 0.10%             | 2033-05-01      | Variable      | 10.43%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-I Trust                                             | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188922 | PA      | $1073202.52   | 0.05%             | 2046-12-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2015-R2 Trust                                            | CUSIP: 05990TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675800 | PA      | $1518627.92   | 0.07%             | 2037-04-29      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2003-6                                                  | CUSIP: 07386HED9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120218 | PA      | $113641.59    | 0.01%             | 2034-01-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HQ53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3005563 | PA      | $1229709.95   | 0.06%             | 2036-05-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-1                                                    | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79206 | PA      | $76753.32     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-4                                                    | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273244 | PA      | $229569.86    | 0.01%             | 2036-10-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10871 | PA      | $4982.06      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1958710 | PA      | $405741.74    | 0.02%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343163 | PA      | $20039.08     | 0.00%             | 2035-04-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-72                                                   | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258252 | PA      | $1169885.69   | 0.05%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187369 | PA      | $181565.90    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523547 | PA      | $682504.97    | 0.03%             | 2036-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166904 | PA      | $576302.67    | 0.03%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356611 | PA      | $212297.43    | 0.01%             | 2036-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001578 | PA      | $132159.22    | 0.01%             | 2036-10-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HYB2                                        | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281531 | PA      | $257441.27    | 0.01%             | 2047-02-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-14                                          | CUSIP: 12544DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32280 | PA      | $15350.54     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254266 | PA      | $108384.54    | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-10                                          | CUSIP: 1266942H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159373 | PA      | $58496.50     | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295268 | PA      | $2317438.42   | 0.11%             | 2033-09-01      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365668 | PA      | $227453.90    | 0.01%             | 2035-09-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4                     | CUSIP: 225458PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1704550 | PA      | $1170790.28   | 0.05%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458UK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70314 | PA      | $68001.33     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-17                                          | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471439 | PA      | $469475.79    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124978 | PA      | $121624.64    | 0.01%             | 2035-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379420 | PA      | $80235.71     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4135917 | PA      | $2440440.93   | 0.11%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1316712 | PA      | $1023500.26   | 0.05%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694554 | PA      | $501745.17    | 0.02%             | 2050-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36292 | PA      | $17731.31     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0HT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102232 | PA      | $92265.72     | 0.00%             | 2034-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185007 | PA      | $69510.10     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1783498 | PA      | $774619.70    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HF7C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642240 | PA      | $643144.36    | 0.03%             | 2054-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    801907 | PA      | $802216.39    | 0.04%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HLH47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1226252 | PA      | $1234981.17   | 0.06%             | 2055-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233641 | PA      | $232662.69    | 0.01%             | 2034-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-RAMP1                  | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610697 | PA      | $1500900.65   | 0.07%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-1                      | CUSIP: 25151YAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404743 | PA      | $363505.35    | 0.02%             | 2037-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394E7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222406 | PA      | $220629.60    | 0.01%             | 2035-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394NT81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37703 | PA      | $37742.38     | 0.00%             | 2033-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3069814 | PA      | $2737926.98   | 0.12%             | 2036-04-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391668 | PA      | $375144.42    | 0.02%             | 2036-04-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395B4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307205 | PA      | $272307.13    | 0.01%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91530 | PA      | $90717.45     | 0.00%             | 2036-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96155 | PA      | $83105.98     | 0.00%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167766 | PA      | $146594.78    | 0.01%             | 2042-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395LUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142970 | PA      | $130483.54    | 0.01%             | 2035-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396F4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316774 | PA      | $313885.65    | 0.01%             | 2035-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586044 | PA      | $1235755.14   | 0.06%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608349 | PA      | $488397.78    | 0.02%             | 2039-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396K4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20941 | PA      | $20937.41     | 0.00%             | 2026-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726084 | PA      | $723011.50    | 0.03%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198686 | PA      | $194464.41    | 0.01%             | 2045-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3K74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278047 | PA      | $274237.06    | 0.01%             | 2049-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729285 | PA      | $629386.56    | 0.03%             | 2051-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245768 | PA      | $1221044.11   | 0.06%             | 2039-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61002 | PA      | $60188.94     | 0.00%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384426 | PA      | $381436.36    | 0.02%             | 2037-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2299992 | PA      | $2338421.96   | 0.11%             | 2053-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AW5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4383532 | PA      | $4310955.29   | 0.20%             | 2042-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21647 | PA      | $21442.05     | 0.00%             | 2037-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537230 | PA      | $535280.57    | 0.02%             | 2037-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BBR69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4485262 | PA      | $4420879.07   | 0.20%             | 2054-06-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9WY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3105278 | PA      | $2388405.09   | 0.11%             | 2050-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421148 | PA      | $201235.07    | 0.01%             | 2051-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-SEA1                                                            | CUSIP: 3622MLAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1909242.00   | 0.09%             | 2036-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-OA1                                                 | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667531 | PA      | $370393.03    | 0.02%             | 2037-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11328779 | PA      | $188240.12    | 0.01%             | 2036-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR2                                                 | CUSIP: 36242DJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186581 | PA      | $183182.36    | 0.01%             | 2035-04-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6344029 | PA      | $5920805.06   | 0.27%             | 2035-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP1                                               | CUSIP: 36242DXL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29339 | PA      | $30614.19     | 0.00%             | 2035-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ML37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283870 | PA      | $280552.02    | 0.01%             | 2043-04-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2084953 | PA      | $176853.67    | 0.01%             | 2049-04-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JWH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867029 | PA      | $644847.64    | 0.03%             | 2050-09-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290582 | PA      | $151155.12    | 0.01%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    868708 | PA      | $576292.97    | 0.03%             | 2051-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385D3T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295281 | PA      | $296189.58    | 0.01%             | 2055-03-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505Z47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2098566 | PA      | $538951.33    | 0.02%             | 2031-05-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-5                                            | CUSIP: 41161MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9916536 | PA      | $5159812.58   | 0.23%             | 2046-07-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust | IXIS Real Estate Capital Trust 2007-HE1                                          | CUSIP: 45073DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445841 | PA      | $90629.12     | 0.00%             | 2037-05-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR11                                       | CUSIP: 45660LQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137774 | PA      | $101391.26    | 0.00%             | 2035-08-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR5                                        | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151331 | PA      | $1111157.35   | 0.05%             | 2036-05-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373083 | PA      | $498386.31    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A1                                                 | CUSIP: 466247BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52311 | PA      | $53061.39     | 0.00%             | 2034-02-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A1                                                 | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16661 | PA      | $16056.68     | 0.00%             | 2035-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-8                                                    | CUSIP: 525221EE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28327 | PA      | $31917.89     | 0.00%             | 2035-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-10N                                                  | CUSIP: 525229BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242871 | PA      | $247011.64    | 0.01%             | 2046-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238070 | PA      | $19965.30     | 0.00%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2004-4                                          | CUSIP: 57643MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165087 | PA      | $162440.88    | 0.01%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                                | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76299 | PA      | $74756.15     | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445312 | PA      | $439509.58    | 0.02%             | 2036-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CS42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142957 | PA      | $141746.41    | 0.01%             | 2036-11-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 59020UJG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685012 | PA      | $535158.59    | 0.02%             | 2035-07-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| PHHMC Mortgage Pass Through Ce | PHHMC Series 2007-3 Trust                                                        | CUSIP: 69337NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6699 | PA      | $6643.34      | 0.00%             | 2037-06-18      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248142 | PA      | $245345.39    | 0.01%             | 2037-03-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KQS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6037 | PA      | $6024.77      | 0.00%             | 2037-06-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354447 | PA      | $359045.92    | 0.02%             | 2038-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13090 | PA      | $13101.81     | 0.00%             | 2038-03-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3725174 | PA      | $3183812.96   | 0.14%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107064 | PA      | $103737.78    | 0.00%             | 2020-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA6 Trust                                                       | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223407 | PA      | $209020.33    | 0.01%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-A                                                    | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413275 | PA      | $344646.46    | 0.02%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2013-4                                              | CUSIP: 74932FAB0<br>LEI: 549300WI4CNLL8T7Q274 | Long             | ABS-MBS          | CORP              | US        |    702469 | PA      | $607800.15    | 0.03%             | 2037-12-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-7                                              | CUSIP: 75524MCG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4390306 | PA      | $1163431.20   | 0.05%             | 2046-01-26      | Floating      | 4.47%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253888 | PA      | $15081.66     | 0.00%             | 2035-08-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A         | CUSIP: 86359AZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37759 | PA      | $36272.15     | 0.00%             | 2033-06-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421300 | PA      | $420234.64    | 0.02%             | 2041-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160002 | PA      | $1152800.04   | 0.05%             | 2040-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR6                                               | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9434 | PA      | $8296.90      | 0.00%             | 2035-11-19      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937084 | PA      | $814850.68    | 0.04%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981668 | PA      | $853619.33    | 0.04%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-WF                                                              | CUSIP: 36242DKM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195487 | PA      | $199101.22    | 0.01%             | 2034-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756727 | PA      | $428713.75    | 0.02%             | 2037-04-26      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42870 | PA      | $37161.72     | 0.00%             | 2035-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374JGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231032 | PA      | $229489.08    | 0.01%             | 2034-10-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1219928 | PA      | $1206614.34   | 0.05%             | 2041-11-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DYV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125577 | PA      | $123988.15    | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YSN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36204360 | PA      | $35704374.00  | 1.62%             | 2052-09-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384QBK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275147 | PA      | $275779.54    | 0.01%             | 2054-06-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust Series 2007-AR2                                | CUSIP: 39539LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407052 | PA      | $405677.84    | 0.02%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664887 | PA      | $320240.84    | 0.01%             | 2036-07-21      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-7                                            | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494093 | PA      | $217205.08    | 0.01%             | 2045-06-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-6                                            | CUSIP: 41161PQR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229675 | PA      | $196768.20    | 0.01%             | 2045-07-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-16                                           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973637 | PA      | $1269711.16   | 0.06%             | 2036-01-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                               | CUSIP: 46591LBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610780 | PA      | $1537553.57   | 0.07%             | 2050-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                                  | CUSIP: 46591TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894331 | PA      | $782683.28    | 0.04%             | 2050-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247B51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160155 | PA      | $137735.34    | 0.01%             | 2021-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A3                                                 | CUSIP: 466247CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156470 | PA      | $150018.00    | 0.01%             | 2034-07-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A2                                                 | CUSIP: 466247NM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77062 | PA      | $63856.78     | 0.00%             | 2035-04-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A8                                                 | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348754 | PA      | $281528.72    | 0.01%             | 2035-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2005-S1                                         | CUSIP: 46627MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10134 | PA      | $6666.57      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A1                                                 | CUSIP: 46630GBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33183 | PA      | $30354.08     | 0.00%             | 2035-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923945 | PA      | $891496.03    | 0.04%             | 2037-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-2                                   | CUSIP: 46642AAH7<br>LEI: 5493004EDOTOJ5TDDQ63 | Long             | ABS-MBS          | CORP              | US        |    541092 | PA      | $302289.73    | 0.01%             | 2037-03-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-3                                   | CUSIP: 46642BAE2<br>LEI: 549300RKVQ1H0V3JB665 | Long             | ABS-MBS          | CORP              | US        |   1099318 | PA      | $1136145.45   | 0.05%             | 2036-06-26      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-4                                                  | CUSIP: 46647JAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871572 | PA      | $747380.62    | 0.03%             | 2046-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107535 | PA      | $94243.85     | 0.00%             | 2035-12-25      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601488 | PA      | $278193.89    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-2                                                     | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154021 | PA      | $94549.37     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2023-NQM4 Trust                                                              | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722904 | PA      | $728695.98    | 0.03%             | 2068-12-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2762243 | PA      | $420976.29    | 0.02%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-10XS                                     | CUSIP: 61751MAV6<br>LEI: 549300CG0N64R5CUIN87 | Long             | ABS-MBS          | CORP              | US        |    549283 | PA      | $182923.52    | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195150 | PA      | $51588.97     | 0.00%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAA2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |   1732817 | PA      | $829795.16    | 0.04%             | 2037-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA1 Trust                                                      | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118539 | PA      | $76567.33     | 0.00%             | 2037-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-3                                                    | CUSIP: 81743PAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1147073 | PA      | $1075849.82   | 0.05%             | 2033-07-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT2                                              | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5027499 | PA      | $4623752.97   | 0.21%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125400 | PA      | $111723.25    | 0.01%             | 2034-11-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-5                     | CUSIP: 86363XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2044865 | PA      | $1686223.99   | 0.08%             | 2037-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626955 | PA      | $231764.95    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CLA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20006876.20  | 0.91%             | 2026-07-31      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CLT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50500000 | PA      | $50538767.84  | 2.30%             | 2026-10-31      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-8                                                | CUSIP: 92540DAA3<br>LEI: 213800DTJD5UKJR53O34 | Long             | ABS-MBS          | CORP              | US        |   5865816 | PA      | $5921087.38   | 0.27%             | 2068-12-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust                    | CUSIP: 92922FWM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113003 | PA      | $105929.62    | 0.00%             | 2034-08-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                   | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56576 | PA      | $49099.15     | 0.00%             | 2037-01-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                   | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463674 | PA      | $421073.06    | 0.02%             | 2036-10-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                   | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718996 | PA      | $649303.04    | 0.03%             | 2046-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288720 | PA      | $270422.85    | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    777523 | PA      | $772490.41    | 0.04%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR16 Trust                           | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204370 | PA      | $192941.85    | 0.01%             | 2036-10-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-14CB                                                 | CUSIP: 021468AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2914516 | PA      | $1226759.31   | 0.06%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411087 | PA      | $204533.85    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41651 | PA      | $19088.30     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514292 | PA      | $230125.73    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-20                                          | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631518 | PA      | $273240.86    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-8                                           | CUSIP: 1266943B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1992159 | PA      | $1143179.90   | 0.05%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                           | CUSIP: 126694W20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40432 | PA      | $17938.91     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4S7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436127 | PA      | $369865.32    | 0.02%             | 2035-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GXF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231089 | PA      | $300196.71    | 0.01%             | 2035-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1366262 | PA      | $932383.23    | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7JC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1574750 | PA      | $1558659.73   | 0.07%             | 2042-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355248 | PA      | $352416.91    | 0.02%             | 2042-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92792 | PA      | $76891.50     | 0.00%             | 2043-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841994 | PA      | $827840.93    | 0.04%             | 2043-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1960781 | PA      | $1925149.24   | 0.09%             | 2047-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1A20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3712197 | PA      | $3610819.54   | 0.16%             | 2048-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1C93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2445832 | PA      | $2379335.24   | 0.11%             | 2048-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1MQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182667 | PA      | $177676.88    | 0.01%             | 2048-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4DB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5165444 | PA      | $5086059.90   | 0.23%             | 2049-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4EG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213635 | PA      | $209639.86    | 0.01%             | 2049-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6K36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245444 | PA      | $213224.78    | 0.01%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5048879 | PA      | $4975808.35   | 0.23%             | 2049-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337590 | PA      | $284334.70    | 0.01%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFVD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656822 | PA      | $560705.72    | 0.03%             | 2049-11-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347533 | PA      | $260328.02    | 0.01%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BMPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69000 | PA      | $62811.36     | 0.00%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABSC MANUFACTURED HOUSING CONT | ABSC Manufactured Housing Contract Resecuritization Trust 2004-CNF1              | CUSIP: 00081WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1088234 | PA      | $1097288.29   | 0.05%             | 2030-12-02      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538447 | PA      | $267901.44    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168849 | PA      | $81105.37     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353175 | PA      | $109226.58    | 0.00%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813519 | PA      | $498071.43    | 0.02%             | 2036-12-25      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA9                                                  | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59705 | PA      | $51763.02     | 0.00%             | 2046-07-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-25CB                                                 | CUSIP: 02147VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962402 | PA      | $481998.53    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2564503 | PA      | $143758.11    | 0.01%             | 2037-01-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288396 | PA      | $143267.78    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381100 | PA      | $1200328.36   | 0.05%             | 2037-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787281 | PA      | $438584.71    | 0.02%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4538224 | PA      | $901193.17    | 0.04%             | 2037-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210698 | PA      | $18567.14     | 0.00%             | 2037-10-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-17CB                                                 | CUSIP: 02151HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687271 | PA      | $599632.76    | 0.03%             | 2037-08-25      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-25                                                   | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257046 | PA      | $539597.95    | 0.02%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701293 | PA      | $953797.80    | 0.04%             | 2037-08-25      | Floating      | 22.53%                | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 124860FF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274000 | PA      | $2546940.20   | 0.12%             | 2035-01-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248M6AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338962 | PA      | $1199678.69   | 0.05%             | 2046-05-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1796541 | PA      | $718732.60    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-10                                          | CUSIP: 12545CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396370 | PA      | $119806.19    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238746 | PA      | $199588.50    | 0.01%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484638 | PA      | $260363.52    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3578339 | PA      | $1922558.63   | 0.09%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-4                                                | CUSIP: 126379AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95218 | PA      | $49121.96     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8085114 | PA      | $1999685.62   | 0.09%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12645GBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3012646 | PA      | $2538154.05   | 0.12%             | 2037-02-27      | Floating      | 3.20%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097165 | PA      | $1037268.13   | 0.05%             | 2046-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-19                                          | CUSIP: 126694AM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330988 | PA      | $56292.16     | 0.00%             | 2035-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-48                                          | CUSIP: 12669EV29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227694 | PA      | $110117.47    | 0.01%             | 2033-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-9                                           | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97192 | PA      | $86383.19     | 0.00%             | 2035-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59706 | PA      | $20846.03     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS Mortgage Loan Trust 2007-CB3                                              | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328492 | PA      | $119123.52    | 0.01%             | 2037-03-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-1 Mortgage Loan Trust                                                  | CUSIP: 19688TAA3<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |   5253951 | PA      | $5290434.38   | 0.24%             | 2069-02-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-4 Mortgage Loan Trust                                                  | CUSIP: 19688WAA6<br>LEI: 213800KKXAZ8LJ3W5A65 | Long             | ABS-MBS          | CORP              | US        |  24411537 | PA      | $24678562.34  | 1.12%             | 2069-07-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4                     | CUSIP: 22541STR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217888 | PA      | $201400.40    | 0.01%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3173283 | PA      | $870313.10    | 0.04%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470SB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58627 | PA      | $35621.12     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72896 | PA      | $27041.78     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6082441 | PA      | $1799299.31   | 0.08%             | 2036-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0PJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141324 | PA      | $101252.67    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2456500 | PA      | $1066921.90   | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279865 | PA      | $117305.69    | 0.01%             | 2036-07-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA12                                                 | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277395 | PA      | $251372.90    | 0.01%             | 2046-09-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4KY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70000 | PA      | $65866.71     | 0.00%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6YV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186972 | PA      | $185525.82    | 0.01%             | 2042-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7VK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167698 | PA      | $155195.10    | 0.01%             | 2042-06-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3670322 | PA      | $3611631.30   | 0.16%             | 2044-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201711 | PA      | $179844.31    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111606 | PA      | $90903.70     | 0.00%             | 2040-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245474 | PA      | $247886.96    | 0.01%             | 2040-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE3                                            | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83834 | PA      | $83098.37     | 0.00%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2009-4R                                                 | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2445014 | PA      | $1793815.70   | 0.08%             | 2036-12-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-AR1                                                 | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250849 | PA      | $131758.35    | 0.01%             | 2047-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-15                                                   | CUSIP: 3622E8AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986831 | PA      | $493593.51    | 0.02%             | 2036-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-NC1                                                             | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250490 | PA      | $1117188.42   | 0.05%             | 2046-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427863 | PA      | $147988.37    | 0.01%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-1                                                    | CUSIP: 362341Z36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4405570 | PA      | $1190827.27   | 0.05%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10817333 | PA      | $381061.10    | 0.02%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775785 | PA      | $666024.50    | 0.03%             | 2035-05-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-8                                                    | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81124 | PA      | $80583.20     | 0.00%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374VAT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431580 | PA      | $343107.40    | 0.02%             | 2039-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375KAD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1593996 | PA      | $1569633.70   | 0.07%             | 2037-05-16      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375X8F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435547 | PA      | $435538.92    | 0.02%             | 2038-08-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377EFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025491 | PA      | $838808.88    | 0.04%             | 2040-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157282 | PA      | $141210.93    | 0.01%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182868 | PA      | $147773.89    | 0.01%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379WFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291565 | PA      | $1282670.64   | 0.06%             | 2046-04-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RRU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457270 | PA      | $1430813.73   | 0.07%             | 2049-02-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4214296 | PA      | $3809496.21   | 0.17%             | 2049-08-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DCP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18950563 | PA      | $18546036.48  | 0.84%             | 2050-01-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KEA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151103 | PA      | $86508.41     | 0.00%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3213578 | PA      | $2587255.34   | 0.12%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48000 | PA      | $24697.93     | 0.00%             | 2049-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4905387 | PA      | $4399304.47   | 0.20%             | 2051-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XGN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881942 | PA      | $397178.61    | 0.02%             | 2049-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76892 | PA      | $46332.90     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YWM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2493073 | PA      | $2456074.46   | 0.11%             | 2052-09-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384BPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106018 | PA      | $106006.67    | 0.00%             | 2053-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384MXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20639 | PA      | $20692.61     | 0.00%             | 2054-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385GGZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354911 | PA      | $292788.67    | 0.01%             | 2055-05-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6245650 | PA      | $1554434.86   | 0.07%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980207 | PA      | $2636621.98   | 0.12%             | 2045-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426368 | PA      | $198332.09    | 0.01%             | 2035-10-19      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-6                                                    | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36773 | PA      | $36794.67     | 0.00%             | 2034-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294985 | PA      | $620717.19    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148376 | PA      | $507792.93    | 0.02%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A9                                   | CUSIP: 45660LTR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104672 | PA      | $33648.24     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119143 | PA      | $111013.97    | 0.01%             | 2036-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268305 | PA      | $208936.86    | 0.01%             | 2037-03-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F3                                         | CUSIP: 45671BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26566 | PA      | $13572.99     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A3                                                 | CUSIP: 466247QM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120520 | PA      | $120705.57    | 0.01%             | 2035-06-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195711 | PA      | $145203.96    | 0.01%             | 2035-10-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2007-A1                                         | CUSIP: 466287BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731259 | PA      | $743142.43    | 0.03%             | 2037-03-25      | Floating      | 3.97%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595068 | PA      | $1245321.01   | 0.06%             | 2037-06-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-8                                                  | CUSIP: 46652TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588993 | PA      | $555085.98    | 0.03%             | 2051-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110519 | PA      | $927584.26    | 0.04%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2003-RS9 Trust                                                       | CUSIP: 760985B42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405915 | PA      | $396086.35    | 0.02%             | 2033-10-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9135752 | PA      | $772969.61    | 0.04%             | 2036-08-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A1                                   | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303947 | PA      | $92489.97     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5640407 | PA      | $1093623.56   | 0.05%             | 2036-12-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-3                                                 | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2331263 | PA      | $2231264.38   | 0.10%             | 2036-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695738 | PA      | $552151.75    | 0.03%             | 2036-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2003-BC8                                  | CUSIP: 86358EEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75124 | PA      | $71413.19     | 0.00%             | 2033-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2004-5                                    | CUSIP: 86358EJL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508601 | PA      | $456298.30    | 0.02%             | 2034-05-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR4                          | CUSIP: 86359LDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165299 | PA      | $164624.79    | 0.01%             | 2034-12-19      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332051 | PA      | $1106788.88   | 0.05%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-8                     | CUSIP: 86361JAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3793520 | PA      | $3495449.58   | 0.16%             | 2036-09-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR1                          | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269434 | PA      | $227267.77    | 0.01%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  3 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR3                          | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359738 | PA      | $334130.44    | 0.02%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2004-4                                       | CUSIP: 885220GB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133299 | PA      | $125441.28    | 0.01%             | 2044-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2007-3                                       | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204012 | PA      | $201119.09    | 0.01%             | 2047-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                   | CUSIP: 933637AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137584 | PA      | $114863.55    | 0.01%             | 2037-01-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                    | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63303 | PA      | $57552.24     | 0.00%             | 2037-07-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust   | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484757 | PA      | $1253776.88   | 0.06%             | 2035-05-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR3 Trust   | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94599 | PA      | $83163.38     | 0.00%             | 2033-06-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170115 | PA      | $150684.48    | 0.01%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FLA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2601117 | PA      | $2477867.25   | 0.11%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust   | CUSIP: 93936HAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3323217 | PA      | $628388.05    | 0.03%             | 2037-04-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203638 | PA      | $179415.07    | 0.01%             | 2037-06-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3546465 | PA      | $383493.49    | 0.02%             | 2037-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mortgage Corp         | ABN Amro Mortgage Corp                                                           | CUSIP: 000780AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33930 | PA      | $33733.92     | 0.00%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640229 | PA      | $1264449.23   | 0.06%             | 2038-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92652 | PA      | $88569.77     | 0.00%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648861 | PA      | $576682.37    | 0.03%             | 2046-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2004-3                                   | CUSIP: 02660TBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82721 | PA      | $80906.17     | 0.00%             | 2034-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265282 | PA      | $251284.57    | 0.01%             | 2046-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6391517 | PA      | $4889195.39   | 0.22%             | 2047-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-6 Trust                                             | CUSIP: 05946XM34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938354 | PA      | $777395.28    | 0.04%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-8 Trust                                             | CUSIP: 05946XX57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193962 | PA      | $159712.12    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KU64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184360 | PA      | $168746.31    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503227 | PA      | $1246461.55   | 0.06%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2003-AC4                              | CUSIP: 07384YKF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71941 | PA      | $64765.53     | 0.00%             | 2033-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE5                            | CUSIP: 073859AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321922 | PA      | $320863.54    | 0.01%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270005 | PA      | $258562.48    | 0.01%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-AC6                            | CUSIP: 07387TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370732 | PA      | $534470.24    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-2                                           | CUSIP: 12544CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1298675 | PA      | $539978.94    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-20                                          | CUSIP: 12544QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217191 | PA      | $91803.46     | 0.00%             | 2038-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613004 | PA      | $350135.65    | 0.02%             | 2037-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380BZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1758038 | PA      | $994871.56    | 0.05%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362612 | PA      | $721039.09    | 0.03%             | 2035-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-8T1                                                  | CUSIP: 12668BMH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73945 | PA      | $34081.16     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76539 | PA      | $73093.63     | 0.00%             | 2021-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2003-R4                                            | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168338 | PA      | $146032.92    | 0.01%             | 2034-01-25      | Variable      | 4.74%                 | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2004-S2                                      | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155328 | PA      | $156003.81    | 0.01%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275243 | PA      | $261466.17    | 0.01%             | 2035-12-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85739 | PA      | $79615.75     | 0.00%             | 2037-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S1                                      | CUSIP: 16163FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6455759 | PA      | $1878054.63   | 0.09%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860851 | PA      | $591446.53    | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4               | CUSIP: 16678RAL1<br>LEI: 549300YJP2VT3ZPGT715 | Long             | ABS-MBS          | CORP              | US        |    249665 | PA      | $236407.41    | 0.01%             | 2034-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3               | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |     38241 | PA      | $37573.25     | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GQY7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    156612 | PA      | $150092.00    | 0.01%             | 2035-05-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313CAD1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    187627 | PA      | $187378.08    | 0.01%             | 2037-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922828 | PA      | $1001793.10   | 0.05%             | 2037-08-25      | Floating      | 12.42%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-18R                                                             | CUSIP: 22944JET4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5323244 | PA      | $3750225.19   | 0.17%             | 2036-09-28      | Variable      | 4.22%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547179 | PA      | $1525048.77   | 0.07%             | 2042-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160197 | PA      | $114357.30    | 0.01%             | 2043-08-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771293 | PA      | $763258.45    | 0.03%             | 2055-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVGS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270725 | PA      | $1279731.54   | 0.06%             | 2055-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186973 | PA      | $188310.60    | 0.01%             | 2055-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5MV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2409548 | PA      | $2406243.17   | 0.11%             | 2041-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6TK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92710 | PA      | $80318.36     | 0.00%             | 2041-02-15      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AMK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421599 | PA      | $418253.09    | 0.02%             | 2042-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308093 | PA      | $306587.55    | 0.01%             | 2041-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B5PB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2457160 | PA      | $2434122.16   | 0.11%             | 2043-11-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B93Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905844 | PA      | $896436.79    | 0.04%             | 2044-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BFXK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257076 | PA      | $1237074.89   | 0.06%             | 2045-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118901 | PA      | $116681.22    | 0.01%             | 2045-02-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3543735 | PA      | $3462146.34   | 0.16%             | 2048-06-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    786595 | PA      | $766361.55    | 0.03%             | 2048-10-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5915779 | PA      | $3811532.13   | 0.17%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FL2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165482 | PA      | $164050.36    | 0.01%             | 2049-03-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295007 | PA      | $260495.39    | 0.01%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W1                                                   | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12066 | PA      | $12209.20     | 0.00%             | 2042-12-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114601 | PA      | $123946.31    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637691 | PA      | $635509.13    | 0.03%             | 2037-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184198 | PA      | $183912.48    | 0.01%             | 2037-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42394 | PA      | $33170.01     | 0.00%             | 2040-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF5                                      | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5517739 | PA      | $5128051.99   | 0.23%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2004-FF5                                      | CUSIP: 32027NKU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103032 | PA      | $96831.89     | 0.00%             | 2034-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA11                    | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372799 | PA      | $176426.52    | 0.01%             | 2036-01-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-RE1                     | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44103 | PA      | $27078.46     | 0.00%             | 2035-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-AR3                               | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287012 | PA      | $205259.60    | 0.01%             | 2037-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379CA71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46749 | PA      | $43560.86     | 0.00%             | 2044-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379JAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762810 | PA      | $699080.85    | 0.03%             | 2044-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-C                 | CUSIP: 43709BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54507 | PA      | $51980.59     | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR19                                       | CUSIP: 45660GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949174 | PA      | $800911.69    | 0.04%             | 2036-08-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR13                                       | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151603 | PA      | $132571.84    | 0.01%             | 2035-08-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR13                                       | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162276 | PA      | $101219.90    | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1114762 | PA      | $1082200.59   | 0.05%             | 2049-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332180 | PA      | $316316.41    | 0.01%             | 2050-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287661 | PA      | $51059.76     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158624 | PA      | $127168.21    | 0.01%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-3                                                     | CUSIP: 52520UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40219428 | PA      | $8851455.63   | 0.40%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13292934 | PA      | $1476839.69   | 0.07%             | 2037-02-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5420957 | PA      | $1057039.92   | 0.05%             | 2037-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-FRE2                                    | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216471 | PA      | $128483.04    | 0.01%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2007-3                                     | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3290972 | PA      | $2778746.40   | 0.13%             | 2047-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2006-S1                                       | CUSIP: 64352VQC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10272636 | PA      | $212905.51    | 0.01%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | New York Mortgage Trust 2006-1                                                   | CUSIP: 649603AP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25030 | PA      | $20331.15     | 0.00%             | 2036-05-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540EAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1319548 | PA      | $1073452.06   | 0.05%             | 2036-10-26      | Floating      | 1.43%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-48T1                                                 | CUSIP: 12668AFJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7434674 | PA      | $3469600.94   | 0.16%             | 2035-11-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-50CB                                                 | CUSIP: 12668ALJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918593 | PA      | $389183.76    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-49CB                                                 | CUSIP: 12668AMM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559457 | PA      | $347330.22    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2003-J3                                                   | CUSIP: 12669FEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85329 | PA      | $85180.31     | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-2                                           | CUSIP: 12669FKT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242079 | PA      | $241587.20    | 0.01%             | 2034-03-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-15                                          | CUSIP: 12669FL68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114436 | PA      | $107557.33    | 0.00%             | 2034-10-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42429 | PA      | $40071.91     | 0.00%             | 2035-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18964 | PA      | $18457.30     | 0.00%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1195173.56   | 0.05%             | 2046-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499809 | PA      | $362468.43    | 0.02%             | 2048-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BB3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6277168 | PA      | $4712623.03   | 0.21%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902035 | PA      | $1926881.66   | 0.09%             | 2036-08-27      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726495 | PA      | $721281.28    | 0.03%             | 2041-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1319623 | PA      | $1307948.45   | 0.06%             | 2040-10-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-3F                                                  | CUSIP: 3622MWAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3382882 | PA      | $2417001.26   | 0.11%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188796 | PA      | $111219.94    | 0.01%             | 2036-04-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2024-NQM2 Trust                                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109576 | PA      | $1121127.17   | 0.05%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374HRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30894 | PA      | $30634.78     | 0.00%             | 2034-08-16      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374V2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509058 | PA      | $512566.04    | 0.02%             | 2039-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2007-HE2                                     | CUSIP: 40430RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163819 | PA      | $81779.64     | 0.00%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445221 | PA      | $403190.50    | 0.02%             | 2034-11-19      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400933 | PA      | $1236600.40   | 0.06%             | 2037-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** Advisor Managed Portfolios

**Signature:** /s/ Eric T. McCormick

**Name of Signer:** Advisor Managed Portfolios

**Title:** Treasurer and Principal Financial Officer