# EDGAR Filing Document

**Accession Number:** 0001970751
**File Stem:** 0000894189-25-016431
**Filing Date:** 2025-12
**Character Count:** 714041
**Document Hash:** bcef3cad057f96c9d8c5e5c84fb3cb4c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-25-016431.hdr.sgml**: 20251201

**ACCESSION NUMBER**: 0000894189-25-016431

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251201

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20250930

**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:** 251536824

**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           |

## 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:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1651153819.80

**Total Liabilities:** $56189794.14

**Net Assets:** $1594964025.66

**Delayed Delivery Securities:** $54516135.42

**Cash Not Reported:** $2403758.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 20676.291086000000 | **1-Year:** 3558.681581000000 | **5-Year:** 19607.793028000000 | **10-Year:** 162089.466774000000 | **30-Year:** 177469.069132000000

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

- **3-Month:** 276785.135255000000 | **1-Year:** 12828.850125000000 | **5-Year:** 13754.337509000000 | **10-Year:** 25304.238901000000 | **30-Year:** 20691.342316000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246397 | 0.10%                | 0.83%                | 0.84%                |
| Class ID C000246398 | 0.00%                | 0.94%                | 0.81%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $38410.87                | $-15019113.69                              |
| Month 2  | $608788.40               | $-2533671.17                               |
| Month 3  | $1383250.57              | $-3794431.95                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353175 | PA      | $111491.45    | 0.01%             | 2036-12-25      | Floating      | 5.17%                 | 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        |   5655044 | PA      | $2106073.66   | 0.13%             | 2036-07-25      | Floating      | 4.62%                 | 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        |   6176192 | PA      | $6604834.83   | 0.41%             | 2036-07-25      | Floating      | 11.51%                | 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        |     41677 | PA      | $19371.48     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | 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        |   1132374 | PA      | $303325.36    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |   2156778 | PA      | $577729.13    | 0.04%             | 2036-12-25      | Fixed         | 6.00%                 | 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      | $454045.65    | 0.03%             | 2036-02-26      | Variable      | 5.25%                 | 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      | $142534.65    | 0.01%             | 2032-06-25      | Variable      | 6.50%                 | 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        |    206275 | PA      | $198356.26    | 0.01%             | 2035-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-H Trust                                            | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170398 | PA      | $149716.64    | 0.01%             | 2035-09-25      | Variable      | 5.12%                 | 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        |    661008 | PA      | $538739.14    | 0.03%             | 2046-07-25      | Floating      | 4.87%                 | 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      | $43319.70     | 0.00%             | 2021-06-10      | Fixed         | 6.94%                 | 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        |    148903 | PA      | $147411.30    | 0.01%             | 2034-08-25      | Floating      | 5.92%                 | 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        |     93902 | PA      | $80280.91     | 0.01%             | 2035-01-25      | Floating      | 4.67%                 | 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        |    291172 | PA      | $199714.02    | 0.01%             | 2035-07-25      | 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        |    128950 | PA      | $129842.30    | 0.01%             | 2033-10-25      | Fixed         | 6.00%                 | 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        |     88591 | PA      | $88355.83     | 0.01%             | 2033-11-25      | Fixed         | 5.25%                 | 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      | $112969.86    | 0.01%             | 2049-04-25      | Variable      | 4.39%                 | 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        |    277978 | PA      | $263822.08    | 0.02%             | 2035-12-25      | Variable      | 4.84%                 | 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        |   4065023 | PA      | $1759955.47   | 0.11%             | 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        |    440318 | PA      | $158712.08    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     17510 | PA      | $17175.12     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | 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        |    713869 | PA      | $663169.95    | 0.04%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GJX7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     83635 | PA      | $76617.11     | 0.00%             | 2034-09-25      | Variable      | 5.10%                 | 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        |   1145065 | PA      | $475088.08    | 0.03%             | 2037-01-25      | Floating      | 4.67%                 | 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        |   2128321 | PA      | $1636310.03   | 0.10%             | 2037-02-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BMPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69000 | PA      | $62421.51     | 0.00%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1315270 | PA      | $1307868.88   | 0.08%             | 2039-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9946771 | PA      | $10023131.48  | 0.63%             | 2054-12-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435901 | PA      | $438129.93    | 0.03%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F1FL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355529 | PA      | $346123.08    | 0.02%             | 2047-06-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6JY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834325 | PA      | $631778.99    | 0.04%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2138567 | PA      | $1585419.31   | 0.10%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8P80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329412 | PA      | $264893.14    | 0.02%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FABX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650708 | PA      | $580549.74    | 0.04%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522341 | PA      | $393590.49    | 0.02%             | 2051-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305809 | PA      | $269199.38    | 0.02%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTVA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2232088 | PA      | $2170259.45   | 0.14%             | 2050-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437980 | PA      | $420195.28    | 0.03%             | 2050-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426777 | PA      | $426504.31    | 0.03%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553875 | PA      | $555858.37    | 0.03%             | 2055-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2004-W14                                                  | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |   1445603 | PA      | $1381377.37   | 0.09%             | 2044-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30423 | PA      | $29958.37     | 0.00%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738228 | PA      | $736629.39    | 0.05%             | 2041-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461564 | PA      | $459823.31    | 0.03%             | 2041-07-25      | Floating      | 5.05%                 | 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        |   3018181 | PA      | $941526.63    | 0.06%             | 2036-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374T3U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    743363 | PA      | $744536.28    | 0.05%             | 2038-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    981381 | PA      | $970431.02    | 0.06%             | 2041-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MNP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3547089 | PA      | $2870631.03   | 0.18%             | 2050-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1606112 | PA      | $1624337.34   | 0.10%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74371 | PA      | $67732.88     | 0.00%             | 2045-06-25      | Floating      | 4.83%                 | 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        |    520060 | PA      | $439809.83    | 0.03%             | 2045-08-25      | Floating      | 4.75%                 | 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        |    452241 | PA      | $409720.03    | 0.03%             | 2034-11-19      | Variable      | 5.13%                 | 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        |     74622 | PA      | $72292.43     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141186 | PA      | $1093977.33   | 0.07%             | 2049-09-25      | Floating      | 5.22%                 | 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        |    928493 | PA      | $803740.26    | 0.05%             | 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        |    160926 | PA      | $137905.49    | 0.01%             | 2021-01-25      | Fixed         | 5.50%                 | 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        |    351647 | PA      | $285992.95    | 0.02%             | 2035-11-25      | Variable      | 5.42%                 | 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        |    443446 | PA      | $373040.81    | 0.02%             | 2037-05-25      | Variable      | 4.71%                 | 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        |     18570 | PA      | $7844.03      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |    814101 | PA      | $721509.44    | 0.05%             | 2046-10-25      | Variable      | 3.00%                 | 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        |   1232814 | PA      | $1176387.23   | 0.07%             | 2049-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5405978 | PA      | $1180540.08   | 0.07%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601469 | PA      | $271332.71    | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185620 | PA      | $1557942.69   | 0.10%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3363266 | PA      | $842019.56    | 0.05%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3842926 | PA      | $473536.46    | 0.03%             | 2036-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1022955 | PA      | $668756.09    | 0.04%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371869 | PA      | $223353.64    | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3109887 | PA      | $677625.40    | 0.04%             | 2037-06-25      | Floating      | 4.68%                 | 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        |     45609 | PA      | $44097.15     | 0.00%             | 2046-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297312 | PA      | $72298.46     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-10H                                                         | CUSIP: 525237AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331384 | PA      | $309568.31    | 0.02%             | 2037-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-7N                                                   | CUSIP: 52524GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848522 | PA      | $799106.36    | 0.05%             | 2047-06-25      | Floating      | 4.75%                 | 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        |     21698 | PA      | $21066.85     | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | 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        |    424009 | PA      | $363322.27    | 0.02%             | 2034-03-25      | Fixed         | 5.50%                 | 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        |    201034 | PA      | $194865.84    | 0.01%             | 2032-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220061 | PA      | $198087.72    | 0.01%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Alliance Bancorp Trust         | Alliance Bancorp Trust 2007-OA1                                                  | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564843 | PA      | $495673.43    | 0.03%             | 2037-07-25      | Floating      | 4.75%                 | 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        |   2046096 | PA      | $2147491.35   | 0.13%             | 2033-05-01      | Variable      | 8.44%                 | 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        |   6557175 | PA      | $2074690.77   | 0.13%             | 2037-07-25      | Floating      | 4.63%                 | 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        |    979524 | PA      | $264013.14    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | 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        |   1804374 | PA      | $1537776.62   | 0.10%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-6                                              | CUSIP: 576434GQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315730 | PA      | $285885.69    | 0.02%             | 2033-09-25      | Variable      | 5.72%                 | 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        |     18158 | PA      | $17929.29     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | 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        |    169730 | PA      | $166607.53    | 0.01%             | 2033-12-26      | Fixed         | 5.25%                 | 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        |   3372345 | PA      | $2807814.43   | 0.18%             | 2047-05-25      | Floating      | 4.95%                 | 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        |    124245 | PA      | $121600.37    | 0.01%             | 2030-06-15      | Floating      | 4.74%                 | 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        |    203573 | PA      | $196395.57    | 0.01%             | 2035-12-25      | Variable      | 5.89%                 | 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        |   7397500 | PA      | $2045687.01   | 0.13%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | 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        |   3596009 | PA      | $1076202.84   | 0.07%             | 2037-01-25      | Floating      | 4.73%                 | 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      | $1245426.18   | 0.08%             | 2038-02-25      | Variable      | 7.25%                 | 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        |    101519 | PA      | $97848.46     | 0.01%             | 2030-03-25      | Floating      | 4.91%                 | 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        |   1753487 | PA      | $65543.58     | 0.00%             | 2036-09-25      | Floating      | 4.51%                 | 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        |    958270 | PA      | $846478.00    | 0.05%             | 2035-10-25      | Variable      | 4.71%                 | 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        |     53774 | PA      | $43059.60     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   2767863 | PA      | $2050659.69   | 0.13%             | 2037-01-25      | Floating      | 4.82%                 | 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        |    548481 | PA      | $527445.34    | 0.03%             | 2033-09-25      | Variable      | 6.67%                 | 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        |    260537 | PA      | $248042.75    | 0.02%             | 2035-07-25      | Variable      | 5.49%                 | 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        |    267830 | PA      | $238015.83    | 0.01%             | 2046-07-25      | Floating      | 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        |    206289 | PA      | $177227.03    | 0.01%             | 2037-01-25      | Floating      | 4.33%                 | 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      | $30715.38     | 0.00%             | 2035-11-25      | Floating      | 4.89%                 | 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        |     94792 | PA      | $89739.12     | 0.01%             | 2036-01-25      | Floating      | 4.77%                 | 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        |     85173 | PA      | $67833.88     | 0.00%             | 2036-11-25      | 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        |     99138 | PA      | $86517.83     | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |    459704 | PA      | $353341.85    | 0.02%             | 2037-05-25      | Floating      | 4.82%                 | 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        |    929414 | PA      | $742207.25    | 0.05%             | 2037-10-25      | Variable      | 5.14%                 | 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        |   2752533 | PA      | $2270210.28   | 0.14%             | 2037-07-25      | Fixed         | 6.50%                 | 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        |    218814 | PA      | $118077.27    | 0.01%             | 2037-04-25      | Variable      | 5.88%                 | 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        |    598232 | PA      | $466081.08    | 0.03%             | 2036-09-25      | Floating      | 4.72%                 | 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        |   1753033 | PA      | $1149765.91   | 0.07%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                                    | CUSIP: 81745DAN1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    354760 | PA      | $252915.05    | 0.02%             | 2043-07-25      | Fixed         | 0.00%                 | 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        |    433893 | PA      | $205220.54    | 0.01%             | 2036-04-25      | Floating      | 4.87%                 | 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        |     38651 | PA      | $37136.09     | 0.00%             | 2033-06-25      | Variable      | 6.11%                 | 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        |    126135 | PA      | $122343.39    | 0.01%             | 2034-03-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9975380.80   | 0.63%             | 2025-10-23      | Fixed         | 0.00%                 | 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      | $27982199.56  | 1.75%             | 2027-07-31      | Floating      | 4.06%                 | 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        |    546295 | PA      | $502624.92    | 0.03%             | 2045-12-25      | Floating      | 4.81%                 | 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        |    271359 | PA      | $263197.94    | 0.02%             | 2035-04-25      | Variable      | 4.35%                 | 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        |     12860 | PA      | $12062.18     | 0.00%             | 2046-06-25      | Floating      | 5.13%                 | 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        |     10699 | PA      | $10420.01     | 0.00%             | 2042-08-25      | Floating      | 5.55%                 | 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        |    729320 | PA      | $620261.98    | 0.04%             | 2037-01-25      | Floating      | 4.87%                 | 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        |    265003 | PA      | $151487.12    | 0.01%             | 2036-05-26      | Fixed         | 5.75%                 | 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        |     95995 | PA      | $84147.44     | 0.01%             | 2033-06-25      | Variable      | 4.69%                 | 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        |     53597 | PA      | $47063.13     | 0.00%             | 2035-07-25      | Floating      | 4.87%                 | 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        |    326890 | PA      | $264636.40    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |    663958 | PA      | $481369.90    | 0.03%             | 2036-01-26      | Variable      | 4.97%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337115 | PA      | $169716.25    | 0.01%             | 2036-08-25      | 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        |   2620305 | PA      | $787620.92    | 0.05%             | 2036-07-25      | Floating      | 4.62%                 | 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        |    251433 | PA      | $127680.53    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |   2644316 | PA      | $287024.64    | 0.02%             | 2037-01-25      | Floating      | 4.72%                 | 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        |   2381093 | PA      | $1200967.62   | 0.08%             | 2037-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2010-RR9 Trust                                                          | CUSIP: 05533GCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6011833 | PA      | $5128694.98   | 0.32%             | 2035-10-26      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2012-RR4 Trust                                                          | CUSIP: 05540XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807035 | PA      | $969564.69    | 0.06%             | 2036-02-26      | Floating      | 4.15%                 | 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        |    414370 | PA      | $381709.23    | 0.02%             | 2036-02-25      | Variable      | 4.48%                 | 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      | $572493.70    | 0.04%             | 2037-04-25      | Variable      | 3.39%                 | 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        |     63084 | PA      | $57975.57     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | 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        |    513418 | PA      | $231492.96    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    299255 | PA      | $268143.03    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |   1614932 | PA      | $352476.21    | 0.02%             | 2037-02-25      | Variable      | 5.86%                 | 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      | $261930.88    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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      | $1827151.91   | 0.11%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282090 | PA      | $266236.93    | 0.02%             | 2036-08-27      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611873 | PA      | $581645.31    | 0.04%             | 2035-11-25      | Floating      | 4.89%                 | 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        |   1095409 | PA      | $744365.30    | 0.05%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |    184025 | PA      | $177401.71    | 0.01%             | 2035-10-25      | Floating      | 6.56%                 | 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        |    574191 | PA      | $264658.82    | 0.02%             | 2036-03-25      | Variable      | 6.10%                 | 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        |    895962 | PA      | $912915.09    | 0.06%             | 2035-11-25      | Fixed         | 6.00%                 | 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        |    177014 | PA      | $162940.36    | 0.01%             | 2036-04-25      | Fixed         | 5.50%                 | 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        |    334182 | PA      | $342945.76    | 0.02%             | 2035-10-25      | Floating      | 7.78%                 | 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      | $17945.91     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |   6742273 | PA      | $30967.26     | 0.00%             | 2036-04-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AD5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639553 | PA      | $332134.82    | 0.02%             | 2043-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96155 | PA      | $82293.18     | 0.01%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20387 | PA      | $19733.05     | 0.00%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242732 | PA      | $236747.07    | 0.01%             | 2045-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1C93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850898 | PA      | $1788166.62   | 0.11%             | 2048-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1MQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188036 | PA      | $181638.09    | 0.01%             | 2048-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705547 | PA      | $698155.38    | 0.04%             | 2033-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B45C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139565 | PA      | $136055.80    | 0.01%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4EG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223517 | PA      | $217931.03    | 0.01%             | 2049-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237223 | PA      | $199110.25    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60219 | PA      | $50958.53     | 0.00%             | 2049-07-25      | Fixed         | 2.50%                 | 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        |    169063 | PA      | $82178.05     | 0.01%             | 2036-08-25      | Fixed         | 5.75%                 | 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        |    973231 | PA      | $493622.15    | 0.03%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5T47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248199 | PA      | $1098434.61   | 0.07%             | 2049-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5ZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237967 | PA      | $233469.88    | 0.01%             | 2049-08-25      | Floating      | 4.87%                 | 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        |   6678778 | PA      | $715847.47    | 0.04%             | 2036-12-25      | Floating      | 2.33%                 | 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        |    470267 | PA      | $255850.39    | 0.02%             | 2047-01-25      | Fixed         | 6.00%                 | 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        |    226386 | PA      | $196134.27    | 0.01%             | 2047-03-25      | Floating      | 4.99%                 | 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        |    581841 | PA      | $284029.62    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492593 | PA      | $377501.73    | 0.02%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658510 | PA      | $494427.53    | 0.03%             | 2051-02-25      | Fixed         | 1.00%                 | 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        |   4538551 | PA      | $932305.88    | 0.06%             | 2037-10-25      | Floating      | 4.82%                 | 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        |   2483205 | PA      | $711410.15    | 0.04%             | 2037-08-25      | Floating      | 4.91%                 | 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        |    160390 | PA      | $155316.55    | 0.01%             | 2035-07-25      | Variable      | 6.66%                 | 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        |   1689848 | PA      | $771995.35    | 0.05%             | 2037-08-25      | 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        |     97479 | PA      | $51532.69     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1882678 | PA      | $1405353.02   | 0.09%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740559 | PA      | $635118.25    | 0.04%             | 2051-05-25      | Fixed         | 1.25%                 | 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        |  18537130 | PA      | $4512174.72   | 0.28%             | 2037-04-25      | Variable      | 5.84%                 | 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        |     73734 | PA      | $34351.32     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184807 | PA      | $174992.23    | 0.01%             | 2036-01-25      | Variable      | 5.56%                 | 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        |    353924 | PA      | $42637.09     | 0.00%             | 2037-04-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1440377 | PA      | $1243122.09   | 0.08%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97534 | PA      | $56020.37     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | 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        |   6482593 | PA      | $4855149.52   | 0.30%             | 2047-05-25      | Floating      | 4.43%                 | 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        |    111353 | PA      | $66089.90     | 0.00%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AMAF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1567413 | PA      | $1552824.31   | 0.10%             | 2042-02-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1452126 | PA      | $1435399.12   | 0.09%             | 2042-06-15      | Floating      | 4.94%                 | 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        |   1227764 | PA      | $1148362.55   | 0.07%             | 2037-04-25      | Variable      | 4.68%                 | 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      | $108244.49    | 0.01%             | 2037-11-25      | Fixed         | 6.00%                 | 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        |   1626608 | PA      | $659762.07    | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783058 | PA      | $618921.64    | 0.04%             | 2036-03-27      | Floating      | 3.36%                 | 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        |    362305 | PA      | $228296.50    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   2388595 | PA      | $233214.55    | 0.01%             | 2035-11-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8781 | PA      | $8773.02      | 0.00%             | 2041-02-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AW5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4580713 | PA      | $4474198.55   | 0.28%             | 2042-11-15      | Floating      | 4.84%                 | 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        |    192963 | PA      | $186499.46    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | 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        |    351279 | PA      | $159661.81    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502142 | PA      | $1378453.31   | 0.09%             | 2046-01-25      | Floating      | 4.79%                 | 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        |    714907 | PA      | $343532.08    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BFXK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1288554 | PA      | $1263384.39   | 0.08%             | 2045-01-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3605261 | PA      | $3499058.30   | 0.22%             | 2048-06-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-9T1                                                  | CUSIP: 12668BVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801255 | PA      | $698380.02    | 0.04%             | 2036-05-25      | 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        |      8896 | PA      | $10027.39     | 0.00%             | 2033-12-25      | Variable      | 10.48%                | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJK81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27794311 | PA      | $17949546.45  | 1.13%             | 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        |   2056259 | PA      | $2001375.17   | 0.13%             | 2049-05-15      | Floating      | 4.94%                 | 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        |    757337 | PA      | $674278.74    | 0.04%             | 2032-03-25      | Fixed         | 7.00%                 | 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        |   1748302 | PA      | $1213910.23   | 0.08%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1387328 | PA      | $1348539.12   | 0.08%             | 2049-03-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    736250 | PA      | $715612.05    | 0.04%             | 2049-10-25      | Floating      | 4.92%                 | 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      | $464341.05    | 0.03%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |     24239 | PA      | $23449.49     | 0.00%             | 2036-02-25      | Floating      | 7.03%                 | 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        |   2158102 | PA      | $1008609.26   | 0.06%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |     92098 | PA      | $54251.08     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222055 | PA      | $187504.35    | 0.01%             | 2049-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535896 | PA      | $520770.84    | 0.03%             | 2049-11-25      | Floating      | 4.92%                 | 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      | $371444.86    | 0.02%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-53                                          | CUSIP: 12669E5S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330983 | PA      | $308917.45    | 0.02%             | 2034-02-19      | Variable      | 6.62%                 | 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        |    590290 | PA      | $497926.04    | 0.03%             | 2047-10-25      | Variable      | 3.97%                 | 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      | $1834806.78   | 0.12%             | 2036-03-25      | Floating      | 4.97%                 | 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        |    251583 | PA      | $181718.39    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    232640 | PA      | $112015.31    | 0.01%             | 2033-10-25      | Variable      | 6.31%                 | 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        |    480091 | PA      | $480224.03    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQG64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515457 | PA      | $1484843.20   | 0.09%             | 2049-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FU6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2519621 | PA      | $2437300.99   | 0.15%             | 2050-07-25      | Floating      | 4.92%                 | 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        |   1804402 | PA      | $813142.36    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $1123059.03   | 0.07%             | 2037-03-25      | Floating      | 4.74%                 | 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        |    559092 | PA      | $487050.78    | 0.03%             | 2036-07-25      | Variable      | 6.80%                 | 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        |     28501 | PA      | $26268.74     | 0.00%             | 2036-04-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A1PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1302791 | PA      | $1289592.00   | 0.08%             | 2041-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4ZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187437 | PA      | $182951.59    | 0.01%             | 2049-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2607873 | PA      | $2004551.44   | 0.13%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437263 | PA      | $439367.38    | 0.03%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205351 | PA      | $204421.33    | 0.01%             | 2035-03-25      | Floating      | 4.91%                 | 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      | $20785.42     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2002-W8                                                         | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112286 | PA      | $117474.30    | 0.01%             | 2042-06-25      | Fixed         | 7.00%                 | 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        |     15641 | PA      | $15530.89     | 0.00%             | 2042-05-25      | Variable      | 5.61%                 | 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        |    549407 | PA      | $238223.05    | 0.01%             | 2035-10-25      | Floating      | 4.97%                 | 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      | $74825.46     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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      | $35800.53     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | 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        |   1093627 | PA      | $477089.49    | 0.03%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXFQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1146503 | PA      | $916506.48    | 0.06%             | 2040-05-15      | Fixed         | 0.00%                 | 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        |     20565 | PA      | $18132.09     | 0.00%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFHS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559144 | PA      | $560920.85    | 0.04%             | 2054-08-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356603 | PA      | $353354.27    | 0.02%             | 2055-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6K36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250055 | PA      | $216601.27    | 0.01%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BATZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621798 | PA      | $527906.28    | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395ABZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29607 | PA      | $29538.71     | 0.00%             | 2034-06-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396R3N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23074 | PA      | $22978.08     | 0.00%             | 2034-02-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138010 | PA      | $136496.10    | 0.01%             | 2036-11-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397GZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351630 | PA      | $349030.68    | 0.02%             | 2036-07-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45180 | PA      | $45461.35     | 0.00%             | 2038-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178087 | PA      | $178298.55    | 0.01%             | 2040-05-15      | Floating      | 5.22%                 | 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      | $807052.28    | 0.05%             | 2037-08-25      | Floating      | 4.87%                 | 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      | $6261061.94   | 0.39%             | 2050-07-01      | Fixed         | 5.00%                 | 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        |   7741274 | PA      | $7584257.27   | 0.48%             | 2045-09-25      | Floating      | 4.59%                 | 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        |   1376755 | PA      | $706830.66    | 0.04%             | 2037-01-25      | Floating      | 4.41%                 | 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        |     74564 | PA      | $23063.05     | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | 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        |   2565475 | PA      | $1860901.46   | 0.12%             | 2036-12-26      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BB3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6396702 | PA      | $4847199.18   | 0.30%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315286 | PA      | $192805.10    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | 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        |   3859368 | PA      | $1208445.64   | 0.08%             | 2036-11-25      | Floating      | 4.75%                 | 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        |   3112938 | PA      | $709695.74    | 0.04%             | 2036-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6DK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252206 | PA      | $244134.93    | 0.02%             | 2041-02-15      | Floating      | 0.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8J25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258074 | PA      | $257548.79    | 0.02%             | 2033-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374V2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533538 | PA      | $537277.87    | 0.03%             | 2039-07-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508902 | PA      | $506555.01    | 0.03%             | 2040-04-16      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ANYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274502 | PA      | $259898.23    | 0.02%             | 2041-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FL2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173951 | PA      | $172457.80    | 0.01%             | 2049-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DYV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127166 | PA      | $125081.14    | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378WH22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415453 | PA      | $409701.10    | 0.03%             | 2043-09-16      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378YZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       331 | PA      | $330.84       | 0.00%             | 2026-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380UEE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319602 | PA      | $309397.41    | 0.02%             | 2047-12-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380YVU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181547 | PA      | $175882.99    | 0.01%             | 2048-09-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TW27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11099596 | PA      | $10832573.01  | 0.68%             | 2049-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNQ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157602 | PA      | $133268.14    | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523127 | PA      | $508333.79    | 0.03%             | 2049-11-25      | Floating      | 4.92%                 | 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      | $86215.69     | 0.01%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AUP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411211 | PA      | $322627.98    | 0.02%             | 2050-01-20      | Fixed         | 1.00%                 | 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        |     12418 | PA      | $12464.45     | 0.00%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16478 | PA      | $16413.35     | 0.00%             | 2034-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1796372 | PA      | $1500121.01   | 0.09%             | 2053-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FUA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89569 | PA      | $51290.70     | 0.00%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6256686 | PA      | $1992168.74   | 0.12%             | 2031-06-20      | Variable      | 8.37%                 | 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        |    283050 | PA      | $73625.43     | 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        |   1221066 | PA      | $341965.32    | 0.02%             | 2036-12-25      | Floating      | 4.39%                 | 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        |    675361 | PA      | $317894.27    | 0.02%             | 2036-07-21      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4446754 | PA      | $3418014.86   | 0.21%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537497 | PA      | $392658.06    | 0.02%             | 2050-10-25      | Fixed         | 0.75%                 | 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        |    506646 | PA      | $226205.75    | 0.01%             | 2045-06-19      | Floating      | 4.78%                 | 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        |    319220 | PA      | $189195.23    | 0.01%             | 2035-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1052170 | PA      | $784357.76    | 0.05%             | 2051-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300782 | PA      | $297712.39    | 0.02%             | 2037-03-15      | Floating      | 4.86%                 | 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        |   1938836 | PA      | $1796191.69   | 0.11%             | 2045-10-20      | Floating      | 4.79%                 | 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        |    880910 | PA      | $820007.02    | 0.05%             | 2036-11-19      | Floating      | 4.67%                 | 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        |    104732 | PA      | $91314.65     | 0.01%             | 2029-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-NC1                                                             | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2271026 | PA      | $1119408.80   | 0.07%             | 2046-12-25      | Floating      | 4.73%                 | 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        |    845166 | PA      | $795460.05    | 0.05%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209920 | PA      | $182657.50    | 0.01%             | 2056-09-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394V4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213844 | PA      | $212072.00    | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445782 | PA      | $445334.12    | 0.03%             | 2036-06-25      | Floating      | 5.04%                 | 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        |    323653 | PA      | $138615.67    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $616009.05    | 0.04%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391222 | PA      | $388044.61    | 0.02%             | 2037-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396RE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418654 | PA      | $415179.95    | 0.03%             | 2036-05-15      | Floating      | 4.84%                 | 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      | $25713.94     | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | 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        |    376550 | PA      | $30746.16     | 0.00%             | 2036-03-25      | Floating      | 2.88%                 | 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        |   1186357 | PA      | $1145915.15   | 0.07%             | 2036-05-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394047 | PA      | $261548.99    | 0.02%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110863 | PA      | $133068.09    | 0.01%             | 2036-01-25      | Variable      | 4.66%                 | 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        |   1474585 | PA      | $324630.25    | 0.02%             | 2036-06-25      | Variable      | 6.80%                 | 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        |    217778 | PA      | $130336.81    | 0.01%             | 2036-03-25      | Floating      | 4.75%                 | 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        |    232224 | PA      | $217442.97    | 0.01%             | 2028-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375KAD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1662178 | PA      | $1652234.49   | 0.10%             | 2037-05-16      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781811 | PA      | $597454.29    | 0.04%             | 2050-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation   | MERIT Securities Corp                                                            | CUSIP: 589962CV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18937 | PA      | $18966.90     | 0.00%             | 2033-12-28      | Variable      | 7.88%                 | 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      | $536184.26    | 0.03%             | 2035-07-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882511 | PA      | $586209.31    | 0.04%             | 2051-01-20      | Fixed         | 0.00%                 | 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        |     12515 | PA      | $11318.91     | 0.00%             | 2035-11-25      | Floating      | 4.79%                 | 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        |      9304 | PA      | $9064.90      | 0.00%             | 2035-11-25      | Variable      | 5.43%                 | 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        |    302451 | PA      | $293159.58    | 0.02%             | 2035-06-25      | Variable      | 4.68%                 | 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        |     30914 | PA      | $30295.04     | 0.00%             | 2036-05-25      | Variable      | 5.97%                 | 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        |    439819 | PA      | $377576.81    | 0.02%             | 2036-08-25      | Floating      | 6.25%                 | 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        |   1478795 | PA      | $1411503.70   | 0.09%             | 2050-05-25      | Floating      | 5.27%                 | 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        |     83562 | PA      | $82089.81     | 0.01%             | 2035-04-25      | Variable      | 6.00%                 | 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        |    121706 | PA      | $120590.20    | 0.01%             | 2034-08-25      | Floating      | 5.17%                 | 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        |    226165 | PA      | $222692.61    | 0.01%             | 2034-12-25      | Floating      | 4.98%                 | 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        |    106957 | PA      | $72103.36     | 0.00%             | 2036-06-25      | Variable      | 4.43%                 | 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        |    218938 | PA      | $175640.03    | 0.01%             | 2037-01-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    921548 | PA      | $687470.77    | 0.04%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2020-EXP2 Trust                                                              | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215515 | PA      | $186830.09    | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | 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        |    545403 | PA      | $326282.39    | 0.02%             | 2036-10-25      | Variable      | 5.54%                 | 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        |   4901881 | PA      | $3893931.52   | 0.24%             | 2037-01-26      | Variable      | 5.95%                 | No            |                  3 | 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        |    201885 | PA      | $187980.87    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2859166 | PA      | $2687338.07   | 0.17%             | 2035-05-25      | Fixed         | 5.50%                 | 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        |     33182 | PA      | $29866.31     | 0.00%             | 2035-07-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2013-3                                                  | CUSIP: 46640MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123379 | PA      | $115948.73    | 0.01%             | 2043-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190032 | PA      | $153062.09    | 0.01%             | 2036-06-25      | Fixed         | 5.75%                 | 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        |    229210 | PA      | $182898.05    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182862 | PA      | $289032.54    | 0.02%             | 2037-02-25      | Floating      | 4.52%                 | 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        |   4286777 | PA      | $4201282.08   | 0.26%             | 2035-09-25      | Floating      | 5.02%                 | 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        |    230373 | PA      | $210665.99    | 0.01%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-9                                              | CUSIP: 74927TAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006105 | PA      | $408000.50    | 0.03%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295252 | PA      | $279484.48    | 0.02%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-3                                                   | CUSIP: 55027AAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82107 | PA      | $72591.13     | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299401 | PA      | $200017.17    | 0.01%             | 2036-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2013-4                                              | CUSIP: 74932FAB0<br>LEI: 549300WI4CNLL8T7Q274 | Long             | ABS-MBS          | CORP              | US        |    719673 | PA      | $612729.77    | 0.04%             | 2037-12-26      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-7                                                   | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2775814 | PA      | $2435685.04   | 0.15%             | 2036-12-25      | Floating      | 4.61%                 | 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        |    165339 | PA      | $147753.28    | 0.01%             | 2035-07-25      | Variable      | 3.42%                 | 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        |   1180686 | PA      | $856809.84    | 0.05%             | 2037-07-27      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388471 | PA      | $382981.40    | 0.02%             | 2046-09-25      | Floating      | 4.68%                 | 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        |   1128070 | PA      | $937927.85    | 0.06%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-7                                              | CUSIP: 75524MCG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4385363 | PA      | $1162121.20   | 0.07%             | 2046-01-26      | Floating      | 4.84%                 | No            |                  3 | 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        |   1725392 | PA      | $1575070.31   | 0.10%             | 2033-08-25      | Floating      | 5.15%                 | 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        |    222540 | PA      | $201610.97    | 0.01%             | 2033-08-25      | Floating      | 5.51%                 | 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        |    188476 | PA      | $180912.58    | 0.01%             | 2034-11-21      | Variable      | 5.58%                 | 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        |    239522 | PA      | $21286.77     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | 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      | $10505.35     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | 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      | $792058.82    | 0.05%             | 2037-04-25      | Fixed         | 6.00%                 | 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      | $26613.72     | 0.00%             | 2036-04-25      | Variable      | 6.95%                 | 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      | $353693.32    | 0.02%             | 2036-07-25      | Fixed         | 6.75%                 | 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      | $97871.23     | 0.01%             | 2037-08-25      | 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        |    585842 | PA      | $538647.51    | 0.03%             | 2044-06-25      | Floating      | 4.87%                 | 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        |    489085 | PA      | $454386.59    | 0.03%             | 2036-06-25      | Floating      | 4.61%                 | 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        |     34444 | PA      | $15378.52     | 0.00%             | 2035-08-25      | Variable      | 4.54%                 | 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        |     86415 | PA      | $61455.00     | 0.00%             | 2035-07-19      | Variable      | 5.80%                 | 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        |   2852168 | PA      | $970413.41    | 0.06%             | 2036-02-25      | Floating      | 4.57%                 | 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        |    866817 | PA      | $293620.28    | 0.02%             | 2036-12-25      | Floating      | 4.45%                 | 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      | $446326.41    | 0.03%             | 2037-04-25      | Floating      | 4.91%                 | 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      | $90213.46     | 0.01%             | 2030-12-25      | Variable      | 2.61%                 | 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        |   2011530 | PA      | $1784624.78   | 0.11%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252701 | PA      | $241440.20    | 0.02%             | 2036-04-25      | Floating      | 4.73%                 | 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        |  10285166 | PA      | $221642.23    | 0.01%             | 2036-03-25      | Floating      | 4.61%                 | 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        |    461158 | PA      | $452610.70    | 0.03%             | 2034-08-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 10                                                        | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27874 | PA      | $27063.49     | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-INV2                                    | CUSIP: 64831GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88586 | PA      | $79739.95     | 0.00%             | 2051-09-25      | Variable      | 2.50%                 | 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        |   1402029 | PA      | $240459.35    | 0.02%             | 2036-10-25      | Variable      | 6.53%                 | 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        |     42534 | PA      | $42183.57     | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | 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        |    308042 | PA      | $259504.83    | 0.02%             | 2037-09-25      | Floating      | 5.37%                 | 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        |    230706 | PA      | $218065.44    | 0.01%             | 2047-03-25      | Variable      | 6.46%                 | 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        |   1928549 | PA      | $1467368.62   | 0.09%             | 2036-06-25      | Floating      | 4.87%                 | 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        |    813645 | PA      | $650724.42    | 0.04%             | 2036-03-25      | Variable      | 5.22%                 | 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        |    527813 | PA      | $434756.64    | 0.03%             | 2036-05-25      | Floating      | 4.71%                 | 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        |  15547668 | PA      | $11380306.84  | 0.71%             | 2036-12-25      | Floating      | 4.72%                 | 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        |   1412826 | PA      | $169559.91    | 0.01%             | 2036-12-25      | Floating      | 2.38%                 | 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        |    284449 | PA      | $116130.12    | 0.01%             | 2036-05-25      | Variable      | 4.04%                 | 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        |   1847177 | PA      | $1297628.13   | 0.08%             | 2046-07-25      | Floating      | 4.65%                 | 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        |   1703031 | PA      | $1516464.50   | 0.10%             | 2036-04-25      | Floating      | 4.87%                 | 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      | $8189.29      | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | 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        |    168017 | PA      | $144914.55    | 0.01%             | 2047-09-25      | Floating      | 4.65%                 | No            |                  3 | 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      | $412802.31    | 0.03%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BP39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91606 | PA      | $91029.05     | 0.01%             | 2036-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447160 | PA      | $441271.53    | 0.03%             | 2036-11-15      | Floating      | 4.84%                 | 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        |     46990 | PA      | $24401.00     | 0.00%             | 2036-11-25      | Floating      | 4.63%                 | 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        |    169959 | PA      | $155316.94    | 0.01%             | 2034-03-25      | Floating      | 5.51%                 | 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      | $1551037.47   | 0.10%             | 2036-11-25      | Variable      | 6.70%                 | 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      | $231936.11    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |    323524 | PA      | $289419.84    | 0.02%             | 2034-07-25      | Variable      | 6.41%                 | 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        |    380239 | PA      | $192151.61    | 0.01%             | 2035-07-25      | Variable      | 5.19%                 | 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        |   2661775 | PA      | $2061971.49   | 0.13%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9935797.20   | 0.62%             | 2025-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-7HE                                                   | CUSIP: 881561FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702428 | PA      | $683538.98    | 0.04%             | 2034-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.          | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991326 | PA      | $899162.34    | 0.06%             | 2056-07-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29748330.90  | 1.87%             | 2025-12-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CJU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10000006.60  | 0.63%             | 2026-01-31      | Floating      | 4.14%                 | 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        |   7815786 | PA      | $3997024.45   | 0.25%             | 2037-04-25      | Variable      | 4.21%                 | 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        |   2361637 | PA      | $617047.87    | 0.04%             | 2036-09-25      | Variable      | 3.92%                 | No            |                  2 | 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        |   3036552 | PA      | $2770618.92   | 0.17%             | 2046-07-25      | Floating      | 5.20%                 | 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        |    727925 | PA      | $545494.87    | 0.03%             | 2036-02-25      | Fixed         | 7.00%                 | 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        |    515604 | PA      | $476933.48    | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  3 | 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        |    381344 | PA      | $359949.18    | 0.02%             | 2037-07-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467141 | PA      | $462758.49    | 0.03%             | 2036-11-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270918 | PA      | $267735.12    | 0.02%             | 2037-05-15      | Floating      | 4.79%                 | 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        |    206551 | PA      | $180905.44    | 0.01%             | 2037-06-25      | Floating      | 4.70%                 | 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        |    945307 | PA      | $828921.33    | 0.05%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435347 | PA      | $433991.93    | 0.03%             | 2041-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113546 | PA      | $91972.07     | 0.01%             | 2040-03-25      | 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        |   1821355 | PA      | $678001.80    | 0.04%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |    774102 | PA      | $288160.37    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |   1653189 | PA      | $936433.57    | 0.06%             | 2035-05-25      | Floating      | 4.77%                 | 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        |    735696 | PA      | $368773.59    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR6                                               | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454704 | PA      | $328991.88    | 0.02%             | 2035-11-19      | Variable      | 3.84%                 | 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        |      9707 | PA      | $8495.24      | 0.00%             | 2035-11-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2019-2                                             | CUSIP: 36418AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45040 | PA      | $42147.90     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374HRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31857 | PA      | $31716.97     | 0.00%             | 2034-08-16      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374UTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    839408 | PA      | $840265.59    | 0.05%             | 2039-05-16      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374XAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746282 | PA      | $749502.33    | 0.05%             | 2039-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375D4S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278154 | PA      | $278769.86    | 0.02%             | 2039-07-16      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375JSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135590 | PA      | $134911.50    | 0.01%             | 2037-04-16      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78500 | PA      | $72800.64     | 0.00%             | 2041-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DAB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931738 | PA      | $888688.02    | 0.06%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460736 | PA      | $461464.09    | 0.03%             | 2054-02-20      | Floating      | 5.44%                 | 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        |   4006518 | PA      | $2658464.29   | 0.17%             | 2045-11-25      | Floating      | 4.83%                 | No            |                  2 | 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        |    441296 | PA      | $404881.07    | 0.03%             | 2046-09-25      | Floating      | 5.11%                 | 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        |    145212 | PA      | $142300.20    | 0.01%             | 2037-06-25      | Floating      | 4.69%                 | 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        |     85575 | PA      | $81637.54     | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | 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        |    206688 | PA      | $183102.49    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |    243438 | PA      | $202066.36    | 0.01%             | 2037-05-25      | Floating      | 4.77%                 | 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      | $2733733.09   | 0.17%             | 2068-10-25      | Variable      | 8.36%                 | 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        |    484263 | PA      | $348311.19    | 0.02%             | 2035-10-20      | Floating      | 6.20%                 | 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        |    571510 | PA      | $359598.56    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   1132647 | PA      | $738259.89    | 0.05%             | 2036-01-25      | Fixed         | 5.50%                 | 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      | $1331179.90   | 0.08%             | 2036-04-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-C               | CUSIP: 16678REK9<br>LEI: 549300FD9K7Y5ALOZO79 | Long             | ABS-MBS          | CORP              | US        |     65666 | PA      | $70236.37     | 0.00%             | 2046-10-25      | Floating      | 4.48%                 | 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        |    874619 | PA      | $831348.20    | 0.05%             | 2046-07-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GVL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    772838 | PA      | $716417.31    | 0.04%             | 2035-08-25      | Variable      | 6.13%                 | 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        |     23182 | PA      | $22828.89     | 0.00%             | 2035-03-25      | Variable      | 4.67%                 | 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        |    146907 | PA      | $133411.73    | 0.01%             | 2034-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276446 | PA      | $253434.96    | 0.02%             | 2045-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-6                                                  | CUSIP: 00842DAC7<br>LEI: 549300LRONE82VI44B39 | Long             | ABS-MBS          | CORP              | US        |    299471 | PA      | $277608.98    | 0.02%             | 2045-09-25      | Variable      | 3.50%                 | 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        |   2923687 | PA      | $1248247.82   | 0.08%             | 2036-06-25      | Floating      | 4.97%                 | 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      | $508668.27    | 0.03%             | 2037-08-25      | Variable      | 6.25%                 | 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        |   1371083 | PA      | $441974.50    | 0.03%             | 2037-04-25      | Floating      | 4.77%                 | 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        |    287143 | PA      | $9869.49      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | 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        |   1548535 | PA      | $1226298.15   | 0.08%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2012-7                                             | CUSIP: 17319NAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630392 | PA      | $563392.61    | 0.04%             | 2035-09-25      | Variable      | 4.90%                 | 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        |     81929 | PA      | $79542.48     | 0.00%             | 2034-10-25      | Floating      | 4.79%                 | 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        |    918920 | PA      | $852445.13    | 0.05%             | 2046-05-25      | Floating      | 4.48%                 | 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        |    340027 | PA      | $306260.86    | 0.02%             | 2036-04-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1570372 | PA      | $1545060.08   | 0.10%             | 2042-09-25      | Floating      | 4.87%                 | 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        |    289337 | PA      | $113383.59    | 0.01%             | 2037-03-25      | Floating      | 4.87%                 | 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        |   3832711 | PA      | $1235490.51   | 0.08%             | 2037-04-25      | Floating      | 4.77%                 | 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      | $22496.43     | 0.00%             | 2046-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2023-1                                                  | CUSIP: 03465WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190857 | PA      | $189306.33    | 0.01%             | 2067-09-26      | Variable      | 4.75%                 | 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        |   1049801 | PA      | $366173.05    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | 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        |   1237837 | PA      | $355808.58    | 0.02%             | 2037-08-25      | Floating      | 4.74%                 | 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        |     27736 | PA      | $25301.44     | 0.00%             | 2035-04-20      | Variable      | 4.68%                 | 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        |     74596 | PA      | $67226.69     | 0.00%             | 2033-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1094990 | PA      | $1079695.25   | 0.07%             | 2044-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000986 | PA      | $1949494.28   | 0.12%             | 2047-05-25      | Floating      | 4.87%                 | 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      | $220379.75    | 0.01%             | 2034-06-25      | Floating      | 6.15%                 | 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        |     85234 | PA      | $82137.77     | 0.01%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183095 | PA      | $1153668.34   | 0.07%             | 2047-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B0E44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806367 | PA      | $779303.77    | 0.05%             | 2048-02-25      | Floating      | 4.77%                 | 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        |   2706509 | PA      | $638992.52    | 0.04%             | 2036-05-25      | Floating      | 4.67%                 | 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        |     64676 | PA      | $59701.39     | 0.00%             | 2036-11-25      | Floating      | 4.67%                 | 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        |   1379404 | PA      | $1209522.27   | 0.08%             | 2046-05-25      | Floating      | 2.77%                 | 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      | $92001.78     | 0.01%             | 2038-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300155 | PA      | $80999.23     | 0.01%             | 2036-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR9 Trust                                                          | CUSIP: 05536KCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251307 | PA      | $1355388.46   | 0.08%             | 2036-01-26      | Variable      | 4.74%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3V56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725370 | PA      | $716590.40    | 0.04%             | 2049-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3WF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581298 | PA      | $565303.63    | 0.04%             | 2049-01-25      | Floating      | 4.87%                 | 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        |     29697 | PA      | $29306.60     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | 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        |    845506 | PA      | $749856.97    | 0.05%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181873 | PA      | $164561.56    | 0.01%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302459 | PA      | $266348.92    | 0.02%             | 2049-05-25      | Fixed         | 2.75%                 | 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        |    585098 | PA      | $75997.07     | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | 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      | $1934134.91   | 0.12%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75990 | PA      | $52413.81     | 0.00%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2124093 | PA      | $2071791.41   | 0.13%             | 2050-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B9S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906556 | PA      | $897225.60    | 0.06%             | 2050-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1984969 | PA      | $1503782.95   | 0.09%             | 2050-10-25      | Fixed         | 1.25%                 | 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        |    539129 | PA      | $271417.97    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |     49274 | PA      | $44275.04     | 0.00%             | 2035-11-25      | Variable      | 5.53%                 | 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        |      4682 | PA      | $4655.04      | 0.00%             | 2036-07-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3377248 | PA      | $2916116.76   | 0.18%             | 2051-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390748 | PA      | $1197727.34   | 0.08%             | 2051-05-25      | Fixed         | 1.50%                 | 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        |     47846 | PA      | $48879.54     | 0.00%             | 2037-03-25      | Variable      | 5.81%                 | 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        |    423534 | PA      | $360049.52    | 0.02%             | 2035-07-26      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14800 | PA      | $14694.97     | 0.00%             | 2035-12-27      | Variable      | 2.75%                 | 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        |    238344 | PA      | $251008.54    | 0.02%             | 2035-03-25      | Fixed         | 6.50%                 | 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        |    719377 | PA      | $676614.61    | 0.04%             | 2036-11-28      | Floating      | 4.72%                 | 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        |   1065311 | PA      | $603288.74    | 0.04%             | 2036-11-25      | Variable      | 4.47%                 | 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        |    411607 | PA      | $207218.60    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |    889832 | PA      | $341916.48    | 0.02%             | 2036-07-25      | Floating      | 4.77%                 | 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        |    140952 | PA      | $139781.30    | 0.01%             | 2034-04-25      | Floating      | 4.91%                 | 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        |    243867 | PA      | $99819.61     | 0.01%             | 2035-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BK5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2180172 | PA      | $1882310.62   | 0.12%             | 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        |     28362 | PA      | $25175.73     | 0.00%             | 2052-10-25      | Fixed         | 4.50%                 | 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        |    403704 | PA      | $202141.39    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |   1156930 | PA      | $398761.01    | 0.03%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793112 | PA      | $577033.09    | 0.04%             | 2050-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348537 | PA      | $1106757.84   | 0.07%             | 2039-11-25      | Fixed         | 0.00%                 | 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        |    210714 | PA      | $20108.90     | 0.00%             | 2037-10-25      | Floating      | 1.73%                 | 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        |  21237733 | PA      | $3314160.92   | 0.21%             | 2047-05-25      | Fixed         | 2.08%                 | 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        |    590207 | PA      | $516422.14    | 0.03%             | 2037-06-25      | Fixed         | 5.50%                 | 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        |    778781 | PA      | $680215.37    | 0.04%             | 2046-06-25      | Fixed         | 6.00%                 | 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        |    391627 | PA      | $385591.95    | 0.02%             | 2034-09-25      | Floating      | 6.37%                 | 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        |   3017184 | PA      | $770237.23    | 0.05%             | 2035-11-25      | Floating      | 3.38%                 | 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      | $57394.24     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4716388 | PA      | $4317654.04   | 0.27%             | 2037-05-25      | Floating      | 4.94%                 | 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        |    635281 | PA      | $281472.19    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    422292 | PA      | $392305.77    | 0.02%             | 2037-09-25      | Variable      | 4.85%                 | 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        |    604646 | PA      | $340657.91    | 0.02%             | 2031-11-25      | Floating      | 4.92%                 | 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        |    375165 | PA      | $236783.66    | 0.01%             | 2035-09-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-6                                                                | CUSIP: 12647MAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19546 | PA      | $18987.40     | 0.00%             | 2028-07-25      | Variable      | 2.50%                 | 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        |     18600 | PA      | $18363.20     | 0.00%             | 2036-07-25      | Variable      | 4.42%                 | 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        |    941870 | PA      | $333633.64    | 0.02%             | 2035-08-25      | Floating      | 4.57%                 | 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      | $27354.76     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |    113891 | PA      | $100332.21    | 0.01%             | 2036-10-25      | Variable      | 4.25%                 | 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        |    172595 | PA      | $148953.58    | 0.01%             | 2036-07-25      | Variable      | 4.40%                 | 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        |    717263 | PA      | $648922.70    | 0.04%             | 2035-02-25      | Fixed         | 5.50%                 | 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        |    464451 | PA      | $356559.80    | 0.02%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AWEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354680 | PA      | $346413.08    | 0.02%             | 2042-11-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B1W99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58125 | PA      | $45908.92     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | 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        |    548586 | PA      | $458742.19    | 0.03%             | 2035-07-25      | Floating      | 4.75%                 | 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        |    553041 | PA      | $273366.89    | 0.02%             | 2035-07-25      | Floating      | 4.57%                 | 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        |   3865033 | PA      | $2134409.86   | 0.13%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-50CB                                                 | CUSIP: 12668ALK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128101 | PA      | $424071.16    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2537023 | PA      | $2500787.50   | 0.16%             | 2043-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BR4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722803 | PA      | $708777.47    | 0.04%             | 2046-08-15      | Floating      | 4.99%                 | 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        |     54100 | PA      | $29115.30     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | 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      | $38484.02     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8F65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96630 | PA      | $46092.52     | 0.00%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFCH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3077640 | PA      | $2424777.99   | 0.15%             | 2051-03-25      | Fixed         | 2.00%                 | 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        |    177352 | PA      | $149993.50    | 0.01%             | 2035-12-25      | Floating      | 5.07%                 | 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        |     39134 | PA      | $38143.06     | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | 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        |   1271705 | PA      | $1170244.76   | 0.07%             | 2036-01-25      | Floating      | 4.81%                 | 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        |     68480 | PA      | $45952.69     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | 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        |   2054121 | PA      | $201195.65    | 0.01%             | 2036-04-25      | Floating      | 1.23%                 | 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        |   1372212 | PA      | $944325.19    | 0.06%             | 2035-11-25      | Fixed         | 6.00%                 | 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        |    277362 | PA      | $247020.58    | 0.02%             | 2046-09-20      | Floating      | 4.53%                 | 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        |     12055 | PA      | $9756.51      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   9094919 | PA      | $75090.38     | 0.00%             | 2036-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ALASKA ST HSG FIN CORP         | Alaska Housing Finance Corp                                                      | CUSIP: 0118392E6<br>LEI: 549300HJ8NOJNYW6ER36 | Long             | DBT              | MUN               | US        |   4275000 | PA      | $4298748.91   | 0.27%             | 2054-12-01      | Fixed         | 5.00%                 | 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        |    408870 | PA      | $357852.65    | 0.02%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803216 | PA      | $798401.02    | 0.05%             | 2042-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYA30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8332938 | PA      | $6772510.12   | 0.42%             | 2050-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0RQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373416 | PA      | $304547.39    | 0.02%             | 2049-08-25      | Fixed         | 1.50%                 | 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        |     85039 | PA      | $87661.01     | 0.01%             | 2032-11-25      | Fixed         | 7.50%                 | 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        |   2485292 | PA      | $1119981.08   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657256 | PA      | $651453.15    | 0.04%             | 2042-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107333 | PA      | $106550.26    | 0.01%             | 2042-03-25      | Floating      | 5.04%                 | 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        |   3445440 | PA      | $1283164.08   | 0.08%             | 2036-07-25      | Floating      | 4.62%                 | 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        |   1156930 | PA      | $109771.79    | 0.01%             | 2037-05-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HADW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    655255 | PA      | $459317.67    | 0.03%             | 2050-09-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHEP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409705 | PA      | $412237.83    | 0.03%             | 2054-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4LD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158108 | PA      | $156850.52    | 0.01%             | 2042-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4P86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497679 | PA      | $493155.84    | 0.03%             | 2042-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1629888 | PA      | $1265506.84   | 0.08%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515805 | PA      | $391251.76    | 0.02%             | 2048-04-25      | Fixed         | 0.00%                 | 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        |     56931 | PA      | $50168.42     | 0.00%             | 2047-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145152 | PA      | $103278.04    | 0.01%             | 2037-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374263 | PA      | $371449.59    | 0.02%             | 2042-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7VK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171019 | PA      | $157410.42    | 0.01%             | 2042-06-25      | Fixed         | 2.75%                 | No            |                  2 | 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        |    141906 | PA      | $133251.82    | 0.01%             | 2035-11-20      | Variable      | 6.41%                 | 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        |    294944 | PA      | $251480.13    | 0.02%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863215 | PA      | $845709.54    | 0.05%             | 2043-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171857 | PA      | $149137.04    | 0.01%             | 2042-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGDC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342847 | PA      | $339966.83    | 0.02%             | 2038-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1156889 | PA      | $616305.67    | 0.04%             | 2043-05-25      | Fixed         | 0.00%                 | 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        |    113214 | PA      | $120378.10    | 0.01%             | 2041-12-25      | Fixed         | 7.50%                 | 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        |     70344 | PA      | $72063.43     | 0.00%             | 2042-10-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3774129 | PA      | $3709789.83   | 0.23%             | 2044-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AMQU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502254 | PA      | $491555.88    | 0.03%             | 2045-02-25      | Floating      | 4.81%                 | 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        |    514363 | PA      | $446845.62    | 0.03%             | 2037-01-25      | Floating      | 4.59%                 | 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        |     43055 | PA      | $37378.20     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809914 | PA      | $801761.00    | 0.05%             | 2055-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1BM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310572 | PA      | $299178.09    | 0.02%             | 2048-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227561 | PA      | $225039.93    | 0.01%             | 2049-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6Z48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934673 | PA      | $922012.68    | 0.06%             | 2059-11-25      | Floating      | 4.97%                 | 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        |   1197621 | PA      | $1067811.09   | 0.07%             | 2046-12-20      | Floating      | 4.63%                 | 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        |    395043 | PA      | $352541.31    | 0.02%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95471 | PA      | $52576.31     | 0.00%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3152121 | PA      | $2422616.53   | 0.15%             | 2050-02-25      | Fixed         | 1.00%                 | 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        |    204021 | PA      | $100440.70    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | 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      | $487872.67    | 0.03%             | 2036-08-25      | Fixed         | 6.25%                 | 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        |     30498 | PA      | $4582.72      | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | 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      | $1008675.35   | 0.06%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459362 | PA      | $397638.11    | 0.02%             | 2051-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1483843 | PA      | $1223732.82   | 0.08%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3ZV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2109662 | PA      | $2058995.19   | 0.13%             | 2049-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4SP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977193 | PA      | $850836.33    | 0.05%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396JWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252096 | PA      | $249866.43    | 0.02%             | 2036-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323613 | PA      | $317652.45    | 0.02%             | 2037-05-25      | Floating      | 4.70%                 | 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        |    312752 | PA      | $281218.18    | 0.02%             | 2047-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6YV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195181 | PA      | $193442.79    | 0.01%             | 2042-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522658 | PA      | $527074.90    | 0.03%             | 2053-11-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652011 | PA      | $655440.26    | 0.04%             | 2055-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BLD88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290584 | PA      | $287994.32    | 0.02%             | 2045-09-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4UZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1182293 | PA      | $1144429.72   | 0.07%             | 2048-02-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBE81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4052826 | PA      | $3806543.71   | 0.24%             | 2050-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1591301 | PA      | $1513330.41   | 0.09%             | 2050-11-25      | Floating      | 4.66%                 | 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        |    682577 | PA      | $582741.15    | 0.04%             | 2035-04-25      | Fixed         | 5.50%                 | 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        |   1874068 | PA      | $1252321.90   | 0.08%             | 2035-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6LV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72872 | PA      | $47835.96     | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1814674 | PA      | $1320419.84   | 0.08%             | 2050-12-25      | Fixed         | 0.75%                 | 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        |    242610 | PA      | $165377.45    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |    100401 | PA      | $96348.28     | 0.01%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7TZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5217352 | PA      | $5165723.24   | 0.32%             | 2042-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9P28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $41631.91     | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | 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        |    634357 | PA      | $278317.92    | 0.02%             | 2035-07-25      | Floating      | 4.97%                 | 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        |    380857 | PA      | $347156.49    | 0.02%             | 2035-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612806 | PA      | $610501.85    | 0.04%             | 2037-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190946 | PA      | $190602.41    | 0.01%             | 2037-10-25      | Floating      | 5.07%                 | 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        |   1720242 | PA      | $1365726.97   | 0.09%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |   1988796 | PA      | $1580404.81   | 0.10%             | 2035-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758344 | PA      | $752849.52    | 0.05%             | 2041-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2809035 | PA      | $2786710.77   | 0.17%             | 2041-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147723 | PA      | $146700.62    | 0.01%             | 2036-06-25      | Floating      | 4.87%                 | 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      | $265385.24    | 0.02%             | 2034-03-25      | Floating      | 6.75%                 | 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        |    260881 | PA      | $143876.73    | 0.01%             | 2047-03-25      | Variable      | 4.24%                 | 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        |   3443690 | PA      | $2478780.11   | 0.16%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |    192456 | PA      | $189124.34    | 0.01%             | 2035-04-25      | Variable      | 6.56%                 | 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        |     26769 | PA      | $23459.54     | 0.00%             | 2035-01-25      | Floating      | 4.62%                 | 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        |    167758 | PA      | $164285.30    | 0.01%             | 2034-06-25      | Fixed         | 5.25%                 | 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        |   1193288 | PA      | $810777.72    | 0.05%             | 2035-09-25      | Floating      | 5.62%                 | 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        |    440612 | PA      | $373105.60    | 0.02%             | 2035-09-25      | Floating      | 4.62%                 | 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        |     63564 | PA      | $61176.82     | 0.00%             | 2049-04-25      | Floating      | 5.22%                 | No            |                  2 | 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        |    158096 | PA      | $158590.41    | 0.01%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-1                                                    | CUSIP: 16165LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32232 | PA      | $30860.29     | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FAFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514850 | PA      | $500968.26    | 0.03%             | 2047-08-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1913962 | PA      | $1667073.53   | 0.10%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1854021 | PA      | $605047.48    | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    745008 | PA      | $746579.09    | 0.05%             | 2047-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FRHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195115 | PA      | $166766.52    | 0.01%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTPF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2092160 | PA      | $2036599.99   | 0.13%             | 2050-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-4F                                                  | CUSIP: 362650AP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8128046 | PA      | $910525.70    | 0.06%             | 2036-05-25      | Floating      | 2.88%                 | 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        |   1694732 | PA      | $441947.08    | 0.03%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FWXN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720356 | PA      | $562545.38    | 0.04%             | 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        |   9765730 | PA      | $7110894.09   | 0.45%             | 2050-10-25      | Fixed         | 0.75%                 | 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        |     20239 | PA      | $19887.08     | 0.00%             | 2037-09-25      | Variable      | 6.82%                 | 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        |    799641 | PA      | $739477.68    | 0.05%             | 2036-04-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BG4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71285 | PA      | $59162.14     | 0.00%             | 2049-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BRMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348030 | PA      | $350003.67    | 0.02%             | 2054-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1665394 | PA      | $1623496.77   | 0.10%             | 2049-04-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2467574 | PA      | $2406171.67   | 0.15%             | 2049-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394228 | PA      | $395659.74    | 0.02%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKL85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1033974 | PA      | $1040456.10   | 0.07%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376V4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403845 | PA      | $404373.26    | 0.03%             | 2040-02-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973545 | PA      | $965819.41    | 0.06%             | 2035-05-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FP2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5775421 | PA      | $5634782.35   | 0.35%             | 2049-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245935 | PA      | $239002.10    | 0.01%             | 2049-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3004143 | PA      | $3003136.33   | 0.19%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BU5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633166 | PA      | $635520.61    | 0.04%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061479 | PA      | $1044885.28   | 0.07%             | 2043-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AJXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438563 | PA      | $1414405.50   | 0.09%             | 2044-04-25      | Floating      | 4.87%                 | 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        |   2198602 | PA      | $1638583.63   | 0.10%             | 2045-10-20      | Floating      | 6.15%                 | 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        |   3517599 | PA      | $2828178.41   | 0.18%             | 2038-05-25      | Floating      | 4.43%                 | 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        |    992073 | PA      | $996562.91    | 0.06%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394TZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5160 | PA      | $4262.05      | 0.00%             | 2034-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505Z47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2117223 | PA      | $581660.14    | 0.04%             | 2031-05-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325422 | PA      | $327012.15    | 0.02%             | 2055-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6TK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78429 | PA      | $67296.54     | 0.00%             | 2041-02-15      | Floating      | 0.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531538 | PA      | $525906.04    | 0.03%             | 2037-05-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15022 | PA      | $14956.92     | 0.00%             | 2037-05-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397YSC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672023 | PA      | $683447.79    | 0.04%             | 2039-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249422 | PA      | $251968.36    | 0.02%             | 2040-07-25      | Floating      | 5.47%                 | 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        |    286458 | PA      | $281666.13    | 0.02%             | 2037-07-19      | Floating      | 4.47%                 | 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        |   1421056 | PA      | $1237888.47   | 0.08%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM1                                           | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379698 | PA      | $333144.71    | 0.02%             | 2056-06-25      | Variable      | 1.07%                 | 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        |   6581281 | PA      | $2232714.06   | 0.14%             | 2035-10-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22636 | PA      | $20368.14     | 0.00%             | 2049-10-25      | Variable      | 3.50%                 | 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        |    786271 | PA      | $681029.24    | 0.04%             | 2035-05-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFMK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1220620 | PA      | $917143.50    | 0.06%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805562 | PA      | $779729.42    | 0.05%             | 2048-10-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1101379 | PA      | $1074582.12   | 0.07%             | 2049-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516129 | PA      | $501442.54    | 0.03%             | 2049-09-25      | Floating      | 4.92%                 | 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        |    285616 | PA      | $189615.83    | 0.01%             | 2035-05-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13293630 | PA      | $1434824.03   | 0.09%             | 2037-02-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FY3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162265 | PA      | $883149.02    | 0.06%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H33W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509864 | PA      | $425433.97    | 0.03%             | 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      | $33430.97     | 0.00%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620223 | PA      | $623254.50    | 0.04%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     57165 | PA      | $52814.75     | 0.00%             | 2032-04-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374JGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241282 | PA      | $239877.92    | 0.02%             | 2034-10-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374VAT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444466 | PA      | $350704.64    | 0.02%             | 2039-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ACY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410516 | PA      | $405623.82    | 0.03%             | 2041-11-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393Y3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270454 | PA      | $239478.66    | 0.02%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394RQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20742 | PA      | $20620.04     | 0.00%             | 2034-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498521 | PA      | $495609.38    | 0.03%             | 2042-08-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379WFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343861 | PA      | $1333900.51   | 0.08%             | 2046-04-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95201 | PA      | $94414.88     | 0.01%             | 2036-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396K4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47204 | PA      | $47200.08     | 0.00%             | 2026-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RRU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1508899 | PA      | $1474766.63   | 0.09%             | 2049-02-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TR98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7505392 | PA      | $7334605.42   | 0.46%             | 2049-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2096857 | PA      | $179135.79    | 0.01%             | 2049-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WSQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4581428 | PA      | $4488762.04   | 0.28%             | 2049-06-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387288 | PA      | $376606.77    | 0.02%             | 2049-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3208831 | PA      | $3135436.01   | 0.20%             | 2050-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2917607 | PA      | $2379017.73   | 0.15%             | 2050-09-20      | Fixed         | 1.00%                 | 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        |    427199 | PA      | $199094.66    | 0.01%             | 2035-10-19      | Floating      | 6.15%                 | 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      | $32195.97     | 0.00%             | 2034-03-25      | Floating      | 5.03%                 | 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        |    108028 | PA      | $95641.11     | 0.01%             | 2037-09-25      | Floating      | 4.49%                 | 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        |    284303 | PA      | $176599.49    | 0.01%             | 2036-09-25      | Variable      | 4.29%                 | 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        |   2645898 | PA      | $954575.42    | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1CS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985689 | PA      | $876991.05    | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3K74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286701 | PA      | $281662.76    | 0.02%             | 2049-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4DB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5317528 | PA      | $5212797.65   | 0.33%             | 2049-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2597759 | PA      | $2528941.15   | 0.16%             | 2049-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344411 | PA      | $288812.38    | 0.02%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540651 | PA      | $543809.39    | 0.03%             | 2041-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415834 | PA      | $364852.60    | 0.02%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742962 | PA      | $739218.07    | 0.05%             | 2036-11-25      | Floating      | 5.02%                 | 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        |     44610 | PA      | $27618.67     | 0.00%             | 2035-05-25      | Variable      | 5.50%                 | 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        |   3181776 | PA      | $715127.00    | 0.04%             | 2037-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61899 | PA      | $60941.67     | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396REA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207253 | PA      | $205983.13    | 0.01%             | 2036-05-15      | Floating      | 4.84%                 | 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        |    288210 | PA      | $207427.93    | 0.01%             | 2037-11-25      | Variable      | 5.72%                 | 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        |   4353798 | PA      | $688548.31    | 0.04%             | 2037-05-25      | Floating      | 4.57%                 | 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        |     31996 | PA      | $35360.68     | 0.00%             | 2035-12-25      | Variable      | 6.19%                 | 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        |     51925 | PA      | $54297.50     | 0.00%             | 2046-08-25      | Floating      | 4.67%                 | 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        |    483579 | PA      | $359005.54    | 0.02%             | 2046-07-25      | Floating      | 4.87%                 | 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        |   2781933 | PA      | $433360.56    | 0.03%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82937 | PA      | $83073.01     | 0.01%             | 2038-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BDF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406114 | PA      | $403035.31    | 0.03%             | 2036-09-15      | Floating      | 4.89%                 | 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        |   1296664 | PA      | $158690.54    | 0.01%             | 2036-03-25      | Floating      | 4.62%                 | 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        |    238753 | PA      | $214262.24    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | 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        |    384511 | PA      | $324066.39    | 0.02%             | 2035-05-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377XQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704283 | PA      | $710078.18    | 0.04%             | 2041-08-20      | Floating      | 5.12%                 | 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        |    359051 | PA      | $210937.36    | 0.01%             | 2035-12-25      | Floating      | 4.97%                 | 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        |   9927792 | PA      | $2583832.91   | 0.16%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1683128 | PA      | $1664129.47   | 0.10%             | 2041-06-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382K4S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623665 | PA      | $479956.62    | 0.03%             | 2050-11-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61762BBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301440 | PA      | $264847.38    | 0.02%             | 2036-12-26      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-2                                                      | CUSIP: 74161YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1806774 | PA      | $1656758.22   | 0.10%             | 2036-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3285058 | PA      | $2634968.62   | 0.17%             | 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      | $24483.16     | 0.00%             | 2049-12-20      | Fixed         | 1.00%                 | 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        |   6558068 | PA      | $4776083.46   | 0.30%             | 2037-06-25      | Floating      | 4.67%                 | 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      | $180399.48    | 0.01%             | 2034-05-25      | Floating      | 6.97%                 | 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        |   1816290 | PA      | $1017122.61   | 0.06%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  3 | 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      | $1238582.08   | 0.08%             | 2036-05-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7LX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76039 | PA      | $75089.52     | 0.00%             | 2042-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AP7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198408 | PA      | $130088.76    | 0.01%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATCN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602066 | PA      | $492438.67    | 0.03%             | 2046-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5MV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2502913 | PA      | $2498087.05   | 0.16%             | 2041-01-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17794 | PA      | $17606.00     | 0.00%             | 2036-11-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42394 | PA      | $32892.36     | 0.00%             | 2040-11-25      | Floating      | 0.00%                 | 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      | $33704.41     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |   2027548 | PA      | $1363793.31   | 0.09%             | 2036-01-25      | Floating      | 4.85%                 | 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        |    259818 | PA      | $177457.88    | 0.01%             | 2035-08-25      | Floating      | 4.77%                 | 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        |   1677722 | PA      | $1435895.54   | 0.09%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                       | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  10766907 | NS      | $10766907.44  | 0.68%             |  |  |  | No            |                  1 | 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      | $5050280.01   | 0.32%             | 2036-04-25      | Floating      | 4.75%                 | 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        |    275445 | PA      | $216742.87    | 0.01%             | 2037-03-25      | Variable      | 4.11%                 | 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        |    203713 | PA      | $142499.34    | 0.01%             | 2037-08-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1682558 | PA      | $1482314.02   | 0.09%             | 2035-09-25      | 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      | $738291.51    | 0.05%             | 2036-08-25      | Fixed         | 6.75%                 | 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        |     10195 | PA      | $6713.91      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    689136 | PA      | $579160.85    | 0.04%             | 2036-11-25      | Variable      | 4.88%                 | 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        |    104901 | PA      | $98912.55     | 0.01%             | 2034-08-25      | Floating      | 5.27%                 | 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      | $790820.70    | 0.05%             | 2034-09-25      | Floating      | 7.27%                 | 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        |    954702 | PA      | $341292.15    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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      | $1970.77      | 0.00%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-6                                                           | CUSIP: 52524PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475400 | PA      | $388650.73    | 0.02%             | 2037-05-25      | Floating      | 5.69%                 | 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        |      7545 | PA      | $6975.41      | 0.00%             | 2035-06-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260659 | PA      | $250970.54    | 0.02%             | 2049-10-25      | Floating      | 5.22%                 | 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        |     74530 | PA      | $19077.65     | 0.00%             | 2036-12-25      | Floating      | 4.45%                 | 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      | $1590736.52   | 0.10%             | 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      | $297103.79    | 0.02%             | 2036-03-25      | Floating      | 4.97%                 | 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        |   2809021 | PA      | $3370203.16   | 0.21%             | 2044-12-25      | Floating      | 8.02%                 | No            |                  2 | 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        |    847110 | PA      | $741585.41    | 0.05%             | 2036-07-25      | Floating      | 4.67%                 | 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        |   3779995 | PA      | $1335733.00   | 0.08%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |   1408459 | PA      | $481661.80    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |   3376472 | PA      | $2593793.43   | 0.16%             | 2047-06-25      | Variable      | 4.05%                 | 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        |     43069 | PA      | $31988.86     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | 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      | $390706.88    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | 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        |    172254 | PA      | $91185.15     | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |     91234 | PA      | $63095.56     | 0.00%             | 2035-10-25      | Floating      | 6.25%                 | 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      | $179632.84    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |    247541 | PA      | $247371.96    | 0.02%             | 2034-03-25      | Variable      | 6.87%                 | 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        |     43125 | PA      | $40352.26     | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | 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        |    859943 | PA      | $694975.42    | 0.04%             | 2035-03-25      | Variable      | 3.87%                 | 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        |   1893942 | PA      | $1761855.05   | 0.11%             | 2036-01-25      | Variable      | 4.67%                 | 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      | $80367.67     | 0.01%             | 2035-03-25      | Floating      | 3.48%                 | 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        |    445585 | PA      | $226204.19    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |    100573 | PA      | $88701.75     | 0.01%             | 2035-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973N47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |    199196 | PA      | $185570.37    | 0.01%             | 2035-02-25      | Floating      | 4.67%                 | 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        |    485191 | PA      | $478933.26    | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147042 | PA      | $145510.69    | 0.01%             | 2042-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4J65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60941 | PA      | $60322.57     | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | 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      | $230109.62    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-19HE                                                  | CUSIP: 881561LR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292618 | PA      | $287668.06    | 0.02%             | 2034-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2003-6                                       | CUSIP: 885220EP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38489 | PA      | $37625.47     | 0.00%             | 2033-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CJD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14997399.60  | 0.94%             | 2025-10-31      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600678 | PA      | $1595337.80   | 0.10%             | 2037-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360249 | PA      | $364629.86    | 0.02%             | 2038-07-25      | Floating      | 5.47%                 | 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        |    245291 | PA      | $228181.29    | 0.01%             | 2028-06-25      | Floating      | 4.93%                 | 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        |     25221 | PA      | $23861.94     | 0.00%             | 2030-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJ3X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141113 | PA      | $140622.06    | 0.01%             | 2041-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASFJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35809 | PA      | $35322.70     | 0.00%             | 2041-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASUW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313351 | PA      | $308939.98    | 0.02%             | 2042-08-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121878 | PA      | $119085.34    | 0.01%             | 2045-02-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19991416.40  | 1.25%             | 2027-04-30      | Floating      | 4.06%                 | 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        |     38571 | PA      | $38725.40     | 0.00%             | 2045-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362341AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240112 | PA      | $229419.47    | 0.01%             | 2035-05-25      | Variable      | 5.56%                 | 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        |    409051 | PA      | $195938.35    | 0.01%             | 2046-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S5                                                              | CUSIP: 36244WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22152718 | PA      | $258854.51    | 0.02%             | 2036-09-25      | Variable      | 6.16%                 | 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        |   1660162 | PA      | $201243.57    | 0.01%             | 2037-01-25      | Floating      | 4.62%                 | 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        |    800736 | PA      | $725785.96    | 0.05%             | 2046-12-27      | Floating      | 4.07%                 | 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      | $56629.77     | 0.00%             | 2034-08-25      | Floating      | 5.25%                 | 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        |   4218643 | PA      | $931490.81    | 0.06%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-OPT                                                             | CUSIP: 36242DNZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791737 | PA      | $612792.74    | 0.04%             | 2034-11-25      | Variable      | 3.51%                 | 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        |   4736501 | PA      | $1300815.15   | 0.08%             | 2036-11-25      | Floating      | 4.61%                 | 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        |    603697 | PA      | $332590.75    | 0.02%             | 2036-03-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258153 | PA      | $1251341.00   | 0.08%             | 2040-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57323 | PA      | $50999.85     | 0.00%             | 2042-07-20      | Fixed         | 1.50%                 | 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        |     37320 | PA      | $9392.83      | 0.00%             | 2036-06-25      | Variable      | 5.96%                 | 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        |   1635116 | PA      | $543653.25    | 0.03%             | 2047-02-25      | Variable      | 6.50%                 | 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        |    125706 | PA      | $124425.09    | 0.01%             | 2037-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514943 | PA      | $514838.58    | 0.03%             | 2029-12-15      | Variable      | 9.23%                 | 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      | $267138.10    | 0.02%             | 2036-04-25      | Variable      | 5.85%                 | 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        |    505870 | PA      | $377734.20    | 0.02%             | 2046-02-19      | Floating      | 4.75%                 | 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        |   1380805 | PA      | $1146911.93   | 0.07%             | 2037-11-25      | Variable      | 3.93%                 | 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        |     67167 | PA      | $67236.16     | 0.00%             | 2032-03-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TRK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2926955 | PA      | $2858042.61   | 0.18%             | 2049-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2879136 | PA      | $2791311.83   | 0.18%             | 2049-08-20      | Floating      | 4.70%                 | 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        |    425738 | PA      | $275402.10    | 0.02%             | 2036-08-19      | Variable      | 5.00%                 | 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        |    219768 | PA      | $205749.67    | 0.01%             | 2037-10-25      | Floating      | 6.27%                 | 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        |    187270 | PA      | $151253.51    | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6734523 | PA      | $1637656.95   | 0.10%             | 2038-03-25      | Fixed         | 6.00%                 | 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        |     55220 | PA      | $53135.65     | 0.00%             | 2036-08-25      | Floating      | 4.53%                 | 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      | $1513653.19   | 0.09%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293265 | PA      | $216283.17    | 0.01%             | 2050-06-20      | Fixed         | 1.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199999 | PA      | $89277.28     | 0.01%             | 2050-09-20      | Fixed         | 1.00%                 | 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        |   1822954 | PA      | $1801156.58   | 0.11%             | 2034-06-25      | Floating      | 4.71%                 | 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        |   2576637 | PA      | $524728.33    | 0.03%             | 2036-10-25      | Floating      | 4.64%                 | 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        |    355408 | PA      | $212710.18    | 0.01%             | 2035-09-25      | Variable      | 3.54%                 | 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        |     71871 | PA      | $71576.91     | 0.00%             | 2034-07-25      | Variable      | 5.97%                 | 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        |    395177 | PA      | $339787.39    | 0.02%             | 2038-02-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2011-1                                                | CUSIP: 00190VDR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3222000 | PA      | $1006875.00   | 0.06%             | 2036-09-28      | Variable      | 6.00%                 | No            |                  3 | 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        |    447912 | PA      | $90956.44     | 0.01%             | 2037-05-25      | Floating      | 4.33%                 | 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        |    363468 | PA      | $368654.49    | 0.02%             | 2034-09-25      | Variable      | 5.25%                 | 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        |   3513981 | PA      | $3240930.84   | 0.20%             | 2036-07-25      | Floating      | 4.75%                 | 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        |     78644 | PA      | $46526.61     | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | 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        |    374618 | PA      | $380383.57    | 0.02%             | 2033-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2005-3                                        | CUSIP: 64352VLN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186801 | PA      | $186139.71    | 0.01%             | 2035-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2011-2                                                | CUSIP: 00213BBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629288 | PA      | $600314.40    | 0.04%             | 2036-02-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2013-2                                                | CUSIP: 00214CAV7<br>LEI: 549300U5XN3K6DTLD558 | Long             | ABS-MBS          | CORP              | US        |   2211852 | PA      | $2000343.65   | 0.13%             | 2035-12-28      | Variable      | 4.81%                 | No            |                  3 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                    | CUSIP: 863579WZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563953 | PA      | $345704.06    | 0.02%             | 2035-09-25      | Variable      | 4.32%                 | 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        |    951615 | PA      | $239111.14    | 0.01%             | 2036-09-25      | Floating      | 4.53%                 | 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        |     50517 | PA      | $48909.60     | 0.00%             | 2035-08-25      | Variable      | 4.59%                 | 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        |   1704786 | PA      | $1465995.12   | 0.09%             | 2037-01-25      | Variable      | 5.87%                 | 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        |   1948318 | PA      | $1973445.94   | 0.12%             | 2036-12-25      | Floating      | 4.59%                 | 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        |   2056647 | PA      | $1693234.61   | 0.11%             | 2037-06-25      | Variable      | 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        |   3918513 | PA      | $3351422.25   | 0.21%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                      | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167905 | PA      | $844584.77    | 0.05%             | 2036-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384BPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110484 | PA      | $110337.63    | 0.01%             | 2053-06-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497176 | PA      | $498801.34    | 0.03%             | 2053-08-20      | Floating      | 5.64%                 | 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      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842617 | PA      | $261801.79    | 0.02%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-6                                                    | CUSIP: 45254NJW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333971 | PA      | $418315.44    | 0.03%             | 2034-10-25      | Variable      | 6.06%                 | 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        |    632713 | PA      | $345164.78    | 0.02%             | 2035-06-25      | Variable      | 3.51%                 | 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        |    386631 | PA      | $378288.99    | 0.02%             | 2037-05-26      | Fixed         | 3.00%                 | 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        |   1569646 | PA      | $1505520.89   | 0.09%             | 2050-05-25      | Floating      | 5.17%                 | 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        |    137883 | PA      | $101775.24    | 0.01%             | 2035-08-25      | Variable      | 3.69%                 | 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        |     72848 | PA      | $63031.75     | 0.00%             | 2036-06-25      | Variable      | 3.46%                 | No            |                  2 | 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        |   3937364 | PA      | $1923466.87   | 0.12%             | 2035-12-25      | Floating      | 4.95%                 | 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        |   1538555 | PA      | $568085.15    | 0.04%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| STRIPS                         | United States Treasury Strip Coupon                                              | CUSIP: 912834NP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $7988985.80   | 0.50%             | 2044-05-15      | Fixed         | 0.00%                 | 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        |     73263 | PA      | $73272.04     | 0.00%             | 2035-01-25      | Floating      | 4.95%                 | 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        |      7640 | PA      | $7599.49      | 0.00%             | 2035-02-25      | Variable      | 5.61%                 | 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      | $1498573.31   | 0.09%             | 2036-09-25      | Variable      | 3.58%                 | 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        |     49750 | PA      | $46939.14     | 0.00%             | 2050-08-25      | Floating      | 5.10%                 | 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        |     64537 | PA      | $58783.75     | 0.00%             | 2051-07-25      | Variable      | 2.50%                 | 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        |     54040 | PA      | $54829.52     | 0.00%             | 2034-02-25      | Variable      | 6.83%                 | 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        |    168609 | PA      | $160965.75    | 0.01%             | 2034-07-25      | Variable      | 6.51%                 | 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        |     16867 | PA      | $16261.67     | 0.00%             | 2035-02-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5601618 | PA      | $1400140.73   | 0.09%             | 2036-10-26      | Floating      | 4.94%                 | 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        |   1080161 | PA      | $1015253.44   | 0.06%             | 2046-04-25      | Floating      | 4.65%                 | 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        |     78131 | PA      | $64695.76     | 0.00%             | 2035-04-25      | Variable      | 3.95%                 | 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        |    127091 | PA      | $127701.89    | 0.01%             | 2035-06-25      | Variable      | 5.72%                 | 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        |    461023 | PA      | $369294.94    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | 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        |   1231862 | PA      | $900410.24    | 0.06%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |    724052 | PA      | $637882.08    | 0.04%             | 2035-09-25      | Fixed         | 6.00%                 | 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        |   3499724 | PA      | $2707566.93   | 0.17%             | 2036-02-25      | Floating      | 4.75%                 | 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      | $1168019.21   | 0.07%             | 2046-02-25      | Floating      | 4.71%                 | 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        |    986883 | PA      | $291077.71    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | 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      | $715981.23    | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |    202679 | PA      | $153800.35    | 0.01%             | 2035-10-25      | Variable      | 5.42%                 | 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        |   2256150 | PA      | $1682052.69   | 0.11%             | 2036-03-25      | Variable      | 4.91%                 | 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        |    163740 | PA      | $151164.32    | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | 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        |   1169486 | PA      | $1038841.90   | 0.07%             | 2036-12-25      | Floating      | 4.73%                 | 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        |    108290 | PA      | $99088.80     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |     13304 | PA      | $9344.58      | 0.00%             | 2036-06-25      | Variable      | 6.13%                 | 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        |    232844 | PA      | $243980.91    | 0.02%             | 2037-03-26      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4622633 | PA      | $3393097.42   | 0.21%             | 2036-04-16      | Floating      | 4.73%                 | 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        |     25236 | PA      | $20561.65     | 0.00%             | 2036-05-25      | Variable      | 4.81%                 | 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        |    400167 | PA      | $327251.12    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |    683388 | PA      | $375191.72    | 0.02%             | 2036-05-25      | Variable      | 4.24%                 | 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        |    107800 | PA      | $107504.47    | 0.01%             | 2036-08-25      | Variable      | 6.62%                 | 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        |    151402 | PA      | $109292.08    | 0.01%             | 2035-10-25      | Variable      | 5.46%                 | 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        |   1838319 | PA      | $1302188.18   | 0.08%             | 2035-10-25      | Variable      | 4.71%                 | 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        |    347880 | PA      | $284505.98    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |    361438 | PA      | $21611.05     | 0.00%             | 2035-07-25      | Floating      | 0.73%                 | 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        |    461502 | PA      | $362166.68    | 0.02%             | 2036-02-25      | Floating      | 4.97%                 | 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        |    174859 | PA      | $153330.60    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1652617 | PA      | $1298341.73   | 0.08%             | 2037-06-25      | Variable      | 4.68%                 | 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        |   2931948 | PA      | $904995.63    | 0.06%             | 2037-08-25      | Fixed         | 7.50%                 | 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        |    253962 | PA      | $231546.40    | 0.01%             | 2046-08-25      | Floating      | 5.11%                 | 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        |     45077 | PA      | $23582.59     | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | 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        |    337000 | PA      | $320839.57    | 0.02%             | 2050-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-7                                                     | CUSIP: 52519BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035707 | PA      | $954793.73    | 0.06%             | 2037-08-25      | Floating      | 4.77%                 | 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        |     76587 | PA      | $23790.61     | 0.00%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292116 | PA      | $51850.64     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8545531 | PA      | $1038502.51   | 0.07%             | 2037-02-25      | Floating      | 2.36%                 | 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        |   3531053 | PA      | $547879.25    | 0.03%             | 2037-09-25      | Floating      | 2.23%                 | 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        |    704123 | PA      | $904914.89    | 0.06%             | 2037-08-25      | Floating      | 18.98%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117948 | PA      | $561192.83    | 0.04%             | 2037-01-25      | Floating      | 4.87%                 | 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        |    924795 | PA      | $788067.55    | 0.05%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258374 | PA      | $259267.48    | 0.02%             | 2037-03-25      | Floating      | 4.94%                 | 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        |    547063 | PA      | $294604.29    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                   | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209419 | PA      | $193729.57    | 0.01%             | 2046-04-25      | Floating      | 4.48%                 | 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        |    174415 | PA      | $166667.89    | 0.01%             | 2034-05-25      | Variable      | 6.80%                 | 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        |   3483528 | PA      | $566630.65    | 0.04%             | 2035-12-25      | Floating      | 4.72%                 | 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        |   1881906 | PA      | $587561.69    | 0.04%             | 2036-02-25      | Floating      | 4.97%                 | 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      | $96601.65     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | 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        |   1002306 | PA      | $389220.49    | 0.02%             | 2037-03-25      | Floating      | 4.81%                 | 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      | $962801.08    | 0.06%             | 2035-07-25      | Floating      | 6.54%                 | 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        |    298660 | PA      | $292104.15    | 0.02%             | 2029-10-20      | Variable      | 5.14%                 | 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      | $409832.76    | 0.03%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137APJ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188124 | PA      | $149289.31    | 0.01%             | 2039-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-4                                                  | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4452934 | PA      | $3760292.20   | 0.24%             | 2065-01-20      | Variable      | 1.03%                 | 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      | $189344.33    | 0.01%             | 2035-02-25      | Floating      | 5.50%                 | 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        |    287873 | PA      | $251343.08    | 0.02%             | 2029-01-25      | Floating      | 4.91%                 | 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        |     14630 | PA      | $12915.07     | 0.00%             | 2028-03-25      | Floating      | 5.05%                 | 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        |    265393 | PA      | $227043.57    | 0.01%             | 2034-07-25      | Floating      | 5.02%                 | No            |                  3 | 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        |     61392 | PA      | $37263.50     | 0.00%             | 2029-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQMT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571691 | PA      | $566931.00    | 0.04%             | 2042-05-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AYEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14986 | PA      | $13856.57     | 0.00%             | 2042-06-15      | Fixed         | 2.00%                 | 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        |    469008 | PA      | $152883.73    | 0.01%             | 2037-03-25      | Floating      | 4.60%                 | 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      | $170899.40    | 0.01%             | 2037-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B4UR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252647 | PA      | $250964.59    | 0.02%             | 2041-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B93Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919347 | PA      | $907731.62    | 0.06%             | 2044-01-15      | Floating      | 4.89%                 | 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      | $182519.42    | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2011-4R                                            | CUSIP: 65539CBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512500 | PA      | $759689.02    | 0.05%             | 2035-12-26      | Variable      | 4.62%                 | 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        |    922570 | PA      | $282955.04    | 0.02%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2020-EXP1 Trust                                                              | CUSIP: 67448TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1168014 | PA      | $1009886.51   | 0.06%             | 2060-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL2A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798687 | PA      | $779440.95    | 0.05%             | 2042-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWU44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101296 | PA      | $87680.09     | 0.01%             | 2047-03-15      | Fixed         | 2.50%                 | 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      | $334014.37    | 0.02%             | 2034-04-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                            | CUSIP: 04685A4M0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5009391.95   | 0.31%             | 2028-03-06      | Floating      | 5.30%                 | No            |                  2 | 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        |     36033 | PA      | $33123.36     | 0.00%             | 2036-03-20      | Variable      | 4.63%                 | 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        |    126279 | PA      | $118520.54    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |    308791 | PA      | $261203.45    | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | 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        |    428273 | PA      | $362272.59    | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | 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        |    174449 | PA      | $177724.00    | 0.01%             | 2032-05-15      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107700 | PA      | $105142.34    | 0.01%             | 2020-10-25      | Fixed         | 5.00%                 | 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        |    159562 | PA      | $145511.39    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |    104084 | PA      | $89907.91     | 0.01%             | 2035-02-25      | Variable      | 3.99%                 | 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        |    400554 | PA      | $381859.87    | 0.02%             | 2035-08-25      | Variable      | 5.24%                 | 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        |    948059 | PA      | $884877.78    | 0.06%             | 2047-05-20      | Floating      | 4.85%                 | 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        |    260142 | PA      | $180552.75    | 0.01%             | 2037-07-25      | Floating      | 4.89%                 | 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        |     75125 | PA      | $62143.60     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |    382036 | PA      | $311806.43    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |    477356 | PA      | $390395.35    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4KV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303948 | PA      | $260350.81    | 0.02%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1288195 | PA      | $1262013.19   | 0.08%             | 2043-10-15      | Floating      | 4.68%                 | 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        |    417631 | PA      | $348981.57    | 0.02%             | 2035-11-25      | Variable      | 5.50%                 | 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        |    152659 | PA      | $134040.69    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425470 | PA      | $1029491.52   | 0.06%             | 2037-08-26      | Floating      | 4.89%                 | 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        |    120042 | PA      | $78326.00     | 0.00%             | 2037-02-25      | Variable      | 4.90%                 | 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        |    151775 | PA      | $116111.99    | 0.01%             | 2037-06-25      | Floating      | 4.64%                 | 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      | $197581.12    | 0.01%             | 2037-09-26      | Variable      | 6.25%                 | 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        |    119157 | PA      | $117196.67    | 0.01%             | 2033-08-25      | Variable      | 6.37%                 | 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      | $1662542.74   | 0.10%             | 2034-11-25      | Floating      | 6.07%                 | 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      | $538851.92    | 0.03%             | 2037-10-25      | Fixed         | 6.50%                 | 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        |    561157 | PA      | $237185.55    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6EY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353996 | PA      | $176157.94    | 0.01%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344094 | PA      | $300494.05    | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV1                                                              | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234891 | PA      | $228236.70    | 0.01%             | 2049-02-25      | Floating      | 5.47%                 | 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        |   1974915 | PA      | $420918.28    | 0.03%             | 2037-05-25      | Variable      | 5.90%                 | 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      | $875519.89    | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    364409 | PA      | $210250.96    | 0.01%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8737580 | PA      | $8456421.33   | 0.53%             | 2057-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1548969 | PA      | $1235382.58   | 0.08%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4TJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11033764 | PA      | $8991072.45   | 0.56%             | 2050-05-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-AR1                                                             | CUSIP: 36228F6P6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590639 | PA      | $1715603.19   | 0.11%             | 2034-06-25      | Floating      | 5.25%                 | 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        |    329771 | PA      | $237998.18    | 0.01%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP1 Trust                                                       | CUSIP: 76112BSA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88533 | PA      | $87900.73     | 0.01%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A1                                   | CUSIP: 761136AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6143540 | PA      | $420721.88    | 0.03%             | 2037-03-25      | Floating      | 0.88%                 | 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        |   1937626 | PA      | $663791.39    | 0.04%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2007-4R                                                              | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59143 | PA      | $53615.88     | 0.00%             | 2036-10-26      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-1R                                                              | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57763 | PA      | $55613.83     | 0.00%             | 2037-05-27      | Floating      | 4.35%                 | No            |                  3 | 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        |    217384 | PA      | $266216.00    | 0.02%             | 2035-01-25      | Floating      | 5.28%                 | 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        |    669952 | PA      | $219433.59    | 0.01%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM7                                                                   | CUSIP: 12662QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160136 | PA      | $142033.30    | 0.01%             | 2066-10-25      | Variable      | 2.06%                 | 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        |    286370 | PA      | $164949.80    | 0.01%             | 2035-10-25      | Floating      | 4.97%                 | 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        |    361181 | PA      | $217532.26    | 0.01%             | 2036-01-25      | Floating      | 5.02%                 | 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        |   2024408 | PA      | $1177610.65   | 0.07%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |    330929 | PA      | $57359.40     | 0.00%             | 2035-08-25      | Floating      | 4.62%                 | 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        |    174376 | PA      | $156504.05    | 0.01%             | 2036-01-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2007-3                                                    | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92 | PA      | $73.47        | 0.00%             | 2037-07-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-5                                                    | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    187151 | PA      | $164279.38    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | 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        |    128212 | PA      | $123959.83    | 0.01%             | 2035-02-25      | Floating      | 4.81%                 | 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        |    637280 | PA      | $501308.26    | 0.03%             | 2035-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433034 | PA      | $152550.22    | 0.01%             | 2046-03-25      | Variable      | 5.99%                 | 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        |  11572356 | PA      | $189161.73    | 0.01%             | 2036-01-25      | Variable      | 0.00%                 | 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        |   4737825 | PA      | $4290921.87   | 0.27%             | 2037-07-25      | Floating      | 4.45%                 | 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        |   1655168 | PA      | $563878.65    | 0.04%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | 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      | $35543.52     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | 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        |   3661263 | PA      | $2806297.11   | 0.18%             | 2036-10-25      | Floating      | 4.39%                 | 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        |    195964 | PA      | $144483.07    | 0.01%             | 2035-06-25      | Variable      | 5.65%                 | 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      | $449634.91    | 0.03%             | 2034-05-25      | Floating      | 7.27%                 | 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        |    283575 | PA      | $276811.81    | 0.02%             | 2036-01-25      | Floating      | 4.99%                 | 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      | $405772.53    | 0.03%             | 2034-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Charlie Mac                    | Charlie Mac Trust 2004-1                                                         | CUSIP: 160762AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26242 | PA      | $24621.90     | 0.00%             | 2034-08-25      | Floating      | 4.82%                 | 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        |    357867 | PA      | $313420.34    | 0.02%             | 2046-12-25      | Floating      | 4.42%                 | 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        |     81426 | PA      | $70635.88     | 0.00%             | 2035-09-25      | Variable      | 5.79%                 | 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        |    249326 | PA      | $226046.75    | 0.01%             | 2035-12-25      | Floating      | 4.97%                 | 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      | $109383.53    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |    208979 | PA      | $155856.08    | 0.01%             | 2036-03-25      | Variable      | 5.78%                 | 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        |    556627 | PA      | $504324.74    | 0.03%             | 2037-01-26      | Floating      | 4.55%                 | 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        |    195857 | PA      | $191459.42    | 0.01%             | 2036-03-25      | Floating      | 4.91%                 | 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        |      3179 | PA      | $3024.55      | 0.00%             | 2034-03-19      | Floating      | 4.95%                 | 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        |      5652 | PA      | $5441.89      | 0.00%             | 2034-10-19      | Floating      | 4.91%                 | 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      | $140014.52    | 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        |     58004 | PA      | $53999.99     | 0.00%             | 2036-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR1                          | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795174 | PA      | $710057.97    | 0.04%             | 2037-01-25      | Floating      | 4.63%                 | 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        |    745550 | PA      | $743832.52    | 0.05%             | 2037-08-25      | Floating      | 4.87%                 | 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      | $81427.81     | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | 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      | $123215.54    | 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: 2254W0HT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102285 | PA      | $92189.67     | 0.01%             | 2034-10-25      | Floating      | 4.67%                 | 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        |    141689 | PA      | $102342.27    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    135607 | PA      | $134464.03    | 0.01%             | 2045-04-25      | Variable      | 4.96%                 | 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        |     91430 | PA      | $86721.88     | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | 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        |   1208292 | PA      | $544509.27    | 0.03%             | 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      | $901116.40    | 0.06%             | 2036-07-25      | Fixed         | 6.50%                 | 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        |    903273 | PA      | $431588.96    | 0.03%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3983940.00   | 0.25%             | 2025-11-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                         | United States Treasury Strip Coupon                                              | CUSIP: 912834PM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $1869782.50   | 0.12%             | 2045-08-15      | Fixed         | 0.00%                 | 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        |  10035539 | PA      | $5195038.16   | 0.33%             | 2046-07-19      | Floating      | 4.61%                 | 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        |    208393 | PA      | $189594.24    | 0.01%             | 2034-11-19      | Floating      | 5.07%                 | 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        |   4644703 | PA      | $591499.68    | 0.04%             | 2036-06-25      | Floating      | 4.75%                 | 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        |    374280 | PA      | $329553.92    | 0.02%             | 2047-01-25      | Floating      | 4.75%                 | 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        |    119634 | PA      | $112423.48    | 0.01%             | 2034-08-25      | Variable      | 5.28%                 | 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        |    105090 | PA      | $102797.96    | 0.01%             | 2034-10-25      | Variable      | 6.00%                 | 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        |     14974 | PA      | $14822.84     | 0.00%             | 2033-12-25      | Variable      | 6.16%                 | 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      | $940190.76    | 0.06%             | 2037-05-28      | Floating      | 4.69%                 | 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        |   1927539 | PA      | $1247040.45   | 0.08%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158930 | PA      | $119659.78    | 0.01%             | 2036-11-25      | Floating      | 4.52%                 | 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      | $335890.58    | 0.02%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-6                                              | CUSIP: 74928XCC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141220 | PA      | $468987.90    | 0.03%             | 2036-11-26      | Floating      | 4.89%                 | 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      | $8860561.31   | 0.56%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99469 | PA      | $88057.81     | 0.01%             | 2037-07-25      | Fixed         | 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        |    260767 | PA      | $222227.80    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | 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        |   1759490 | PA      | $1429235.12   | 0.09%             | 2036-10-25      | Fixed         | 6.00%                 | 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        |    420049 | PA      | $368527.77    | 0.02%             | 2046-02-25      | Floating      | 5.15%                 | 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        |    138459 | PA      | $115256.45    | 0.01%             | 2037-01-25      | Variable      | 3.49%                 | 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        |   2452210 | PA      | $2190966.50   | 0.14%             | 2036-04-15      | Floating      | 4.60%                 | 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        |    442766 | PA      | $435866.15    | 0.03%             | 2040-05-25      | Floating      | 5.01%                 | 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        |    311548 | PA      | $282716.79    | 0.02%             | 2036-10-25      | Variable      | 3.75%                 | 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        |    624670 | PA      | $547509.46    | 0.03%             | 2036-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385677 | PA      | $385570.54    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |    640983 | PA      | $624424.65    | 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 2006-2 Trust   | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785958 | PA      | $778982.96    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |    903889 | PA      | $895429.67    | 0.06%             | 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: 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 Series 2006-8 Trust   | CUSIP: 93935EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324944 | PA      | $136880.52    | 0.01%             | 2036-10-25      | Variable      | 4.12%                 | 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        |   1206179 | PA      | $1070758.50   | 0.07%             | 2037-04-25      | Variable      | 6.29%                 | 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        |     86589 | PA      | $83053.97     | 0.01%             | 2036-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA6 Trust                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339116 | PA      | $308784.51    | 0.02%             | 2037-12-28      | Variable      | 6.09%                 | 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        |     81678 | PA      | $79627.81     | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | 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        |   2017433 | PA      | $1983525.26   | 0.12%             | 2036-02-25      | Floating      | 4.69%                 | 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      | $37640.23     | 0.00%             | 2034-10-25      | Floating      | 7.27%                 | 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      | $575035.49    | 0.04%             | 2034-07-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31339L2E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50207 | PA      | $50057.09     | 0.00%             | 2031-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6ZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1431918 | PA      | $1415020.01   | 0.09%             | 2042-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658347 | PA      | $651357.53    | 0.04%             | 2042-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164081 | PA      | $162860.68    | 0.01%             | 2042-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61000 | PA      | $36336.97     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8HX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469594 | PA      | $465995.85    | 0.03%             | 2041-03-15      | Floating      | 4.90%                 | 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        |   1137769 | PA      | $836700.72    | 0.05%             | 2036-09-25      | Floating      | 4.77%                 | 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        |    225997 | PA      | $180282.09    | 0.01%             | 2036-09-25      | 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: 3137AMK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446709 | PA      | $442752.89    | 0.03%             | 2042-02-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328376 | PA      | $326930.58    | 0.02%             | 2041-10-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44323 | PA      | $21766.25     | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | 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        |    869410 | PA      | $499858.34    | 0.03%             | 2037-06-25      | Variable      | 4.63%                 | 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        |   2672632 | PA      | $1633897.56   | 0.10%             | 2037-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AS4Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80654 | PA      | $79786.12     | 0.01%             | 2042-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AU2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2358740 | PA      | $2323804.11   | 0.15%             | 2042-09-15      | Floating      | 4.89%                 | 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      | $1408208.74   | 0.09%             | 2036-07-25      | Floating      | 4.63%                 | 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        |     89778 | PA      | $80191.79     | 0.01%             | 2035-08-25      | Variable      | 4.63%                 | 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        |   2091262 | PA      | $480647.77    | 0.03%             | 2046-10-25      | Variable      | 6.08%                 | 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      | $1848047.49   | 0.12%             | 2037-07-25      | Floating      | 5.52%                 | 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        |    817731 | PA      | $675539.27    | 0.04%             | 2035-11-25      | Floating      | 4.97%                 | 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        |    456168 | PA      | $233016.37    | 0.01%             | 2036-03-25      | Fixed         | 0.00%                 | 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      | $163849.01    | 0.01%             | 2036-08-25      | Floating      | 5.02%                 | 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      | $92263.53     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUA74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1519321 | PA      | $1496180.32   | 0.09%             | 2042-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUBQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1738839 | PA      | $1708419.98   | 0.11%             | 2042-09-15      | Floating      | 4.89%                 | 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        |      6806 | PA      | $6733.91      | 0.00%             | 2037-06-18      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74596 | PA      | $67930.74     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BD5X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2989851 | PA      | $2927634.51   | 0.18%             | 2044-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F74H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16165966 | PA      | $12616418.17  | 0.79%             | 2050-12-25      | Fixed         | 0.75%                 | 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        |   4023251 | PA      | $1084912.24   | 0.07%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |    111501 | PA      | $83605.38     | 0.01%             | 2037-10-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3415 | PA      | $3407.11      | 0.00%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 9                                                         | CUSIP: 81743SAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58478 | PA      | $57498.97     | 0.00%             | 2032-09-20      | Floating      | 4.95%                 | 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        |   2408744 | PA      | $2286695.54   | 0.14%             | 2036-11-25      | Floating      | 4.77%                 | 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        |    337075 | PA      | $217117.55    | 0.01%             | 2035-11-25      | Variable      | 4.58%                 | 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        |    127261 | PA      | $113185.31    | 0.01%             | 2034-11-25      | Variable      | 4.19%                 | 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      | $70705.12     | 0.00%             | 2033-08-25      | Floating      | 5.32%                 | No            |                  2 | 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        |   1015123 | PA      | $987225.93    | 0.06%             | 2034-09-25      | Floating      | 4.82%                 | 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        |    237721 | PA      | $233393.24    | 0.01%             | 2034-03-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp                                                 | CUSIP: 86359BYT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974302 | PA      | $784931.70    | 0.05%             | 2029-12-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR2                          | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207192 | PA      | $193431.57    | 0.01%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8NS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    970787 | PA      | $751945.13    | 0.05%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9WY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3144344 | PA      | $2411181.27   | 0.15%             | 2050-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203137 | PA      | $180452.18    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJKN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1366162 | PA      | $1326987.62   | 0.08%             | 2048-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTUF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1880832 | PA      | $1827182.46   | 0.11%             | 2050-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    975922 | PA      | $972728.91    | 0.06%             | 2055-02-25      | Floating      | 5.36%                 | 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        |    101388 | PA      | $108815.69    | 0.01%             | 2042-10-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395WT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206088 | PA      | $203937.44    | 0.01%             | 2035-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191280 | PA      | $189881.42    | 0.01%             | 2036-10-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CS42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147276 | PA      | $146053.44    | 0.01%             | 2036-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360328 | PA      | $361668.41    | 0.02%             | 2040-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBN6<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |     22734 | PA      | $20235.82     | 0.00%             | 2048-10-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2007-1                                                      | CUSIP: 74162FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1913744 | PA      | $1727150.04   | 0.11%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |    112513 | PA      | $95105.56     | 0.01%             | 2036-04-25      | Floating      | 8.00%                 | 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        |   3832620 | PA      | $2159919.16   | 0.14%             | 2036-05-25      | Variable      | 3.89%                 | 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      | $104721.34    | 0.01%             | 2046-05-25      | Floating      | 4.71%                 | 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        |    784146 | PA      | $638899.98    | 0.04%             | 2036-02-25      | Floating      | 4.67%                 | 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        |    272840 | PA      | $230140.38    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245351 | PA      | $951635.91    | 0.06%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |    719257 | PA      | $300143.74    | 0.02%             | 2037-01-25      | Fixed         | 0.00%                 | 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      | $263616.69    | 0.02%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                         | United States Treasury Strip Coupon                                              | CUSIP: 912834PB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $3892550.30   | 0.24%             | 2044-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM2 Trust                                                             | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512924 | PA      | $1303558.13   | 0.08%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2004-2F                                                  | CUSIP: 36229RKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21647 | PA      | $22094.52     | 0.00%             | 2034-01-25      | Fixed         | 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        |    668256 | PA      | $367892.09    | 0.02%             | 2037-05-25      | Floating      | 4.58%                 | 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      | $758647.52    | 0.05%             | 2037-11-25      | Fixed         | 6.50%                 | 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        |   2294101 | PA      | $610738.52    | 0.04%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |   1173175 | PA      | $535050.56    | 0.03%             | 2035-07-25      | Floating      | 4.77%                 | 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        |    182441 | PA      | $50170.64     | 0.00%             | 2036-09-25      | Variable      | 4.74%                 | 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        |    434194 | PA      | $377475.39    | 0.02%             | 2035-07-25      | Floating      | 4.57%                 | 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        |    285199 | PA      | $241598.87    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   4437951 | PA      | $1207729.28   | 0.08%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-WF                                                              | CUSIP: 36242DKM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195487 | PA      | $197219.68    | 0.01%             | 2034-10-25      | Floating      | 6.15%                 | 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        |   6503254 | PA      | $6116221.15   | 0.38%             | 2035-03-25      | Floating      | 4.62%                 | 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        |     43330 | PA      | $37180.50     | 0.00%             | 2035-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    353508 | PA      | $344252.57    | 0.02%             | 2032-04-25      | Floating      | 4.54%                 | 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        |    450292 | PA      | $404830.65    | 0.03%             | 2034-08-25      | Floating      | 4.82%                 | 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        |    195622 | PA      | $50903.77     | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376MK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112962 | PA      | $110170.31    | 0.01%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377EFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056356 | PA      | $861501.67    | 0.05%             | 2040-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1806634 | PA      | $1594254.29   | 0.10%             | 2056-05-25      | Variable      | 1.19%                 | 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        |   1504532 | PA      | $268347.12    | 0.02%             | 2036-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GZN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299812 | PA      | $299380.60    | 0.02%             | 2039-12-16      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377MH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22701 | PA      | $22531.44     | 0.00%             | 2040-05-20      | Fixed         | 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        |   1475502 | PA      | $1470402.74   | 0.09%             | 2041-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167619 | PA      | $149153.69    | 0.01%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-17                                          | CUSIP: 12544KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266833 | PA      | $182342.15    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540EAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364397 | PA      | $1109937.13   | 0.07%             | 2036-10-26      | Floating      | 1.58%                 | No            |                  3 | 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      | $28199.53     | 0.00%             | 2033-05-25      | Floating      | 5.05%                 | 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        |    292429 | PA      | $232706.68    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   1154352 | PA      | $878053.70    | 0.06%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A3CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    924954 | PA      | $917407.11    | 0.06%             | 2040-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142294 | PA      | $129994.87    | 0.01%             | 2041-12-15      | Fixed         | 2.50%                 | 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        |     64856 | PA      | $54947.26     | 0.00%             | 2046-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BEH49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309963 | PA      | $306786.28    | 0.02%             | 2041-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182785 | PA      | $155347.30    | 0.01%             | 2046-10-15      | Fixed         | 2.00%                 | 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        |    762848 | PA      | $278300.92    | 0.02%             | 2037-06-25      | Fixed         | 6.75%                 | 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        |     14411 | PA      | $12024.02     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1268646 | PA      | $1253794.43   | 0.08%             | 2041-11-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ML37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290727 | PA      | $287721.30    | 0.02%             | 2043-04-20      | Floating      | 4.50%                 | 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        |    780015 | PA      | $643628.96    | 0.04%             | 2037-03-25      | Fixed         | 5.50%                 | 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        |    171358 | PA      | $170767.60    | 0.01%             | 2034-12-19      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379CA71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48001 | PA      | $42504.55     | 0.00%             | 2044-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379PLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70501 | PA      | $63789.30     | 0.00%             | 2045-05-20      | Fixed         | 2.50%                 | 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        |   1359321 | PA      | $1107045.75   | 0.07%             | 2036-02-25      | Floating      | 4.73%                 | 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        |    135357 | PA      | $126002.71    | 0.01%             | 2044-12-25      | Floating      | 4.85%                 | 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      | $236543.32    | 0.01%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ACN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2314585 | PA      | $2242629.69   | 0.14%             | 2048-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428095 | PA      | $424893.08    | 0.03%             | 2046-11-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519069 | PA      | $518280.25    | 0.03%             | 2055-04-25      | Floating      | 5.56%                 | 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        |   8855912 | PA      | $1620669.11   | 0.10%             | 2036-08-25      | Floating      | 4.67%                 | 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        |    340193 | PA      | $186548.10    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9839166.00   | 0.62%             | 2026-03-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CLA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11000529.76  | 0.69%             | 2026-07-31      | Floating      | 4.08%                 | 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        |     99782 | PA      | $85157.46     | 0.01%             | 2036-12-25      | Fixed         | 5.75%                 | 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        |   5627520 | PA      | $1106937.08   | 0.07%             | 2036-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4967 | PA      | $4959.44      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339729 | PA      | $336902.35    | 0.02%             | 2035-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381BFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2917003 | PA      | $2838069.75   | 0.18%             | 2048-12-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381X3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752677 | PA      | $734857.37    | 0.05%             | 2049-04-20      | Floating      | 4.70%                 | 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        |   5612555 | PA      | $1909492.75   | 0.12%             | 2036-02-25      | Floating      | 4.67%                 | 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        |     17556 | PA      | $13991.67     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |   1537387 | PA      | $701090.63    | 0.04%             | 2036-11-25      | Floating      | 5.00%                 | 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        |    379143 | PA      | $335305.66    | 0.02%             | 2037-02-25      | Variable      | 4.75%                 | 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        |   6824407 | PA      | $3478333.95   | 0.22%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |    792099 | PA      | $447649.66    | 0.03%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395B4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316518 | PA      | $278522.35    | 0.02%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1152110 | PA      | $1126970.27   | 0.07%             | 2036-12-25      | Floating      | 4.52%                 | 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        |    488913 | PA      | $377467.11    | 0.02%             | 2046-07-25      | Floating      | 4.92%                 | 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        |    209689 | PA      | $191649.29    | 0.01%             | 2022-04-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288061 | PA      | $179697.94    | 0.01%             | 2050-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124350 | PA      | $16063.45     | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | 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      | $395098.11    | 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      | $46756.73     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384MXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22564 | PA      | $22625.73     | 0.00%             | 2054-04-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384QBK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294629 | PA      | $294911.65    | 0.02%             | 2054-06-20      | Floating      | 5.49%                 | 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        |   8273106 | PA      | $1556510.40   | 0.10%             | 2036-12-25      | Floating      | 4.64%                 | 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        |    233061 | PA      | $197176.44    | 0.01%             | 2045-07-19      | Floating      | 5.43%                 | 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        |    420859 | PA      | $385031.27    | 0.02%             | 2035-03-25      | Fixed         | 5.50%                 | 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        |    166083 | PA      | $128213.40    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |    107629 | PA      | $103824.23    | 0.01%             | 2030-03-25      | Variable      | 6.50%                 | 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        |    103274 | PA      | $98692.66     | 0.01%             | 2034-10-25      | Variable      | 5.36%                 | 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        |    276860 | PA      | $254200.14    | 0.02%             | 2035-06-20      | Floating      | 5.22%                 | 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        |    469474 | PA      | $115643.08    | 0.01%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454741 | PA      | $448727.66    | 0.03%             | 2036-07-15      | Floating      | 4.71%                 | 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        |    583806 | PA      | $389921.59    | 0.02%             | 2035-08-25      | Variable      | 6.00%                 | 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        |    265250 | PA      | $216583.24    | 0.01%             | 2036-05-25      | Variable      | 4.86%                 | 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        |  11170545 | PA      | $2751514.22   | 0.17%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-5                                                    | CUSIP: 45254NJL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11826 | PA      | $11741.23     | 0.00%             | 2034-10-25      | Floating      | 5.14%                 | 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        |     42587 | PA      | $42565.95     | 0.00%             | 2034-10-25      | Floating      | 5.05%                 | 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      | $24972447.00  | 1.57%             | 2027-01-31      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                   | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559837 | PA      | $541224.09    | 0.03%             | 2045-11-25      | Floating      | 4.79%                 | 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        |   1676533 | PA      | $1511987.44   | 0.09%             | 2037-04-29      | Floating      | 3.69%                 | 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        |     15940 | PA      | $15418.90     | 0.00%             | 2035-01-25      | Variable      | 5.05%                 | 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      | $87912.38     | 0.01%             | 2034-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM2 Trust                                                             | CUSIP: 36166XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057368 | PA      | $918854.03    | 0.06%             | 2066-05-25      | Variable      | 1.50%                 | 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        |   1255024 | PA      | $1040231.61   | 0.07%             | 2037-04-25      | Floating      | 4.87%                 | 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        |    468036 | PA      | $413895.92    | 0.03%             | 2037-03-25      | Floating      | 6.00%                 | 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        |   3060483 | PA      | $2578456.59   | 0.16%             | 2037-02-27      | Floating      | 3.21%                 | 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      | $554967.27    | 0.03%             | 2035-07-25      | Floating      | 5.29%                 | 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        |    259929 | PA      | $222456.55    | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | 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        |   8063795 | PA      | $2232455.14   | 0.14%             | 2037-02-25      | Floating      | 4.43%                 | 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        |   1668214 | PA      | $459584.35    | 0.03%             | 2037-02-25      | Floating      | 4.61%                 | 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        |    390805 | PA      | $350717.97    | 0.02%             | 2036-03-25      | Fixed         | 5.75%                 | 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        |    396631 | PA      | $340576.97    | 0.02%             | 2035-09-25      | Floating      | 4.62%                 | 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      | $843753.66    | 0.05%             | 2036-07-25      | Floating      | 4.45%                 | 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        |    360064 | PA      | $351943.80    | 0.02%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | 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        |    762360 | PA      | $718446.44    | 0.05%             | 2035-02-25      | Fixed         | 5.50%                 | 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        |    727353 | PA      | $509073.49    | 0.03%             | 2035-06-25      | Floating      | 4.77%                 | 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        |    254523 | PA      | $186694.24    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | 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      | $12747471.66  | 0.80%             | 2050-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378C6K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860308 | PA      | $853122.46    | 0.05%             | 2042-02-20      | Floating      | 4.60%                 | 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        |    368923 | PA      | $290529.07    | 0.02%             | 2035-08-25      | Floating      | 5.50%                 | 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        |    335756 | PA      | $244875.16    | 0.02%             | 2035-07-20      | Floating      | 4.85%                 | 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        |   1201601 | PA      | $1136543.59   | 0.07%             | 2036-08-25      | Floating      | 4.61%                 | 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        |     39910 | PA      | $31622.28     | 0.00%             | 2037-02-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188186 | PA      | $150107.26    | 0.01%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6755141 | PA      | $6575513.47   | 0.41%             | 2049-07-20      | Floating      | 4.65%                 | 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        |    130009 | PA      | $114405.89    | 0.01%             | 2037-05-25      | Variable      | 4.78%                 | 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        |    285898 | PA      | $281112.22    | 0.02%             | 2036-02-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382C2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6872552 | PA      | $6688382.81   | 0.42%             | 2050-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184249 | PA      | $165823.80    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691820 | PA      | $621679.26    | 0.04%             | 2035-11-20      | Floating      | 5.44%                 | 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        |     31160 | PA      | $31464.12     | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2334086 | PA      | $1903214.18   | 0.12%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382P3K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107997 | PA      | $50488.42     | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384ELE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218465 | PA      | $218229.26    | 0.01%             | 2053-08-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384JQR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518441 | PA      | $520781.44    | 0.03%             | 2054-02-20      | Floating      | 5.64%                 | 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        |    595587 | PA      | $501812.89    | 0.03%             | 2036-10-25      | Variable      | 6.02%                 | 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      | $452720.78    | 0.03%             | 2035-11-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GT57<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    113977 | PA      | $69781.14     | 0.00%             | 2035-12-25      | Variable      | 4.24%                 | 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      | $466771.67    | 0.03%             | 2035-09-25      | Floating      | 7.78%                 | 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        |   3162620 | PA      | $873866.92    | 0.05%             | 2035-10-25      | Fixed         | 6.00%                 | 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        |     74184 | PA      | $71616.33     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | 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      | $70624.72     | 0.00%             | 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-RAMP1                  | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800739 | PA      | $1668477.42   | 0.10%             | 2036-12-25      | Floating      | 4.57%                 | 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      | $3046.98      | 0.00%             | 2034-08-25      | Floating      | 6.00%                 | 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        |     57983 | PA      | $52634.85     | 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-AB4                    | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396830 | PA      | $346866.97    | 0.02%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384W6J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403134 | PA      | $404043.42    | 0.03%             | 2054-09-20      | Floating      | 5.54%                 | 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        |     99056 | PA      | $90018.66     | 0.01%             | 2036-02-25      | Floating      | 4.85%                 | 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        |   2397352 | PA      | $2331044.71   | 0.15%             | 2036-04-15      | Floating      | 6.32%                 | 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        |    404910 | PA      | $386920.40    | 0.02%             | 2036-04-15      | Floating      | 6.15%                 | 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        |    416884 | PA      | $407535.93    | 0.03%             | 2037-05-25      | Floating      | 4.67%                 | 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        |    165025 | PA      | $81725.75     | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660435 | PA      | $649607.77    | 0.04%             | 2043-11-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A12P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32599 | PA      | $32515.69     | 0.00%             | 2039-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A63M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260478 | PA      | $256202.28    | 0.02%             | 2042-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7JC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1664055 | PA      | $1644627.37   | 0.10%             | 2042-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9PC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148366 | PA      | $107068.89    | 0.01%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3418508 | PA      | $2798033.29   | 0.18%             | 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        |   3204857 | PA      | $2380577.06   | 0.15%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28879 | PA      | $26473.15     | 0.00%             | 2044-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353002 | PA      | $263503.69    | 0.02%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438434 | PA      | $1246115.91   | 0.08%             | 2051-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KQS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6210 | PA      | $6197.87      | 0.00%             | 2037-06-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13545 | PA      | $13564.59     | 0.00%             | 2038-03-15      | Floating      | 5.19%                 | 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        |   1596663 | PA      | $1323685.64   | 0.08%             | 2036-04-19      | Variable      | 3.79%                 | 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      | $39806.64     | 0.00%             | 2042-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1153772 | PA      | $1194461.32   | 0.07%             | 2030-03-01      | Variable      | 6.86%                 | 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        |    739171 | PA      | $270669.54    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |   1262280 | PA      | $620713.84    | 0.04%             | 2035-12-19      | Variable      | 4.75%                 | 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        |   2116416 | PA      | $1993255.27   | 0.12%             | 2037-05-19      | Floating      | 4.65%                 | 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        |     21390 | PA      | $21688.05     | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | 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        |    133089 | PA      | $109360.26    | 0.01%             | 2037-05-25      | Variable      | 3.41%                 | 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      | $240130.92    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | 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        |   1159067 | PA      | $526113.72    | 0.03%             | 2035-07-25      | Floating      | 4.77%                 | 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        |    262459 | PA      | $248613.34    | 0.02%             | 2050-03-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52772 | PA      | $40721.70     | 0.00%             | 2037-06-25      | Variable      | 5.26%                 | 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        |     18041 | PA      | $15049.57     | 0.00%             | 2033-07-25      | Variable      | 7.00%                 | 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        |    531908 | PA      | $469527.03    | 0.03%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-1                                                  | CUSIP: 46646BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217061 | PA      | $198275.72    | 0.01%             | 2046-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-4                                                  | CUSIP: 46647JAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865068 | PA      | $722528.17    | 0.05%             | 2046-10-25      | Variable      | 3.00%                 | 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        |    347974 | PA      | $139332.67    | 0.01%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Trust 2005-3                                                          | CUSIP: 61915RAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59839 | PA      | $59729.62     | 0.00%             | 2035-08-25      | Floating      | 4.87%                 | 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        |    252606 | PA      | $196545.83    | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | 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        |    490009 | PA      | $331867.21    | 0.02%             | 2037-04-25      | Floating      | 4.46%                 | 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        |     45349 | PA      | $40136.81     | 0.00%             | 2046-05-25      | Floating      | 5.12%                 | 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        |    428309 | PA      | $273566.10    | 0.02%             | 2036-07-25      | Floating      | 4.87%                 | 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        |    602978 | PA      | $568192.84    | 0.04%             | 2051-03-25      | Floating      | 5.25%                 | 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      | $95389.90     | 0.01%             | 2036-04-25      | Variable      | 5.74%                 | 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        |    284647 | PA      | $274854.11    | 0.02%             | 2035-09-25      | Variable      | 5.50%                 | 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        |   6639905 | PA      | $3131648.02   | 0.20%             | 2047-09-25      | Variable      | 4.21%                 | 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      | 2.43%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5420930 | PA      | $1066445.97   | 0.07%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-4                                                     | CUSIP: 52524UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7717635 | PA      | $2133781.88   | 0.13%             | 2037-01-25      | Floating      | 4.65%                 | 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        |   6534050 | PA      | $5957677.58   | 0.37%             | 2047-09-25      | Floating      | 5.97%                 | 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        |   1718654 | PA      | $1558218.28   | 0.10%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |     41781 | PA      | $37640.03     | 0.00%             | 2049-09-25      | Variable      | 3.50%                 | 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        |    972802 | PA      | $16496.77     | 0.00%             | 2036-05-25      | Floating      | 4.45%                 | 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        |   3596788 | PA      | $1588996.65   | 0.10%             | 2035-08-25      | Fixed         | 5.75%                 | 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        |    433921 | PA      | $363623.09    | 0.02%             | 2034-11-25      | Variable      | 4.39%                 | 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        |    170455 | PA      | $106321.09    | 0.01%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  3 | 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        |     44444 | PA      | $44196.28     | 0.00%             | 2034-07-25      | Floating      | 5.32%                 | 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        |     97219 | PA      | $101804.22    | 0.01%             | 2033-09-25      | Floating      | 9.67%                 | 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        |      2538 | PA      | $4309.49      | 0.00%             | 2035-02-25      | Floating      | 5.07%                 | 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        |    666172 | PA      | $597134.89    | 0.04%             | 2037-05-25      | Floating      | 4.87%                 | 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      | $351213.43    | 0.02%             | 2036-10-25      | Variable      | 5.13%                 | 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        |    105827 | PA      | $93724.26     | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |   1373066 | PA      | $495864.06    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A8                                                 | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1492903 | PA      | $1162393.62   | 0.07%             | 2035-11-25      | Variable      | 4.98%                 | 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        |   1622766 | PA      | $1422664.56   | 0.09%             | 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        |   1167905 | PA      | $167771.01    | 0.01%             | 2036-06-25      | Floating      | 2.88%                 | 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        |     31113 | PA      | $31367.07     | 0.00%             | 2036-03-25      | Variable      | 5.73%                 | 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        |      5359 | PA      | $6399.37      | 0.00%             | 2036-09-25      | Variable      | 4.12%                 | 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        |     91871 | PA      | $90796.38     | 0.01%             | 2028-10-25      | Variable      | 6.36%                 | 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        |    133455 | PA      | $123791.06    | 0.01%             | 2034-07-25      | Variable      | 4.96%                 | 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        |    518220 | PA      | $350772.33    | 0.02%             | 2037-01-25      | Floating      | 4.63%                 | 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        |    283412 | PA      | $197556.87    | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-RPL1 Trust                                                             | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470469 | PA      | $1353250.78   | 0.08%             | 2061-09-25      | Variable      | 1.67%                 | 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        |    249644 | PA      | $200801.68    | 0.01%             | 2035-06-25      | Floating      | 7.54%                 | No            |                  2 | 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        |    912499 | PA      | $882560.18    | 0.06%             | 2034-05-25      | Floating      | 5.17%                 | 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        |     24937 | PA      | $16087.60     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | 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        |    190017 | PA      | $152823.55    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |    399960 | PA      | $380468.25    | 0.02%             | 2035-06-25      | Variable      | 5.91%                 | 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      | $730571.05    | 0.05%             | 2035-08-25      | Floating      | 4.97%                 | 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        |    279105 | PA      | $240572.58    | 0.02%             | 2037-12-25      | Variable      | 4.75%                 | 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        |    195619 | PA      | $168353.65    | 0.01%             | 2036-11-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GQY7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    159231 | PA      | $152596.27    | 0.01%             | 2035-05-25      | Variable      | 5.75%                 | 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        |   1232082 | PA      | $1136101.73   | 0.07%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17310CAA0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   5298889 | PA      | $2371660.25   | 0.15%             | 2035-10-25      | Floating      | 4.87%                 | 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        |    570914 | PA      | $168389.23    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |   8128702 | PA      | $2397531.34   | 0.15%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2004-6                                                    | CUSIP: 81744FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10229 | PA      | $10197.02     | 0.00%             | 2034-07-20      | Floating      | 4.81%                 | 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        |     65178 | PA      | $60772.91     | 0.00%             | 2065-05-25      | Variable      | 1.59%                 | 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      | $183912.84    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |    154366 | PA      | $52792.93     | 0.00%             | 2036-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5172916 | PA      | $5064649.01   | 0.32%             | 2047-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380UX99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2753967 | PA      | $2694504.62   | 0.17%             | 2048-01-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DCP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19548536 | PA      | $19058405.24  | 1.19%             | 2050-01-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382FPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12496121 | PA      | $12062204.89  | 0.76%             | 2050-05-20      | 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        |   3001350 | PA      | $1057104.69   | 0.07%             | 2036-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1983219 | PA      | $461236.37    | 0.03%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2078764 | PA      | $1605802.07   | 0.10%             | 2050-10-20      | Fixed         | 1.00%                 | 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      | $24150.99     | 0.00%             | 2051-04-20      | Fixed         | 2.00%                 | 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        |   1753641 | PA      | $842344.68    | 0.05%             | 2037-04-25      | Variable      | 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      | $3085915.53   | 0.19%             | 2037-08-25      | Fixed         | 6.25%                 | 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      | $465242.38    | 0.03%             | 2037-03-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579NZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430366 | PA      | $439219.67    | 0.03%             | 2035-04-25      | Floating      | 4.92%                 | 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        |    472424 | PA      | $437675.13    | 0.03%             | 2035-10-25      | Variable      | 6.03%                 | 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        |    790262 | PA      | $676979.44    | 0.04%             | 2036-02-25      | Floating      | 6.23%                 | 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      | $2170097.31   | 0.14%             | 2046-05-25      | Floating      | 4.69%                 | 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        |    678778 | PA      | $617445.25    | 0.04%             | 2036-04-25      | Floating      | 4.69%                 | 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      | $238666.86    | 0.01%             | 2035-03-25      | Floating      | 6.15%                 | 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        |    121730 | PA      | $113333.33    | 0.01%             | 2036-09-25      | Variable      | 4.30%                 | 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        |    315580 | PA      | $174576.34    | 0.01%             | 2036-10-25      | Variable      | 4.34%                 | 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        |    992374 | PA      | $592586.47    | 0.04%             | 2036-05-25      | Variable      | 4.65%                 | 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        |    264949 | PA      | $20007.52     | 0.00%             | 2036-02-25      | Floating      | 4.55%                 | 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        |   6601705 | PA      | $2334671.82   | 0.15%             | 2047-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S1                                                 | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306801 | PA      | $105763.86    | 0.01%             | 2037-03-25      | Fixed         | 5.75%                 | 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        |      3918 | PA      | $3562.93      | 0.00%             | 2048-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142862 | PA      | $580888.23    | 0.04%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2441299 | PA      | $1013655.56   | 0.06%             | 2036-11-25      | Floating      | 4.45%                 | 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        |    388087 | PA      | $295475.85    | 0.02%             | 2036-11-25      | Variable      | 5.09%                 | 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        |    202519 | PA      | $187991.15    | 0.01%             | 2047-04-25      | Variable      | 3.84%                 | 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        |    209993 | PA      | $208509.15    | 0.01%             | 2036-04-25      | Variable      | 6.68%                 | 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        |    183682 | PA      | $168837.38    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | 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        |    207771 | PA      | $196257.31    | 0.01%             | 2036-10-25      | Variable      | 6.73%                 | 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        |     10878 | PA      | $5055.97      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | 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        |   1506506 | PA      | $483896.00    | 0.03%             | 2036-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2              | CUSIP: 65536XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627433 | PA      | $605617.83    | 0.04%             | 2036-08-25      | Variable      | 4.09%                 | 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        |    169905 | PA      | $155197.53    | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | 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        |   1763753 | PA      | $1308379.76   | 0.08%             | 2036-04-25      | Floating      | 4.77%                 | 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        |   1207370 | PA      | $924831.73    | 0.06%             | 2036-06-25      | Floating      | 4.97%                 | 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        |   1369582 | PA      | $110182.77    | 0.01%             | 2037-01-25      | Floating      | 1.18%                 | 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        |   1199053 | PA      | $166151.00    | 0.01%             | 2037-01-25      | Floating      | 2.43%                 | 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        |   1282209 | PA      | $561823.78    | 0.04%             | 2046-11-25      | Fixed         | 6.25%                 | 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        |   3939400 | PA      | $427598.20    | 0.03%             | 2037-01-25      | Floating      | 4.72%                 | 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        |    315050 | PA      | $262741.56    | 0.02%             | 2037-11-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-2                                              | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213774 | PA      | $204382.19    | 0.01%             | 2036-12-26      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1     | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565353 | PA      | $490192.10    | 0.03%             | 2050-02-25      | Variable      | 3.00%                 | 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        |     19535 | PA      | $8321.71      | 0.00%             | 2035-12-10      | Floating      | 5.61%                 | No            |                  3 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S8 Trust                                                       | CUSIP: 74957XAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844646 | PA      | $586922.11    | 0.04%             | 2036-09-25      | Floating      | 4.62%                 | 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        |   3146879 | PA      | $2837295.02   | 0.18%             | 2037-01-25      | Floating      | 4.59%                 | 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        |   1233725 | PA      | $958988.63    | 0.06%             | 2036-08-25      | Floating      | 4.72%                 | 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        |   1790232 | PA      | $1284571.33   | 0.08%             | 2035-07-25      | Variable      | 4.65%                 | 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        |   1266974 | PA      | $1063262.66   | 0.07%             | 2035-06-25      | Fixed         | 5.50%                 | 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        |   2672948 | PA      | $2148187.85   | 0.13%             | 2035-08-25      | Floating      | 4.62%                 | 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        |   1557489 | PA      | $1081104.50   | 0.07%             | 2035-08-25      | Floating      | 4.57%                 | 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        |   3342856 | PA      | $996503.68    | 0.06%             | 2035-09-25      | Fixed         | 6.00%                 | 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        |   1331271 | PA      | $1031282.65   | 0.06%             | 2036-02-25      | Floating      | 4.77%                 | 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        |    208105 | PA      | $35253.75     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |   3662081 | PA      | $848763.33    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $68408.42     | 0.00%             | 2036-07-25      | Floating      | 4.52%                 | 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        |   6860778 | PA      | $1067744.26   | 0.07%             | 2037-02-25      | Floating      | 2.36%                 | 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        |   2350429 | PA      | $757670.57    | 0.05%             | 2037-04-25      | Floating      | 4.77%                 | 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        |    357063 | PA      | $107739.26    | 0.01%             | 2037-05-25      | Floating      | 4.62%                 | 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        |   1792573 | PA      | $610749.30    | 0.04%             | 2037-09-25      | Floating      | 4.67%                 | 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        |  15909649 | PA      | $3022535.74   | 0.19%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A15                                  | CUSIP: 76114DAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3198400 | PA      | $1034628.72   | 0.06%             | 2037-01-25      | Fixed         | 6.25%                 | 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        |  23479844 | PA      | $2764784.55   | 0.17%             | 2037-05-25      | Floating      | 4.65%                 | 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      | $130934.94    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |    210714 | PA      | $48136.86     | 0.00%             | 2037-10-25      | Floating      | 5.27%                 | 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        |    690363 | PA      | $594144.27    | 0.04%             | 2037-08-25      | Floating      | 10.25%                | 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        |    383640 | PA      | $311053.56    | 0.02%             | 2037-08-25      | Floating      | 13.37%                | 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        |   1257055 | PA      | $545275.22    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | 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        |   1360886 | PA      | $837668.21    | 0.05%             | 2037-08-25      | Floating      | 4.67%                 | 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        |    256443 | PA      | $186310.77    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |   1113245 | PA      | $864872.74    | 0.05%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |    290522 | PA      | $110620.44    | 0.01%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-3                                                    | CUSIP: 81743PAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103491 | PA      | $96488.54     | 0.01%             | 2033-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39843 | PA      | $36251.73     | 0.00%             | 2049-11-25      | Variable      | 3.50%                 | 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        |     16599 | PA      | $15463.42     | 0.00%             | 2065-05-25      | Variable      | 1.38%                 | 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        |   3916198 | PA      | $3605640.96   | 0.23%             | 2036-09-25      | Variable      | 4.36%                 | 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        |    601749 | PA      | $59415.38     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13600000 | PA      | $13555615.45  | 0.85%             | 2025-10-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $5986520.82   | 0.38%             | 2025-10-21      | Fixed         | 0.00%                 | 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      | $22995995.93  | 1.44%             | 2026-04-30      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CLT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15000275.25  | 0.94%             | 2026-10-31      | Floating      | 4.10%                 | 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      | $1754546.84   | 0.11%             | 2068-03-25      | Variable      | 7.44%                 | 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        |    361762 | PA      | $351164.03    | 0.02%             | 2034-02-27      | Floating      | 4.20%                 | 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        |     67315 | PA      | $63373.41     | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-3                                                  | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3925950 | PA      | $3409395.46   | 0.21%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W4                                                  | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269041 | PA      | $63784.23     | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | 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        |    861695 | PA      | $810869.44    | 0.05%             | 2044-07-25      | Floating      | 5.17%                 | 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        |    251389 | PA      | $224355.18    | 0.01%             | 2037-02-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2008-IND2                                                         | CUSIP: 05531EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796762 | PA      | $616274.72    | 0.04%             | 2038-04-25      | Variable      | 3.78%                 | 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      | $13913.85     | 0.00%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-B Trust                                             | CUSIP: 05946XKB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43279 | PA      | $47743.32     | 0.00%             | 2034-12-20      | Floating      | 5.15%                 | 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        |   1030827 | PA      | $862051.49    | 0.05%             | 2035-10-25      | Fixed         | 5.75%                 | 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        |     57846 | PA      | $50161.12     | 0.00%             | 2037-01-25      | Variable      | 3.71%                 | 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        |    201886 | PA      | $181822.67    | 0.01%             | 2036-11-25      | Variable      | 4.21%                 | 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        |     64614 | PA      | $58744.99     | 0.00%             | 2037-07-25      | Variable      | 4.66%                 | 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        |   1512099 | PA      | $1275515.81   | 0.08%             | 2035-05-25      | Floating      | 4.72%                 | 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        |     80474 | PA      | $63956.35     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | 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        |    705236 | PA      | $569949.41    | 0.04%             | 2037-03-25      | Floating      | 4.81%                 | 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        |   2669864 | PA      | $280094.36    | 0.02%             | 2037-06-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust   | WinWater Mortgage Loan Trust 2015-A                                              | CUSIP: 97653BAC5<br>LEI: 549300XEB1FUZ3CHE748 | Long             | ABS-MBS          | CORP              | US        |    194575 | PA      | $182431.75    | 0.01%             | 2045-06-20      | Variable      | 3.50%                 | 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        |    251535 | PA      | $232988.34    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | 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        |    196184 | PA      | $164719.18    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | 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        |   1085656 | PA      | $849754.19    | 0.05%             | 2035-06-20      | Floating      | 5.58%                 | 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        |    118505 | PA      | $85811.79     | 0.01%             | 2037-06-25      | Floating      | 4.63%                 | 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        |    411401 | PA      | $357934.05    | 0.02%             | 2035-11-25      | Floating      | 4.67%                 | 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        |    190850 | PA      | $174044.11    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |    470219 | PA      | $377437.37    | 0.02%             | 2035-10-25      | Variable      | 3.91%                 | 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        |    353599 | PA      | $268475.51    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |    213795 | PA      | $198179.63    | 0.01%             | 2047-05-20      | Floating      | 4.69%                 | 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        |    800775 | PA      | $748296.82    | 0.05%             | 2047-02-20      | Floating      | 4.57%                 | 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        |    166926 | PA      | $122945.41    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | 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        |     64201 | PA      | $49182.50     | 0.00%             | 2037-05-25      | 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        |   1599545 | PA      | $1319367.28   | 0.08%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | 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        |     45279 | PA      | $37977.32     | 0.00%             | 2033-08-25      | Variable      | 4.74%                 | 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        |    381187 | PA      | $379063.84    | 0.02%             | 2047-06-25      | Floating      | 4.49%                 | 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        |    127605 | PA      | $120944.52    | 0.01%             | 2034-01-25      | Variable      | 5.69%                 | 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        |   1673219 | PA      | $1163820.03   | 0.07%             | 2046-12-25      | Variable      | 5.65%                 | 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      | $331892.09    | 0.02%             | 2034-06-25      | Floating      | 6.90%                 | 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        |    300546 | PA      | $257288.32    | 0.02%             | 2036-07-25      | Variable      | 4.23%                 | 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        |    756980 | PA      | $676855.05    | 0.04%             | 2046-12-25      | Floating      | 6.10%                 | No            |                  2 | 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        |    198213 | PA      | $140731.46    | 0.01%             | 2046-12-26      | Variable      | 3.96%                 | No            |                  3 | On Loan: No      |
| Bombardier Capital Mortgage Se | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3879580 | PA      | $249887.64    | 0.02%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667214 | PA      | $211448.00    | 0.01%             | 2037-04-25      | Floating      | 4.67%                 | 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      | $53519.65     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |    375893 | PA      | $334872.03    | 0.02%             | 2036-12-25      | Floating      | 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      | $2007845.93   | 0.13%             | 2036-05-25      | Fixed         | 6.50%                 | 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        |   3944676 | PA      | $950636.23    | 0.06%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-2R Mortgage Loan Trust                                                 | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197621 | PA      | $182347.16    | 0.01%             | 2054-07-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214237 | PA      | $213427.77    | 0.01%             | 2034-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616461 | PA      | $559581.22    | 0.04%             | 2034-04-25      | Floating      | 6.15%                 | 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        |     76440 | PA      | $74434.91     | 0.00%             | 2035-03-25      | Variable      | 5.40%                 | 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        |    403617 | PA      | $320438.11    | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |    331540 | PA      | $321286.30    | 0.02%             | 2035-11-20      | Floating      | 4.91%                 | 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        |   2388595 | PA      | $1218699.00   | 0.08%             | 2035-11-25      | Floating      | 4.77%                 | 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        |   1865835 | PA      | $1213581.51   | 0.08%             | 2036-01-25      | Fixed         | 5.50%                 | 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        |    918297 | PA      | $469849.02    | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |    216421 | PA      | $110732.08    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |    353828 | PA      | $311248.33    | 0.02%             | 2046-12-20      | Floating      | 4.44%                 | 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        |    161328 | PA      | $61314.79     | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | 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        |    206129 | PA      | $179369.17    | 0.01%             | 2036-04-20      | Variable      | 5.39%                 | 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        |    114319 | PA      | $101779.74    | 0.01%             | 2035-12-20      | Variable      | 4.64%                 | 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      | $17953.98     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | 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      | $754226.49    | 0.05%             | 2036-12-25      | Floating      | 4.92%                 | 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        |     87082 | PA      | $80838.12     | 0.01%             | 2037-03-25      | Variable      | 4.62%                 | 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        |    109330 | PA      | $90017.26     | 0.01%             | 2037-12-25      | Variable      | 4.57%                 | 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      | $1892696.94   | 0.12%             | 2037-02-25      | Floating      | 4.87%                 | 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        |    259490 | PA      | $228592.87    | 0.01%             | 2037-08-25      | Floating      | 4.57%                 | 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        |    260976 | PA      | $247241.46    | 0.02%             | 2034-10-25      | Variable      | 4.99%                 | 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        |    424069 | PA      | $417955.96    | 0.03%             | 2035-01-25      | Floating      | 4.60%                 | 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        |    221475 | PA      | $212352.25    | 0.01%             | 2036-05-25      | Floating      | 4.50%                 | 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        |   2922482 | PA      | $2242049.20   | 0.14%             | 2047-04-25      | Floating      | 4.45%                 | 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        |    686754 | PA      | $459559.78    | 0.03%             | 2035-09-25      | Variable      | 4.04%                 | 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        |   1250436 | PA      | $1083793.40   | 0.07%             | 2035-11-25      | Floating      | 4.53%                 | 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      | $297151.74    | 0.02%             | 2034-11-25      | Variable      | 6.03%                 | 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        |    919154 | PA      | $848315.12    | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | 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      | $1104386.20   | 0.07%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12778116 | PA      | $3298859.68   | 0.21%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1354462 | PA      | $1332773.01   | 0.08%             | 2033-12-01      | Variable      | 9.55%                 | 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      | $467329.24    | 0.03%             | 2036-04-25      | Variable      | 6.81%                 | 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      | $122778.96    | 0.01%             | 2036-07-25      | Floating      | 1.63%                 | 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        |   5188910 | PA      | $4641089.63   | 0.29%             | 2037-08-25      | Fixed         | 5.00%                 | 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        |    953167 | PA      | $1055475.24   | 0.07%             | 2037-08-25      | Floating      | 10.71%                | 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        |   2212879 | PA      | $1808291.79   | 0.11%             | 2046-04-19      | Floating      | 5.09%                 | 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        |     12835 | PA      | $13425.55     | 0.00%             | 2035-11-25      | Floating      | 4.60%                 | No            |                  3 | 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        |   2242192 | PA      | $279101.36    | 0.02%             | 2036-04-15      | Variable      | 3.35%                 | 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        |    395247 | PA      | $413543.89    | 0.03%             | 2032-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3JM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738373 | PA      | $742148.09    | 0.05%             | 2053-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3L66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554925 | PA      | $555934.33    | 0.03%             | 2054-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3LJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865128 | PA      | $869511.60    | 0.05%             | 2054-05-25      | Floating      | 5.56%                 | 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        |     53790 | PA      | $54262.50     | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0J65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166384 | PA      | $165863.02    | 0.01%             | 2041-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2WJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166609 | PA      | $146179.20    | 0.01%             | 2041-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4KY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70000 | PA      | $64261.87     | 0.00%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746169 | PA      | $735268.35    | 0.05%             | 2042-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A95L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643718 | PA      | $632618.62    | 0.04%             | 2042-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63629 | PA      | $55390.59     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160197 | PA      | $113715.55    | 0.01%             | 2043-08-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559104 | PA      | $553711.94    | 0.03%             | 2044-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204145 | PA      | $199019.33    | 0.01%             | 2045-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5250872 | PA      | $5142340.92   | 0.32%             | 2049-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7YU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652312 | PA      | $640060.17    | 0.04%             | 2049-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93732 | PA      | $84607.34     | 0.01%             | 2051-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2585640 | PA      | $2637458.40   | 0.17%             | 2053-11-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BBQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1090905 | PA      | $835940.77    | 0.05%             | 2044-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BBR69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4568292 | PA      | $4486197.40   | 0.28%             | 2054-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423790 | PA      | $412120.50    | 0.03%             | 2055-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWWX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550264 | PA      | $545316.96    | 0.03%             | 2042-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9PU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85906 | PA      | $61801.97     | 0.00%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6056736 | PA      | $3920057.87   | 0.25%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7933163 | PA      | $7467680.07   | 0.47%             | 2051-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1T55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156607 | PA      | $957193.03    | 0.06%             | 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        |    137452 | PA      | $117445.39    | 0.01%             | 2049-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878180 | PA      | $876718.90    | 0.05%             | 2054-10-25      | Floating      | 5.46%                 | 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        |   1700882 | PA      | $1636337.57   | 0.10%             | 2032-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BE93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30567 | PA      | $30025.58     | 0.00%             | 2032-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394E7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238230 | PA      | $236473.63    | 0.01%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397EWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219154 | PA      | $216730.74    | 0.01%             | 2037-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186988 | PA      | $1180885.55   | 0.07%             | 2037-08-15      | Floating      | 4.99%                 | 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        |    372817 | PA      | $178099.23    | 0.01%             | 2036-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FirstKey Mortgage Trust        | FirstKey Mortgage Trust 2015-1                                                   | CUSIP: 33767CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43805 | PA      | $40700.41     | 0.00%             | 2045-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    133406 | PA      | $131228.23    | 0.01%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50584 | PA      | $37489.54     | 0.00%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6120465 | PA      | $1609880.53   | 0.10%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274059 | PA      | $278609.73    | 0.02%             | 2028-07-15      | Variable      | 7.03%                 | 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        |    290108 | PA      | $142784.80    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |    248553 | PA      | $122332.34    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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      | $514214.95    | 0.03%             | 2037-03-25      | Floating      | 4.87%                 | 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        |   3528395 | PA      | $1126926.35   | 0.07%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust     | BINOM Securitization Trust 2021-INV1                                             | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364772 | PA      | $331735.18    | 0.02%             | 2056-06-25      | Variable      | 2.03%                 | 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        |    396371 | PA      | $83937.56     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |     81568 | PA      | $84354.73     | 0.01%             | 2046-10-25      | Variable      | 4.26%                 | 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        |    259715 | PA      | $233989.26    | 0.01%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | 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      | $1338927.09   | 0.08%             | 2036-05-25      | Variable      | 6.55%                 | 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        |    177336 | PA      | $143973.89    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA7                                                  | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |   1541939 | PA      | $1429494.73   | 0.09%             | 2047-05-25      | Floating      | 4.63%                 | 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        |      1420 | PA      | $1414.49      | 0.00%             | 2037-02-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687440 | PA      | $427671.01    | 0.03%             | 2035-06-25      | Fixed         | 6.00%                 | 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        |     52312 | PA      | $46844.06     | 0.00%             | 2047-11-25      | Floating      | 4.45%                 | 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        |     47242 | PA      | $42251.98     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196342 | PA      | $164487.08    | 0.01%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HX5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    955291 | PA      | $940993.39    | 0.06%             | 2042-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450452 | PA      | $445808.09    | 0.03%             | 2042-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT5A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634398 | PA      | $483638.22    | 0.03%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338388 | PA      | $1037951.00   | 0.07%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3GS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2140262 | PA      | $2163186.72   | 0.14%             | 2053-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335894 | PA      | $333436.20    | 0.02%             | 2046-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213443 | PA      | $133236.79    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A9WQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2984463 | PA      | $2359542.88   | 0.15%             | 2041-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASEM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189774 | PA      | $186738.16    | 0.01%             | 2042-07-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AXAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    577683 | PA      | $564149.53    | 0.04%             | 2037-09-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BRYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958075 | PA      | $759587.31    | 0.05%             | 2042-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138773 | PA      | $137894.34    | 0.01%             | 2042-11-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3002046 | PA      | $2302038.78   | 0.14%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2668406 | PA      | $2045334.47   | 0.13%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1450837 | PA      | $1094497.92   | 0.07%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34082 | PA      | $30913.26     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421148 | PA      | $200854.14    | 0.01%             | 2051-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFZ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201211 | PA      | $150573.86    | 0.01%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHEB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473352 | PA      | $457486.20    | 0.03%             | 2048-07-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605230 | PA      | $586965.70    | 0.04%             | 2048-11-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86528 | PA      | $42152.88     | 0.00%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587905 | PA      | $587674.65    | 0.04%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHEL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192049 | PA      | $192188.86    | 0.01%             | 2054-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28836 | PA      | $28952.66     | 0.00%             | 2032-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394NT81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40232 | PA      | $40307.98     | 0.00%             | 2033-10-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395DVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68338 | PA      | $68003.40     | 0.00%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395LUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152095 | PA      | $138102.19    | 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        |    330938 | PA      | $327998.50    | 0.02%             | 2035-11-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87961 | PA      | $88105.53     | 0.01%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600197 | PA      | $597229.64    | 0.04%             | 2037-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257548 | PA      | $254709.34    | 0.02%             | 2037-03-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398J4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149941 | PA      | $138156.90    | 0.01%             | 2038-02-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1349995 | PA      | $1336597.51   | 0.08%             | 2040-10-15      | Floating      | 4.97%                 | 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      | $469947.29    | 0.03%             | 2034-08-25      | Floating      | 6.97%                 | 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        |    222932 | PA      | $151738.24    | 0.01%             | 2037-02-25      | Variable      | 4.74%                 | 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        |     88918 | PA      | $88000.24     | 0.01%             | 2037-09-25      | Variable      | 7.00%                 | 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        |   6201987 | PA      | $1470307.46   | 0.09%             | 2036-11-25      | Floating      | 4.63%                 | 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        |   1994330 | PA      | $495723.69    | 0.03%             | 2036-09-25      | Variable      | 6.46%                 | 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        |    546432 | PA      | $504889.27    | 0.03%             | 2047-04-25      | Floating      | 4.51%                 | 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      | $343365.16    | 0.02%             | 2035-12-25      | Floating      | 4.97%                 | 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      | $391937.93    | 0.02%             | 2046-12-25      | Floating      | 4.47%                 | 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        |   2428204 | PA      | $1798229.49   | 0.11%             | 2035-05-25      | Variable      | 4.32%                 | 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        |    337698 | PA      | $295009.89    | 0.02%             | 2035-04-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-OPT                                                             | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41125 | PA      | $39802.46     | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | 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        |     30315 | PA      | $31501.76     | 0.00%             | 2035-01-25      | Fixed         | 8.50%                 | 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        |   1521554 | PA      | $1410280.26   | 0.09%             | 2052-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375X8F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453902 | PA      | $453955.60    | 0.03%             | 2038-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376CAC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762079 | PA      | $767011.08    | 0.05%             | 2039-08-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377YXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226085 | PA      | $223284.44    | 0.01%             | 2041-10-16      | Floating      | 4.66%                 | 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      | $94595.32     | 0.01%             | 2047-11-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379FWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80670 | PA      | $52882.59     | 0.00%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379JAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    757118 | PA      | $688234.68    | 0.04%             | 2044-11-16      | Fixed         | 3.00%                 | 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      | $44356.19     | 0.00%             | 2045-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380WRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    868014 | PA      | $839676.76    | 0.05%             | 2048-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2677683 | PA      | $2622808.17   | 0.16%             | 2048-06-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531516 | PA      | $500558.26    | 0.03%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321073 | PA      | $314143.14    | 0.02%             | 2049-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TF83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9011759 | PA      | $8943152.49   | 0.56%             | 2039-09-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WH50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1846113 | PA      | $1818441.26   | 0.11%             | 2049-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YWM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2557177 | PA      | $2505861.42   | 0.16%             | 2052-09-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203026 | PA      | $202686.20    | 0.01%             | 2054-03-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384WTH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383390 | PA      | $383324.31    | 0.02%             | 2054-09-20      | Floating      | 5.54%                 | 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        |    146297 | PA      | $149196.52    | 0.01%             | 2035-03-19      | Floating      | 4.79%                 | 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        |   1556901 | PA      | $663568.29    | 0.04%             | 2036-02-19      | Floating      | 4.81%                 | 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        |   1631068 | PA      | $1461424.07   | 0.09%             | 2036-12-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3018658 | PA      | $2601220.87   | 0.16%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM3                                           | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468274 | PA      | $410407.54    | 0.03%             | 2056-11-25      | Variable      | 1.59%                 | 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        |    399917 | PA      | $409802.73    | 0.03%             | 2032-12-25      | Floating      | 6.45%                 | 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      | $483959.87    | 0.03%             | 2035-03-25      | Floating      | 5.85%                 | 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        |    290323 | PA      | $226128.99    | 0.01%             | 2037-03-25      | Variable      | 4.11%                 | 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      | $13710.35     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | 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        |    162409 | PA      | $163219.28    | 0.01%             | 2046-05-25      | Floating      | 4.51%                 | 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        |     23493 | PA      | $23050.18     | 0.00%             | 2037-08-25      | Floating      | 4.77%                 | 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        |    539589 | PA      | $477629.31    | 0.03%             | 2035-05-25      | Fixed         | 6.00%                 | 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        |      9541 | PA      | $8531.30      | 0.00%             | 2036-06-25      | Variable      | 6.50%                 | 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        |    741157 | PA      | $684171.14    | 0.04%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-10R                                           | CUSIP: 65541BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341040 | PA      | $1097021.48   | 0.07%             | 2036-12-25      | Variable      | 0.00%                 | 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        |    233875 | PA      | $172836.19    | 0.01%             | 2037-06-25      | Floating      | 4.87%                 | 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        |    675980 | PA      | $496005.13    | 0.03%             | 2036-07-25      | Floating      | 4.92%                 | 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      | $392964.86    | 0.02%             | 2033-10-25      | Floating      | 6.97%                 | 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      | $699470.73    | 0.04%             | 2046-05-25      | Floating      | 4.69%                 | 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        |  11443587 | PA      | $9497067.10   | 0.60%             | 2036-08-25      | Floating      | 4.69%                 | 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      | $451684.27    | 0.03%             | 2036-07-25      | Floating      | 2.83%                 | 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        |   7041921 | PA      | $7136132.04   | 0.45%             | 2050-07-01      | Fixed         | 5.00%                 | 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      | $957719.15    | 0.06%             | 2047-06-25      | Variable      | 4.38%                 | 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        |   1003406 | PA      | $862610.43    | 0.05%             | 2037-03-25      | Fixed         | 6.00%                 | 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      | $183991.36    | 0.01%             | 2025-12-10      | Variable      | 7.18%                 | 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        |    400871 | PA      | $349550.60    | 0.02%             | 2035-08-25      | Variable      | 3.59%                 | 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        |   1449773 | PA      | $1256668.86   | 0.08%             | 2035-08-25      | Floating      | 5.50%                 | 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      | $66359.35     | 0.00%             | 2032-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-3                                                    | CUSIP: 16165AAB0<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |  10646488 | PA      | $3190417.10   | 0.20%             | 2037-07-25      | Floating      | 4.90%                 | 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        |   2484178 | PA      | $2093603.87   | 0.13%             | 2035-10-25      | Variable      | 3.82%                 | 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        |    135352 | PA      | $125971.31    | 0.01%             | 2034-03-25      | Variable      | 6.75%                 | 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        |   1984005 | PA      | $1088722.82   | 0.07%             | 2037-04-25      | Variable      | 6.10%                 | No            |                  3 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    971191 | PA      | $977883.92    | 0.06%             | 2031-03-01      | Variable      | 7.69%                 | 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      | $2317513.25   | 0.15%             | 2033-09-01      | Variable      | 8.59%                 | 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        |   4574287 | PA      | $2383674.90   | 0.15%             | 2045-09-19      | Floating      | 4.91%                 | 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        |     85066 | PA      | $70690.76     | 0.00%             | 2037-03-19      | Floating      | 4.39%                 | 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        |   1921199 | PA      | $1778534.99   | 0.11%             | 2036-04-15      | Floating      | 4.61%                 | 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        |   3172912 | PA      | $2838718.55   | 0.18%             | 2036-04-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0NR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148772 | PA      | $148697.45    | 0.01%             | 2036-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2D59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101706 | PA      | $81449.10     | 0.01%             | 2041-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203214 | PA      | $129193.89    | 0.01%             | 2042-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1A20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3756216 | PA      | $3646456.14   | 0.23%             | 2048-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781731 | PA      | $756263.04    | 0.05%             | 2048-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3GA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566953 | PA      | $3458092.77   | 0.22%             | 2048-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8969 | PA      | $8945.43      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | 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        |    117177 | PA      | $125146.22    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249301 | PA      | $248476.90    | 0.02%             | 2034-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77787 | PA      | $76999.74     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63003 | PA      | $62390.49     | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24705 | PA      | $24470.10     | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238695 | PA      | $237817.14    | 0.01%             | 2037-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2090846 | PA      | $2110352.46   | 0.13%             | 2036-08-27      | Floating      | 4.62%                 | 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        |    293548 | PA      | $268263.89    | 0.02%             | 2037-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2143824 | PA      | $2125448.19   | 0.13%             | 2041-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416251 | PA      | $417547.07    | 0.03%             | 2040-01-25      | Floating      | 5.22%                 | 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      | $29912.74     | 0.00%             | 2036-11-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    678636 | PA      | $685624.34    | 0.04%             | 2026-11-15      | Variable      | 7.95%                 | 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        |    519900 | PA      | $373388.70    | 0.02%             | 2036-06-25      | Variable      | 4.26%                 | 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        |   5436131 | PA      | $1388534.10   | 0.09%             | 2046-09-25      | Variable      | 6.58%                 | 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      | $112096.06    | 0.01%             | 2037-04-25      | Floating      | 4.91%                 | 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      | $298091.38    | 0.02%             | 2037-10-25      | Variable      | 4.40%                 | 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        |    956915 | PA      | $848294.73    | 0.05%             | 2037-06-25      | Variable      | 6.02%                 | 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        |   4159730 | PA      | $1909432.21   | 0.12%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20462 | PA      | $19688.99     | 0.00%             | 2027-05-15      | Fixed         | 7.45%                 | 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        |   1289835 | PA      | $571567.46    | 0.04%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust  | Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1   | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98477 | PA      | $98123.43     | 0.01%             | 2034-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.          | TRK 2022-INV1 Trust                                                              | CUSIP: 872635AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58256 | PA      | $54655.33     | 0.00%             | 2057-02-25      | Variable      | 2.58%                 | 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        |     95019 | PA      | $93013.34     | 0.01%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24997213.50  | 1.57%             | 2025-10-02      | Fixed         | 0.00%                 | 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        |     25515 | PA      | $23391.49     | 0.00%             | 2035-10-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR12 Trust                   | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46108 | PA      | $42270.97     | 0.00%             | 2035-10-25      | Variable      | 4.55%                 | 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        |    374081 | PA      | $334282.10    | 0.02%             | 2046-01-25      | Floating      | 5.22%                 | 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        |    922011 | PA      | $834235.35    | 0.05%             | 2036-03-25      | Variable      | 4.58%                 | 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        |    722758 | PA      | $645702.36    | 0.04%             | 2046-11-25      | Floating      | 5.65%                 | 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        |    817850 | PA      | $806233.86    | 0.05%             | 2035-03-25      | Fixed         | 5.50%                 | 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        |    172057 | PA      | $151931.80    | 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 2005-10 Trust  | CUSIP: 93934FGL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294492 | PA      | $274192.36    | 0.02%             | 2035-12-25      | 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        |   3369194 | PA      | $660250.12    | 0.04%             | 2037-04-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** Advisor Managed Portfolios

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

**Name of Signer:** Advisor Managed Portfolios

**Title:** Treasurer and Principal Financial Officer