# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0000910472-25-003967
**Filing Date:** 2025-11
**Character Count:** 134201
**Document Hash:** 6d4fa948121ad1bb3bfbd49e55174c46
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-25-003967.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000910472-25-003967

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20250930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 251517359

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $113283886.67

**Total Liabilities:** $534650.84

**Net Assets:** $112749235.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2.62780000 | **1-Year:** 209.54217200 | **5-Year:** 959.32494700 | **10-Year:** 634.05252500 | **30-Year:** 0.00000000

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

- **3-Month:** 322.67229400 | **1-Year:** 2709.66621200 | **5-Year:** 11562.90485000 | **10-Year:** 28322.27734500 | **30-Year:** 3344.71602000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000159221 | -1.70%               | 0.80%                | 1.17%                |
| Class ID C000159222 | -1.60%               | 0.88%                | 1.25%                |
| Class ID C000159220 | -1.62%               | 0.86%                | 1.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1015387.47             | $-1110546.30                               |
| Month 2  | $-147135.67              | $535250.03                                 |
| Month 3  | $35571.36                | $1689916.70                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2004-AR7 CB1   | CUSIP: 22541SSC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607236 | PA      | $563308.77    | 0.50%             | 2034-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2018-64 SE      | CUSIP: 3136B23K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1537470 | PA      | $205206.72    | 0.18%             | 2048-09-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| First American Funds Inc.                                                                       | FRST AM-GV OB-X     | CUSIP: 31846V336<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |     73106 | PA      | $73106.47     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-J2 B1    | CUSIP: 12669E4F0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     74601 | PA      | $69542.58     | 0.06%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-90 SA      | CUSIP: 3136A7RN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    880178 | PA      | $96519.62     | 0.09%             | 2042-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH7 1A2   | CUSIP: 75115LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511313 | PA      | $491774.74    | 0.44%             | 2037-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC5 B    | CUSIP: 07384YMG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20322 | PA      | $36858.06     | 0.03%             | 2033-10-25      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006 QS16 Trust                                                                     | RALI 2006-QS16 A10  | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224658 | PA      | $179372.00    | 0.16%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                   | SBM7 1997-LB6 B2    | CUSIP: 79548KYB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143937 | PA      | $27038.40     | 0.02%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C30 E    | CUSIP: 61766NAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3976000 | PA      | $2611776.75   | 2.32%             | 2049-09-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                                   | NHEL 2004-3 B1      | CUSIP: 66987XFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329739 | PA      | $289286.64    | 0.26%             | 2034-12-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR2 2A1B  | CUSIP: 45660LCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187949 | PA      | $129215.20    | 0.11%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2004-D MV2     | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23230 | PA      | $22664.94     | 0.02%             | 2034-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M2     | CUSIP: 004421EX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13522 | PA      | $12373.68     | 0.01%             | 2034-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2007-4A A2     | CUSIP: 07326BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1003871 | PA      | $1548213.89   | 1.37%             | 2037-09-25      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MOR                                                                  | SASC 2005-S1 M4     | CUSIP: 86359B4F5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14757000 | PA      | $93249.93     | 0.08%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2003-NC10 B2   | CUSIP: 61746REB3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    732186 | PA      | $810730.42    | 0.72%             | 2033-10-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-1 MV2      | CUSIP: 126670TX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1891677 | PA      | $1760734.46   | 1.56%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-36XS M1   | CUSIP: 86359BAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230308 | PA      | $207266.74    | 0.18%             | 2033-11-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2005-5 1A3    | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40751 | PA      | $75873.81     | 0.07%             | 2035-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2017-68 SN      | CUSIP: 3136AXM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2131382 | PA      | $280192.29    | 0.25%             | 2047-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2006-BC1 M4     | CUSIP: 126670XU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2888643 | PA      | $2225845.54   | 1.97%             | 2036-04-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2003-NC1 M4     | CUSIP: 004421CT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131449 | PA      | $115157.34    | 0.10%             | 2033-07-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-WF2 MV6  | CUSIP: 17307GWB0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1361478 | PA      | $1484872.77   | 1.32%             | 2035-08-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2006-AR5 2A1   | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31649 | PA      | $30613.26     | 0.03%             | 2036-05-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-G                                                             | GSMS 2014-GC22 D    | CUSIP: 36253BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $1340680.95   | 1.19%             | 2047-06-10      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R2 1AS    | CUSIP: 12669GN72<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   6399718 | PA      | $288084.59    | 0.26%             | 2035-06-25      | Floating      | 1.28%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                              | SASC 2005-RF4 B1    | CUSIP: 86359DQD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406618 | PA      | $290245.12    | 0.26%             | 2035-07-25      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Gsmps Mtg Ln Trust                                                                              | GSMPS 2003-3 B1     | CUSIP: 36290PAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775167 | PA      | $7.75         | 0.00%             | 2043-06-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC1 B2    | CUSIP: 81375WAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30746 | PA      | $34250.80     | 0.03%             | 2034-02-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A16 A3    | CUSIP: 45660L2V0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267472 | PA      | $104475.22    | 0.09%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2005-RS8 M2    | CUSIP: 76112BZK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107730 | PA      | $107437.81    | 0.10%             | 2035-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB6 B1   | CUSIP: 59020UJF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54765 | PA      | $46617.22     | 0.04%             | 2035-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST                                                                                 | LXS 2006-18N A5A    | CUSIP: 52522GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085906 | PA      | $30161.24     | 0.03%             | 2036-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mtg Sec                                                                                | CMSI 2007-7 APO     | CUSIP: 173104AH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31662 | PA      | $21557.07     | 0.02%             | 2037-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2003-AR9 CB1   | CUSIP: 22541NR50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73916 | PA      | $71946.70     | 0.06%             | 2033-03-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2003-A1 M2     | CUSIP: 589929E95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27260 | PA      | $28113.95     | 0.02%             | 2032-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2005-IM3 A3     | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14491 | PA      | $15526.76     | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-C M3      | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       325 | PA      | $283.00       | 0.00%             | 2034-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                               | CFAB 2003-3 1M2     | CUSIP: 161546FJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107139 | PA      | $97630.34     | 0.09%             | 2032-05-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                        | WFRBS 2013-C14 E    | CUSIP: 92890PBJ2<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $1104366.90   | 0.98%             | 2046-06-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-R1 1AS    | CUSIP: 12669GWP2<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   5301353 | PA      | $263722.70    | 0.23%             | 2035-03-25      | Floating      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2003-58 M      | CUSIP: 12669E6K7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    169886 | PA      | $163112.12    | 0.14%             | 2034-02-19      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-5 M5     | CUSIP: 64352VEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27635 | PA      | $25296.68     | 0.02%             | 2033-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Mastr Specialized Loan Trust 2006-03                                                            | MASD 2005-2 B       | CUSIP: 576436CK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332556 | PA      | $302253.93    | 0.27%             | 2035-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FNR 2017-14 DS      | CUSIP: 3136AVWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2042118 | PA      | $259359.58    | 0.23%             | 2047-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2005-1 B3      | CUSIP: 805564RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948250 | PA      | $57934.97     | 0.05%             | 2035-05-25      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC4 M4    | CUSIP: 86358EBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145759 | PA      | $133739.30    | 0.12%             | 2033-06-25      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                                  | FHLT 2004-B M6      | CUSIP: 35729PDV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54487 | PA      | $50706.59     | 0.04%             | 2034-05-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                                                | GECMS 1999-HE2 B1   | CUSIP: 36157R3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20170 | PA      | $8025.05      | 0.01%             | 2029-07-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2006-HF1 M1    | CUSIP: 881561R63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $147086.94    | 0.13%             | 2037-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-S3 1A12  | CUSIP: 46629AAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129289 | PA      | $41636.86     | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 1999-2 AF2    | CUSIP: 07383GAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8538 | PA      | $8550.81      | 0.01%             | 2029-10-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST                                                                        | DSLA 2005-AR1 2A2   | CUSIP: 23332UCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        19 | PA      | $0.00         | 0.00%             | 2045-02-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT1 M6   | CUSIP: 04542BFF4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    176034 | PA      | $165316.89    | 0.15%             | 2032-12-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AR8 2A1A | CUSIP: 17313FAR3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     32900 | PA      | $29365.68     | 0.03%             | 2037-07-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INABS 2005-D M1     | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132887 | PA      | $125829.99    | 0.11%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                                     | DELHE 1999-3 M1     | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85428 | PA      | $55311.66     | 0.05%             | 2030-01-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                                  | WFCM 2013-LC12 D    | CUSIP: 94988QAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4892000 | PA      | $2970552.04   | 2.63%             | 2046-07-15      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                           | ARMT 2005-4 3A1     | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31568 | PA      | $31356.74     | 0.03%             | 2035-08-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                                     | CSFB 2004-7 DB1     | CUSIP: 2254W0KJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439315 | PA      | $279880.11    | 0.25%             | 2034-11-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST                                                                            | PRIME 2006-1 1A1    | CUSIP: 74161BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       589 | PA      | $0.06         | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2007-SD2 1A2A | CUSIP: 07386UAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58170 | PA      | $57087.58     | 0.05%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                       | ABFC 2004-OPT3 M1   | CUSIP: 04542BGV8<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |     53363 | PA      | $53387.37     | 0.05%             | 2033-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                                                              | WIMLT 1997-2 M2     | CUSIP: 971885AN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6703 | PA      | $6677.31      | 0.01%             | 2028-05-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 XIO     | CUSIP: 06050AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303835 | PA      | $60900.83     | 0.05%             | 2046-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equifirst Loan Sec                                                                              | EQLS 2007-1 M1      | CUSIP: 29445UAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373819 | PA      | $1261824.08   | 1.12%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-5 B      | CUSIP: 64352VEN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1579466 | PA      | $1378794.80   | 1.22%             | 2033-11-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2003-FFH1 M2   | CUSIP: 32027NEE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894385 | PA      | $783245.59    | 0.69%             | 2033-09-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AMC2 A3A | CUSIP: 17311XAA3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     68929 | PA      | $50816.60     | 0.05%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QO1 A3    | CUSIP: 761118EQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3069648 | PA      | $1217300.04   | 1.08%             | 2035-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2003-FM1 M6     | CUSIP: 004421BW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338700 | PA      | $297489.04    | 0.26%             | 2032-11-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                                 | MLCC 2007-3 M1      | CUSIP: 59022XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259271 | PA      | $97869.48     | 0.09%             | 2037-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                                                | INDA 2006-AR3 1A1   | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62725 | PA      | $47957.03     | 0.04%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-3 M6     | CUSIP: 64352VDE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174454 | PA      | $182759.34    | 0.16%             | 2033-07-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M4   | CUSIP: 07384YPE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86246 | PA      | $85311.69     | 0.08%             | 2034-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Amer Hm Mtg Ast Tr                                                                              | AHMA 2007-5 A1      | CUSIP: 026936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119580 | PA      | $113796.49    | 0.10%             | 2047-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES                                                                  | AMSI 2003-AR2 M2    | CUSIP: 03072SGY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6850000 | PA      | $380.86       | 0.00%             | 2033-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                             | CMALT 2007-A1 1A1   | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52083 | PA      | $47146.52     | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS F      | CUSIP: 40390AAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $6425.20      | 0.01%             | 2031-07-05      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                              | GSR 2006-9F 6A1     | CUSIP: 3622X7AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1041104 | PA      | $70862.65     | 0.06%             | 2036-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A3     | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435494 | PA      | $38812.09     | 0.03%             | 2036-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-6 IO       | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3947488 | PA      | $54726.79     | 0.05%             | 2051-02-16      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M6   | CUSIP: 07384YRD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514705 | PA      | $490686.86    | 0.44%             | 2034-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OC6 2A2A | CUSIP: 23243DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27900000 | PA      | $127488.77    | 0.11%             | 2036-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | HEAT 2002-2 M2      | CUSIP: 22541NCV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165053 | PA      | $156129.02    | 0.14%             | 2032-06-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2006-HY10 2A1 | CUSIP: 12668BUH4<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    111766 | PA      | $106445.13    | 0.09%             | 2036-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2005-HE2 M5   | CUSIP: 04541GQF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    791278 | PA      | $864109.86    | 0.77%             | 2035-02-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                                             | NCMT 2007-1 M2      | CUSIP: 65106FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1197140 | PA      | $1836834.73   | 1.63%             | 2037-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2003-RS7 MII3  | CUSIP: 760985YE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358780 | PA      | $290838.87    | 0.26%             | 2033-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-1 1A4      | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138587 | PA      | $109884.95    | 0.10%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2015-122 IO     | CUSIP: 38379KE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    245245 | PA      | $27.20        | 0.00%             | 2057-05-16      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-7SL B3    | CUSIP: 881561CV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13481 | PA      | $13027.64     | 0.01%             | 2033-12-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-5SL B3    | CUSIP: 881561BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14542 | PA      | $12164.14     | 0.01%             | 2034-10-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2005-2                                                      | AHMA 2006-2 1A1     | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160394 | PA      | $147448.12    | 0.13%             | 2046-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                             | SVHE 2004-WMC1 M4   | CUSIP: 83611MBY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28188 | PA      | $23308.59     | 0.02%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-32CB A8  | CUSIP: 02147XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1537387 | PA      | $152137.52    | 0.13%             | 2036-11-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS E      | CUSIP: 40390AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8113000 | PA      | $731818.56    | 0.65%             | 2031-07-05      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 7A1   | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5428 | PA      | $5460.02      | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE6 M5   | CUSIP: 073879CY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112763 | PA      | $120573.25    | 0.11%             | 2034-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                                   | DBALT 2007-OA5 A3   | CUSIP: 25150XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961466 | PA      | $734876.56    | 0.65%             | 2047-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                           | TMTS 2003-2HE B     | CUSIP: 881561AU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177562 | PA      | $204748.56    | 0.18%             | 2034-07-25      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| UCFC Acceptance Corp Series 1998-D                                                              | UCFC 1998-D MF2     | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010254 | PA      | $985985.86    | 0.87%             | 2030-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB1 A31 | CUSIP: 17307GDL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     12427 | PA      | $12454.09     | 0.01%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-FR2 M6   | CUSIP: 073879FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328865 | PA      | $303533.22    | 0.27%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLCC 2003-G XA2     | CUSIP: 5899295Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811494 | PA      | $8924.14      | 0.01%             | 2029-01-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | HEAT 2003-8 M3      | CUSIP: 22541QY55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135035 | PA      | $134431.30    | 0.12%             | 2034-04-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                                                 | HMH 2017-NSS A      | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $765212.67    | 0.68%             | 2031-07-05      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2004-2 MV3     | CUSIP: 805564QM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52691 | PA      | $56167.80     | 0.05%             | 2035-08-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2003-4CB B1   | CUSIP: 12669DN79<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    135220 | PA      | $82722.49     | 0.07%             | 2033-04-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                              | RAMC 2003-2 M2A     | CUSIP: 759950AZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260668 | PA      | $221884.98    | 0.20%             | 2033-08-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Indymac Indx 07-Fl                                                                              | INDX 2007-FLX3 A2   | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100232 | PA      | $1330562.09   | 1.18%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust 2002-B                                                                  | EMCM 2002-AA M2     | CUSIP: 268668AS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465311 | PA      | $453227.11    | 0.40%             | 2039-05-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-23                                                   | CWL 2006-23 1A      | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81571 | PA      | $78061.26     | 0.07%             | 2037-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                         | SAMI 2005-AR5 X2    | CUSIP: 86359LPH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    828446 | PA      | $17983.75     | 0.02%             | 2035-07-19      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-3 2A2B   | CUSIP: 17307GTK4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     88363 | PA      | $79342.05     | 0.07%             | 2035-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2005-A1 IB2   | CUSIP: 466247MC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957411 | PA      | $938977.33    | 0.83%             | 2035-02-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2003-2F 2A5     | CUSIP: 36228FMW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    155788 | PA      | $159501.10    | 0.14%             | 2032-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                          | FHR 4796 AS         | CUSIP: 3137FG4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1014108 | PA      | $155048.12    | 0.14%             | 2048-05-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2006-1 X1     | CUSIP: 41161PB36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9712371 | PA      | $97.12        | 0.00%             | 2036-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust 2007-1                                                                 | YMLT 2007-1 A       | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174520 | PA      | $54728.21     | 0.05%             | 2037-06-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Alt 06                                                                                | JPALT 2006-A2 5A1   | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323512 | PA      | $180138.76    | 0.16%             | 2036-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B2   | CUSIP: 17307GET1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    108178 | PA      | $128174.14    | 0.11%             | 2034-03-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-6 2A2    | CUSIP: 07384MW73<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108911 | PA      | $98342.69     | 0.09%             | 2034-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| CWMBS Reperforming Loan Remic Trust Certificates Series 2003-R2                                 | CWHL 2006-R1 AS     | CUSIP: 12669UCQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5466377 | PA      | $204071.88    | 0.18%             | 2036-01-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                             | NAA 2004-AR1 5M1    | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120219 | PA      | $134689.90    | 0.12%             | 2034-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A7 2A2   | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110192 | PA      | $88620.13     | 0.08%             | 2037-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2004-A1 M1     | CUSIP: 59020UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15866 | PA      | $10704.08     | 0.01%             | 2034-02-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                             | SACO 2006-3 A1      | CUSIP: 785778QJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29600 | PA      | $141426.15    | 0.13%             | 2036-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-9A B1II   | CUSIP: 86359ARN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137168 | PA      | $128477.53    | 0.11%             | 2033-03-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                 | LXS 2007-16N 2A2    | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99833 | PA      | $91207.99     | 0.08%             | 2047-09-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                                | MSAC 2004-NC7 M4    | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |      5039 | PA      | $6319.05      | 0.01%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2003-A M2      | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43883 | PA      | $43537.17     | 0.04%             | 2033-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LOAN                                                                  | GMACM 2006-HE1 A    | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 140883114 | PA      | $112706.49    | 0.10%             | 2036-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                            | CSFB 2002-HE16 M2   | CUSIP: 22540V2M3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76463 | PA      | $81638.50     | 0.07%             | 2032-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Peoples Choice Home Loan Securities Trust Series 2005-4                                         | PCHLT 2004-2 M5     | CUSIP: 71085PAZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1308757 | PA      | $852299.23    | 0.76%             | 2034-10-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Coml Tr 2016-C36                                                                    | WFCM 2016-C36 D     | CUSIP: 95000MAC5<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1893497.50   | 1.68%             | 2059-11-15      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2002-AL1 A2    | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13445 | PA      | $11451.06     | 0.01%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XBI | CUSIP: 02146QAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19044008 | PA      | $51458.82     | 0.05%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAMP 2004-SL1 MI6   | CUSIP: 760985Z95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6258 | PA      | $6189.80      | 0.01%             | 2031-10-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                                             | JPMBB 2015-C28 E    | CUSIP: 46644FAZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $810709.10    | 0.72%             | 2048-10-15      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-AC5 A2   | CUSIP: 073879GN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21379 | PA      | $19193.86     | 0.02%             | 2034-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                           | LMT 2005-3 2A7      | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30957 | PA      | $26300.77     | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                          | BOAA 2006-8 1A5     | CUSIP: 06050AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137949 | PA      | $29615.47     | 0.03%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-C M2      | CUSIP: 05946XUF8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1652244 | PA      | $1082846.95   | 0.96%             | 2035-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FNR 2017-16 CS      | CUSIP: 3136AVA82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3145484 | PA      | $422491.67    | 0.37%             | 2047-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE9 M4   | CUSIP: 073879KF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376533 | PA      | $445519.51    | 0.40%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                                | MSAC 2005-WMC4 M6   | CUSIP: 61744CRF5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    130211 | PA      | $122597.39    | 0.11%             | 2035-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B4   | CUSIP: 17307GEV6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    247675 | PA      | $306196.14    | 0.27%             | 2034-03-25      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7        | AMSI 2005-R11 M6    | CUSIP: 03072SV69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1814495 | PA      | $1977040.62   | 1.75%             | 2036-01-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk6                                                                                  | BANK 2017-BNK6 XG   | CUSIP: 060352AT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9586170 | PA      | $196178.08    | 0.17%             | 2060-07-15      | Floating      | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                              | MSBAM 2016-C29 E    | CUSIP: 61766EAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $1336284.63   | 1.19%             | 2049-05-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                        | JPMMT 2006-A6 3A2   | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44553 | PA      | $24753.50     | 0.02%             | 2036-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2003-AL1 B1    | CUSIP: 86359AMH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210443 | PA      | $135174.14    | 0.12%             | 2031-04-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNR 2012-144 SH     | CUSIP: 3136ABJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3425880 | PA      | $467469.58    | 0.41%             | 2043-01-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                         | CCMFC 2007-2A A2    | CUSIP: 16679BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369561 | PA      | $257904.95    | 0.23%             | 2048-05-25      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4583 ST         | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    166017 | PA      | $18403.59     | 0.02%             | 2046-05-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                    | CHASE 2007-A1 5A2   | CUSIP: 161630AR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19273 | PA      | $18231.10     | 0.02%             | 2037-02-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE3 M6   | CUSIP: 04541GJY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41668 | PA      | $53392.11     | 0.05%             | 2034-06-25      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                              | BSMF 2007-SL1 1A    | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15975 | PA      | $21569.05     | 0.02%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar5                                                    | BSMF 2006-AR5 1A2   | CUSIP: 07401NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2315907 | PA      | $2214182.32   | 1.96%             | 2046-12-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2006-AR1 2A1  | CUSIP: 17307G3C0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     36776 | PA      | $37162.27     | 0.03%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                                | BCM 2001-A M2       | CUSIP: 09774XBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272042 | PA      | $210362.24    | 0.19%             | 2030-12-15      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2005-HE4 M5   | CUSIP: 17307GQ27<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   4678905 | PA      | $2523686.03   | 2.24%             | 2035-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4718 SC         | CUSIP: 3137FAT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3093260 | PA      | $434120.52    | 0.39%             | 2047-09-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M3     | CUSIP: 68389FEU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202353 | PA      | $173505.70    | 0.15%             | 2034-01-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4685 SA         | CUSIP: 3137BXSJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1399516 | PA      | $197595.05    | 0.18%             | 2047-05-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mort                                                                               | SAMI 2007-AR6 A2    | CUSIP: 86364RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    987042 | PA      | $1483359.58   | 1.32%             | 2047-08-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 E     | CUSIP: 94989DAJ8<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1666666 | PA      | $797193.01    | 0.71%             | 2048-02-15      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Trust                                                                                    | CBASS 2002-CB5 M2   | CUSIP: 12489WFT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68001 | PA      | $76237.01     | 0.07%             | 2032-05-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC4 M1   | CUSIP: 07384YKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171047 | PA      | $149975.89    | 0.13%             | 2033-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M2   | CUSIP: 073879CD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60479 | PA      | $56180.54     | 0.05%             | 2034-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 M3     | CUSIP: 00764MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372476 | PA      | $208032.24    | 0.18%             | 2034-04-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M5     | CUSIP: 004421FA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245351 | PA      | $209420.37    | 0.19%             | 2034-04-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                                                         | CCMFC 2004-2A A2    | CUSIP: 16678RBD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28482 | PA      | $28023.49     | 0.02%             | 2035-05-25      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018 C5                                                     | CGCMT 2015-GC35 D   | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $2021676.62   | 1.79%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Trust                                                                     | BOAMS 2007-1 2IO    | CUSIP: 05952HCP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431250 | PA      | $79058.53     | 0.07%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                   | CWL 2005-1 MF4      | CUSIP: 126673WH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132574 | PA      | $112021.39    | 0.10%             | 2035-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                 | IMM 2004-4 1M6      | CUSIP: 45254NJA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6227 | PA      | $6213.59      | 0.01%             | 2034-09-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                                | GSR 2006-AR2 1B2    | CUSIP: 36297TAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14024 | PA      | $3303.33      | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust 2006 1                                                                  | HMBT 2005-1 B1      | CUSIP: 43739EAT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245314 | PA      | $158261.77    | 0.14%             | 2035-03-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                                | MSAC 2003-NC8 B1    | CUSIP: 61746RDQ1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    342802 | PA      | $344681.58    | 0.31%             | 2033-09-25      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust Series 2006-A4                                              | CMALT 2007-A6 1A2   | CUSIP: 18976GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2445991 | PA      | $184170.65    | 0.16%             | 2037-06-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC2 A2    | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22777 | PA      | $24732.75     | 0.02%             | 2033-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | SASC 2001-SB1 A5    | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7978 | PA      | $5665.12      | 0.01%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2003-BC8 M2    | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68262 | PA      | $63749.96     | 0.06%             | 2033-08-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Wmalt Series 2006-6 Trust                  | WMALT 2007-1 1A3    | CUSIP: 93935PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984184 | PA      | $668773.13    | 0.59%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2004-1 M2      | CUSIP: 45254TPB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730621 | PA      | $400748.97    | 0.36%             | 2034-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                                   | CNF 2001-2 M1       | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055546 | PA      | $1091760.34   | 0.97%             | 2031-03-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2003-BC2 B1    | CUSIP: 84751PAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166394 | PA      | $185423.02    | 0.16%             | 2034-06-25      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Saco I Inc                                                                                      | SACO 1999-3 1B1     | CUSIP: 78386NBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133278 | PA      | $131568.50    | 0.12%             | 2039-04-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3            | AABST 2004-1 B1     | CUSIP: 00764MBG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157652 | PA      | $4504.81      | 0.00%             | 2034-04-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-OPT2 M4   | CUSIP: 57643LEZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24381 | PA      | $19627.26     | 0.02%             | 2034-09-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                            | BAYV 2005-C B2      | CUSIP: 07325NBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430000 | PA      | $2132433.62   | 1.89%             | 2044-06-28      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust Series 2006-1F                                                  | STALT 2006-1F 1A4   | CUSIP: 86800RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446124 | PA      | $149361.54    | 0.13%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wilshire Mtg Ln Tr                                                                              | WIMLT 1997-2 A7     | CUSIP: 971885AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33588 | PA      | $33448.00     | 0.03%             | 2028-03-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC D    | CUSIP: 46649GAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000 | PA      | $850.50       | 0.00%             | 2031-04-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                            | JPMCC 2018-PTC C    | CUSIP: 46649GAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64000 | PA      | $3366.72      | 0.00%             | 2031-04-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                                       | SAMI 2006-AR7 A10   | CUSIP: 86361HAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $690.42       | 0.00%             | 2036-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-5 A6     | CUSIP: 449670EY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        38 | PA      | $37.52        | 0.00%             | 2037-03-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                                | EQABS 2004-3 M3     | CUSIP: 294751FB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457005 | PA      | $347194.51    | 0.31%             | 2034-07-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2007-4 22A1   | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64288 | PA      | $56632.99     | 0.05%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2003-FF4 M2    | CUSIP: 32027NDV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283821 | PA      | $264985.71    | 0.24%             | 2033-10-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| CitiCorp Residential Mortgage Trust Series 2007 1                                               | CRMSI 2006-2 M3     | CUSIP: 17310EAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359275 | PA      | $1392435.78   | 1.23%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                             | CWALT 2005-22T1 A2  | CUSIP: 12667GGP2<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    333471 | PA      | $24193.14     | 0.02%             | 2035-06-25      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                                | SAIL 2004-9 M6      | CUSIP: 86358EMY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116646 | PA      | $118795.23    | 0.11%             | 2034-10-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A2    | CUSIP: 12669GUS8<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    195349 | PA      | $143379.61    | 0.13%             | 2035-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSAMP 2004-OPT B2   | CUSIP: 36242DNY5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    166297 | PA      | $134686.31    | 0.12%             | 2034-11-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                                                              | BSMF 2007-AR3 1A2   | CUSIP: 07401VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1662396 | PA      | $1682680.02   | 1.49%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 1999-2 MF1    | CUSIP: 07383GAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115616 | PA      | $162018.46    | 0.14%             | 2029-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| CBA Commercial Assets Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2 | CBAC 2006-2A A      | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405303 | PA      | $405613.48    | 0.36%             | 2039-01-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                              | IMCHE 1998-1 M1     | CUSIP: 449670ED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453975 | PA      | $452668.59    | 0.40%             | 2029-06-20      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2005-AR4 2A1A  | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  57035000 | PA      | $11407.00     | 0.01%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                              | CMSI 2006-4 1A12    | CUSIP: 17310DAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54441 | PA      | $20556.93     | 0.02%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-14 A3     | CUSIP: 12669GK75<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    211880 | PA      | $77518.84     | 0.07%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                                    | ABSHE 2004-HE9 M2   | CUSIP: 04541GNB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302146 | PA      | $268979.93    | 0.24%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                                    | PBHET 1999-3 A2     | CUSIP: 743844CV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146112 | PA      | $134398.69    | 0.12%             | 2031-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-1A M4     | CUSIP: 07324SDK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6765 | PA      | $6280.53      | 0.01%             | 2036-04-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                                      | ACE 2004-OP1 M4     | CUSIP: 004421EZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80583 | PA      | $70217.87     | 0.06%             | 2034-04-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                                    | MALT 2006-2 2A1     | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283071 | PA      | $25555.77     | 0.02%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2003-QS9 A2    | CUSIP: 76110HCB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        58 | PA      | $0.01         | 0.00%             | 2030-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                                                | HELT 2007-FRE1 M1   | CUSIP: 43710XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3349067 | PA      | $3282382.17   | 2.91%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RAMP Series 2007 RS2 Trust                                                                      | RAMP 2007-RS2 A3    | CUSIP: 75157DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168101 | PA      | $152758.82    | 0.14%             | 2037-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWALT 2006-OA2 X1P  | CUSIP: 126694Z68<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |  32144365 | PA      | $251896.10    | 0.22%             | 2046-05-20      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2012-72 IO      | CUSIP: 38378BVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    385448 | PA      | $1474.57      | 0.00%             | 2052-11-16      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE2 M4   | CUSIP: 07384YRB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9927 | PA      | $11185.65     | 0.01%             | 2034-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | MLMI 2005-WMC1 M2   | CUSIP: 59020UQW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2920 | PA      | $2879.86      | 0.00%             | 2035-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                            | WAMU 2005-AR15 X    | CUSIP: 92922F6D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18940632 | PA      | $46540.92     | 0.04%             | 2045-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ownit Mortgage Loan Trust 2004-1                                                                | OWNIT 2004-1 B2     | CUSIP: 691215AH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    938760 | PA      | $1085665.70   | 0.96%             | 2035-07-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                               | INHEL 2003-A MF1    | CUSIP: 456606DX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103790 | PA      | $211032.62    | 0.19%             | 2033-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                                    | CWALT 2006-J5 1A4   | CUSIP: 12668EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131217 | PA      | $64926.81     | 0.06%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                         | HEAT 2004-6 M5      | CUSIP: 437084EX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215407 | PA      | $216921.51    | 0.19%             | 2034-12-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4416 DS         | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2844965 | PA      | $347909.94    | 0.31%             | 2044-12-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs7 Trust                                                                      | RALI 2006-QS7 A4    | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110118 | PA      | $79721.52     | 0.07%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                                                  | CARR 2005-FRE1 M4   | CUSIP: 144531EJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5417441 | PA      | $2817435.61   | 2.50%             | 2035-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                               | ARC 2001-BC5 M1     | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164702 | PA      | $177387.38    | 0.16%             | 2031-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Bear Strn 2007-Ar3                                                                              | BSMF 2007-AR3 21A2  | CUSIP: 07401VAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429430 | PA      | $1446749.16   | 1.28%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-OPX1 A4B | CUSIP: 17311FAG9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    297497 | PA      | $94813.00     | 0.08%             | 2037-01-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                           | ARMT 2007-1 5A1     | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1382030 | PA      | $1714270.70   | 1.52%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Renaissance Mortgage Acceptance Corp.                                                           | RAMC 2002-3 B       | CUSIP: 75970NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302745 | PA      | $164740.91    | 0.15%             | 2032-12-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                       | NCHET 2003-2 M2     | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653565 | PA      | $494650.28    | 0.44%             | 2033-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                       | RAAC 2006-SP1 M2    | CUSIP: 76112B3G3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191397 | PA      | $141063.26    | 0.13%             | 2045-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust 2006-M2                                                                 | ARSI 2006-M2 A2C    | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270033 | PA      | $87115.60     | 0.08%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-HE1 M5   | CUSIP: 07384YPF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73148 | PA      | $90006.56     | 0.08%             | 2034-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B3    | CUSIP: 23332UBN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165502 | PA      | $77673.12     | 0.07%             | 2044-07-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-HE1 M6   | CUSIP: 07384YQC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112358 | PA      | $141354.03    | 0.13%             | 2034-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                                | GSR 2006-AR2 2A1    | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82254 | PA      | $49273.10     | 0.04%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                                      | JPMCC 2013-LC11 D   | CUSIP: 46639YAX5<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |   1821000 | PA      | $128830.10    | 0.11%             | 2046-04-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE5 M6   | CUSIP: 073879CH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51739 | PA      | $47101.49     | 0.04%             | 2034-07-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                               | DSLA 2004-AR3 B2    | CUSIP: 23332UBM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9091 | PA      | $7818.73      | 0.01%             | 2035-08-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                | FHR 4238 NS         | CUSIP: 3137B4EB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    498322 | PA      | $57259.43     | 0.05%             | 2042-02-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                                      | GPMF 2006-AR3 3A1   | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8419 | PA      | $8419.00      | 0.01%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                             | SVHE 2007-OPT2 2A3  | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197839 | PA      | $179557.57    | 0.16%             | 2037-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                             | SAST 2007-4 M1      | CUSIP: 80557CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $2934324.00   | 2.60%             | 2037-12-25      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Ar1                                                    | BSMF 2006-AR1 2A2   | CUSIP: 07401LAR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440683 | PA      | $1801477.34   | 1.60%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                         | SABR 2004-NC3 M2    | CUSIP: 81375WCK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142039 | PA      | $148739.88    | 0.13%             | 2034-09-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CBASS 2004-CB3 B3   | CUSIP: 17307GEU8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    145075 | PA      | $263562.14    | 0.23%             | 2034-03-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1                      | IMSA 2002-2 M1      | CUSIP: 45254TLL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250952 | PA      | $121050.90    | 0.11%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2016-C1                                              | JPMBB 2016-C1 E     | CUSIP: 46645LAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3302000 | PA      | $2521404.23   | 2.24%             | 2049-03-15      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2003-AC6 M2   | CUSIP: 07384YNK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29856 | PA      | $20794.63     | 0.02%             | 2033-11-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                          | BSARM 2004-7 1A1    | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33918 | PA      | $25686.39     | 0.02%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting And Residential Finance Trust Series 2006-AB2                            | SURF 2004-BC1 B1    | CUSIP: 84751PCC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511640 | PA      | $548441.68    | 0.49%             | 2035-02-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2007-Ar1                                                    | BSMF 2007-AR1 1A2   | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2167602 | PA      | $2165138.37   | 1.92%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                           | FNW 2003-W1 M       | CUSIP: 31392GWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     96879 | PA      | $84503.96     | 0.07%             | 2042-12-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Cwalt Inc Resecuritization Pass-Through Certificates Series 2008-2R                             | CWALT 2006-22R 2A2  | CUSIP: 02147LAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137364 | PA      | $69243.82     | 0.06%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                                     | RALI 2007-QH5 AI2   | CUSIP: 75116EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  49048800 | PA      | $163190.26    | 0.14%             | 2037-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                              | GSR 2006-4F 4A1     | CUSIP: 362650AN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1739634 | PA      | $242935.77    | 0.22%             | 2036-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-FRE1 M6   | CUSIP: 57643LDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133609 | PA      | $118628.94    | 0.11%             | 2034-07-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-J3 2A1   | CUSIP: 021469AJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294588 | PA      | $269306.65    | 0.24%             | 2025-12-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2007-AHL3 A1  | CUSIP: 17312GAS0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    196788 | PA      | $174122.30    | 0.15%             | 2037-05-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-2 M4     | CUSIP: 68389FFK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471888 | PA      | $511026.91    | 0.45%             | 2034-05-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2007-15 IO      | CUSIP: 38373MYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2585016 | PA      | $9945.08      | 0.01%             | 2047-03-16      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing Contract Trust 2001-A                                               | ORGN 2001-A M1      | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110380 | PA      | $110945.12    | 0.10%             | 2032-03-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE8 M4   | CUSIP: 073879HH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618958 | PA      | $721063.69    | 0.64%             | 2034-09-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA14 X2  | CUSIP: 02146SAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10985983 | PA      | $109.86       | 0.00%             | 2046-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                | CWALT 2006-OA10 XAD | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4432394 | PA      | $9800.47      | 0.01%             | 2046-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                               | AFC 1999-2 1A       | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535504 | PA      | $444528.16    | 0.39%             | 2029-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                                   | SBM7 2002-WMC1 M1   | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37728 | PA      | $37670.73     | 0.03%             | 2032-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                                  | ACCR 2005-4 M3      | CUSIP: 004375EM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114000 | PA      | $93482.64     | 0.08%             | 2035-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                                  | OOMLT 2004-1 M4     | CUSIP: 68389FEV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298286 | PA      | $250351.82    | 0.22%             | 2034-01-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                           | MHL 2005-2 2M2      | CUSIP: 61915RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17980 | PA      | $17079.38     | 0.02%             | 2035-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                  | RALI 2005-QS7 CB    | CUSIP: 761118AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141923 | PA      | $128824.22    | 0.11%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                 | IMM 2005-2 2B       | CUSIP: 45254NNN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16164 | PA      | $16331.08     | 0.01%             | 2035-04-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                         | BAYC 2006-SP2 B1    | CUSIP: 07325KAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826709 | PA      | $1539920.19   | 1.37%             | 2037-01-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                                      | BSABS 2004-SD1 M3   | CUSIP: 07384YSH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22018 | PA      | $0.22         | 0.00%             | 2042-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                        | GNR 2019-111 SK     | CUSIP: 38381YLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8314147 | PA      | $118697.75    | 0.11%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2003-6 B1     | CUSIP: 07386HEM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197285 | PA      | $112660.00    | 0.10%             | 2034-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                                | BALTA 2005-7 25A1   | CUSIP: 07386HVW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205763 | PA      | $63027.33     | 0.06%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                             | GMSL 2005-A B1      | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    529574 | PA      | $487215.70    | 0.43%             | 2032-04-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Starwood Retail Property Trust 2014-Star                                                        | SRPT 2014-STAR A    | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-O            | CORP              | US        |   4467482 | PA      | $2723306.75   | 2.42%             | 2027-11-15      | Floating      | 1.14%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Inc Mortgage Pass-Through Certificates Series 2005-2                                      | CWALT 2006-OA17 2X  | CUSIP: 12668PAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4971836 | PA      | $437118.33    | 0.39%             | 2046-12-20      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                              | CMLTI 2004-HYB2 1A  | CUSIP: 17307GEB0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     18617 | PA      | $18326.64     | 0.02%             | 2034-03-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                   | BAFC 2005-F 1A1     | CUSIP: 05946XYP2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     44362 | PA      | $33827.96     | 0.03%             | 2035-09-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | RAST 2005-A11 1AX   | CUSIP: 45660LB24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11401249 | PA      | $89955.85     | 0.08%             | 2035-10-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Greenpoint 06-Ar8                                                                               | GPMF 2006-AR8 2A    | CUSIP: 39539HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26332087 | PA      | $170924.47    | 0.15%             | 2047-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                             | MABS 2004-OPT2 M8   | CUSIP: 57643LFD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662362 | PA      | $454431.47    | 0.40%             | 2034-09-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Equifirst Mtg Ln T                                                                              | EMLT 2004-3 M9      | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442206 | PA      | $381068.68    | 0.34%             | 2034-12-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-29 2X     | CUSIP: 12669GJD4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   3700584 | PA      | $37.01        | 0.00%             | 2035-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                                   | CXHE 2001-B A5      | CUSIP: 152314DP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245168 | PA      | $170896.51    | 0.15%             | 2032-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-FR3 M5   | CUSIP: 073879KU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912695 | PA      | $964483.84    | 0.86%             | 2034-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                          | CBASS 2004-CB8 M1   | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4182 | PA      | $4162.70      | 0.00%             | 2035-12-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE10 M5  | CUSIP: 073879MV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188378 | PA      | $220628.05    | 0.20%             | 2034-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                                     | FFML 2002-FF4 M1    | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640958 | PA      | $538658.66    | 0.48%             | 2033-02-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2004-25 1A2    | CUSIP: 12669GJZ5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     23070 | PA      | $19387.61     | 0.02%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust 2006 Opt2                                                          | SGMS 2006-OPT2 A3C  | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75541 | PA      | $71468.54     | 0.06%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                               | MASTR 2004-3 4A11   | CUSIP: 55265K8B8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26049 | PA      | $300.53       | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                           | BSABS 2004-HE7 M6   | CUSIP: 073879EZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182516 | PA      | $172510.69    | 0.15%             | 2034-08-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                                  | BCAP 2008-RR3 A1B   | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    564443 | PA      | $163456.61    | 0.14%             | 2036-10-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Coml Mtg Tr 2015-C27                                                                | WFCM 2015-C27 D     | CUSIP: 94989DAG4<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-O            | CORP              | US        |   1631000 | PA      | $880833.29    | 0.78%             | 2048-02-15      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                       | CWHL 2005-11 4A1    | CUSIP: 12669GUR0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     15514 | PA      | $14844.08     | 0.01%             | 2035-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                     | GSR 2004-7 1A2      | CUSIP: 36228F5Q5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      9881 | PA      | $9677.96      | 0.01%             | 2034-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                       | HVMLT 2005-8 1X     | CUSIP: 41161PQX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12154153 | PA      | $121.54       | 0.00%             | 2035-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                                   | GSAA 2006-3 A1      | CUSIP: 362334BQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48131 | PA      | $15883.08     | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                      | INDX 2004-AR9 5M2   | CUSIP: 45660N3Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895011 | PA      | $663710.61    | 0.59%             | 2034-11-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-28

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

**Signature:** James Colantino

**Name of Signer:** James Colantino

**Title:** Treasurer