# EDGAR Filing Document

**Accession Number:** 0000810695
**File Stem:** 0000910472-25-000315
**Filing Date:** 2025-8
**Character Count:** 399582
**Document Hash:** 9270a112d607776ba3c428d0266ccc68
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-25-000315.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0000910472-25-000315

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **CENTRAL INDEX KEY:** 0000810695

**ORGANIZATION NAME:**
- **EIN:** 043023766
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05010
- **FILM NUMBER:** 251266453

**BUSINESS ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES, LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474
- **BUSINESS PHONE:** 800-253-0412

**MAIL ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES, LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HUNTINGTON FUNDS
- **DATE OF NAME CHANGE:** 20040922

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HUNTINGTON FUNDS /MA/
- **DATE OF NAME CHANGE:** 19990106

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MONITOR FUNDS
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Rational Special Situations Income Fund (Series ID: S000065726)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000212569 | Rational Special Situations Income Fund Institutional Shares | RFXIX           |
| C000212570 | Rational Special Situations Income Fund Class A Shares       | RFXAX           |
| C000212571 | Rational Special Situations Income Fund Class C Shares       | RFXCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Mutual Fund & Variable Insurance Trust

- **b. Investment Company Act file number:** 811-05010

- **c. CIK number of Registrant:** 0000810695

- **d. LEI of Registrant:** 5493002ZGLQMLR4QMA96

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

  - **Street Address 1:** 2960 N. MERIDIAN STREET

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

  - **Telephone number:** 800-253-0412

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

- **a. Name of Series:** Rational Special Situations Income Fund

- **b. EDGAR series identifier (if any):** S000065726

- **c. LEI of Series:** 549300LC5CGS20PBIT17

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $1199798142.05

**Total Liabilities:** $1937099.20

**Net Assets:** $1197861042.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 817.44637600 | **1-Year:** 4333.21312500 | **5-Year:** 5781.01619100 | **10-Year:** 4262.52452700 | **30-Year:** 1104.55607500

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

- **3-Month:** 6445.82274300 | **1-Year:** 29322.05716200 | **5-Year:** 49143.76309700 | **10-Year:** 189550.43234900 | **30-Year:** 20493.23086700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212570 | -0.37%               | 0.43%                | 0.46%                |
| Class ID C000212571 | -0.38%               | 0.31%                | 0.40%                |
| Class ID C000212569 | -0.29%               | 0.45%                | 0.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-355227.05              | $-7537895.91                               |
| Month 2  | $-3408053.30             | $4260094.84                                |
| Month 3  | $-773260.84              | $809823.02                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Luminent Mortgage Trust 2006-2                                                           | LUM 2006-7 1A1            | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170261 | PA      | $163995.15    | 0.01%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-S4 CB2          | CUSIP: 9292275R3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055068 | PA      | $469847.67    | 0.04%             | 2033-06-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2003-2 M3           | CUSIP: 542514DW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427286 | PA      | $463465.80    | 0.04%             | 2033-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-HYB2 3A        | CUSIP: 17307GED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86941 | PA      | $75031.12     | 0.01%             | 2034-03-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5DS2         | CUSIP: 92910AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4891149 | PA      | $4687588.16   | 0.39%             | 2036-05-16      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Second Lien Trust 2007 1                                                    | BSSLT 2007-1 3A           | CUSIP: 07401WBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13244 | PA      | $12618.09     | 0.00%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2002-A M1             | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3324434 | PA      | $3346588.87   | 0.28%             | 2032-03-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition Trust 1999 C                                               | BAYV 2004-A B1            | CUSIP: 073249BY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    847783 | PA      | $907641.03    | 0.08%             | 2044-02-28      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-5 2A1           | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547380 | PA      | $481393.20    | 0.04%             | 2035-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-2A B1           | CUSIP: 07324YAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87496 | PA      | $83116.34     | 0.01%             | 2036-07-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A1           | CUSIP: 36297XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113822 | PA      | $274716.00    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Ln                                                                        | GMLT 2004-1 A             | CUSIP: 39538VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1449838 | PA      | $1225339.75   | 0.10%             | 2034-10-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAAC 2006-RP1 M3          | CUSIP: 76112B2X7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5107471 | PA      | $5100235.30   | 0.43%             | 2045-10-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Home Equity 2007-1                                                                       | HEMT 2007-1 A1            | CUSIP: 43710ABB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208992 | PA      | $201392.70    | 0.02%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA3 NB4         | CUSIP: 76110H2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171764 | PA      | $33729.58     | 0.00%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                                          | WFRBS 2014-LC14 D         | CUSIP: 96221TAQ0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-O            | CORP              | US        |   1362632 | PA      | $1313160.46   | 0.11%             | 2047-03-15      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-9 A2             | CUSIP: 36228FWS1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    119253 | PA      | $117303.80    | 0.01%             | 2033-08-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-SD2 B1          | CUSIP: 61744CEC6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    710256 | PA      | $760415.36    | 0.06%             | 2034-04-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET                                                            | FFML 2003-FFB X           | CUSIP: BCC0B8R50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9882 | PA      | $9936.74      | 0.00%             | 2033-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESI MTG LN TR 2019-5                                                                | NRZT 2019-5A B5IB         | CUSIP: 64830MEL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14415613 | PA      | $348483.04    | 0.03%             | 2059-08-25      | Floating      | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-10 3A11         | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148616 | PA      | $129644.26    | 0.01%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving Home Equity Loan Trust Series 2006-I                                     | CWHEL 2006-I 2A           | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800702 | PA      | $4574317.44   | 0.38%             | 2037-01-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2003-WMC2 B1         | CUSIP: 589929M54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720266 | PA      | $1295288.17   | 0.11%             | 2034-02-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                             | ABSHE 2003-HE1 M3         | CUSIP: 04541GDM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2621224 | PA      | $2407173.04   | 0.20%             | 2033-01-15      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                                                 | MBI 0 12/15/33            | CUSIP: U5777LAB6<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  59990712 | PA      | $17847236.82  | 1.49%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-A2 3A1         | CUSIP: 46630PAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46383 | PA      | $38455.87     | 0.00%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2008-1 Trust                                                     | BAFC 2008-1 A2            | CUSIP: 05955AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1034357 | PA      | $1005320.82   | 0.08%             | 2048-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1A1         | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14625 | PA      | $13157.15     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2007-4 5A1           | CUSIP: 05953YBT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40706 | PA      | $35598.37     | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOANME TRUST SBL                                                                         | LMTBL 2019-1 C            | CUSIP: 53947KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $110000.00    | 0.01%             | 2030-08-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Fdg 06-B                                                                       | BAFC 2006-B 1A1           | CUSIP: 058928AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153897 | PA      | $148038.19    | 0.01%             | 2036-03-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-7F 2A6           | CUSIP: 362341MR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52086 | PA      | $51643.66     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                           | OOMLT 2007-FXD1 1A1       | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830105 | PA      | $708790.04    | 0.06%             | 2037-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2005-AR4 2A1        | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153852 | PA      | $141541.60    | 0.01%             | 2035-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2005-TC2 M8         | CUSIP: 073879E95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3547332 | PA      | $3646618.71   | 0.30%             | 2035-08-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2006-2 1A1          | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    569550 | PA      | $563415.78    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs17 Trust                                                              | RALI 2007-QS4 1A4         | CUSIP: 74923HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261480 | PA      | $208522.17    | 0.02%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2004-10 4A1          | CUSIP: 576434VX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9946 | PA      | $9459.08      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UCFC Funding Corp 1998-3                                                                 | UCFCM 1997-3 M            | CUSIP: 90263ABB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86242 | PA      | $85434.77     | 0.01%             | 2029-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2000-3 A             | CUSIP: 000759BT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109534 | PA      | $92414.52     | 0.01%             | 2031-09-15      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2001-AM1 B1         | CUSIP: 61746WJF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10187 | PA      | $409064.82    | 0.03%             | 2032-02-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Comm 2012-LC4 Mortgage Trust                                                             | COMM 2012-LC4 C           | CUSIP: 126192AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375317 | PA      | $2306455.55   | 0.19%             | 2044-12-10      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SAYBROOK SENIOR TRUST                                                                    | SAYBT 2003-1A B           | CUSIP: 929774AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    538727 | PA      | $376031.60    | 0.03%             | 2035-02-08      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2005-SL2 A5          | CUSIP: 76112BUZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375895 | PA      | $147357.68    | 0.01%             | 2031-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2003-RS7 MII2        | CUSIP: 760985YD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650166 | PA      | $627482.69    | 0.05%             | 2033-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-8 M1              | CUSIP: 393505YA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2284596 | PA      | $2322274.17   | 0.19%             | 2027-10-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                   | BOAA 2006-4 1A1           | CUSIP: 05950AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546687 | PA      | $469533.47    | 0.04%             | 2046-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2001-SB1 A2          | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28929 | PA      | $28821.69     | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Acceptance Corp. 2007 Ch3                                                      | JPMAC 2007-CH1 MV6        | CUSIP: 46630LBC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121741 | PA      | $162126.23    | 0.01%             | 2036-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2005-6 3A2           | CUSIP: 576433C46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795988 | PA      | $594601.53    | 0.05%             | 2035-07-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                         | SAIL 2004-8 A9            | CUSIP: 86358ELT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496154 | PA      | $503764.55    | 0.04%             | 2034-09-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| PDOF Msn Issuer LLC                                                                      | PDOFMS FLOAT 03/01/25     | CUSIP: 69429PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1992602 | PA      | $1947380.52   | 0.16%             | 2026-03-01      | Floating      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| Csmc                                                                                     | CSMC 2006-C4 C            | CUSIP: 22545MAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61039 | PA      | $59454.79     | 0.00%             | 2039-09-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2005-AGE1 B3         | CUSIP: 225458PD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553042 | PA      | $623103.53    | 0.05%             | 2032-02-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2001-AR5 B1          | CUSIP: 22540VLG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80172 | PA      | $74704.93     | 0.01%             | 2039-12-19      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                                            | DBALT 2006-AB2 A3         | CUSIP: 251511AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132349 | PA      | $121901.18    | 0.01%             | 2036-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| X-Caliber Funding Llc                                                                    | XCALFD 11 09/01/24        | CUSIP: 98373XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1265565.00   | 0.11%             | 2025-10-25      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Comm 2012-LTRT                                                                           | COMM 2012-LTRT B          | CUSIP: 12624NAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880000 | PA      | $1748571.64   | 0.15%             | 2030-10-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2003-RS10 MII2       | CUSIP: 760985D81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357893 | PA      | $354546.04    | 0.03%             | 2033-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA8 NB2         | CUSIP: 761118BU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28624 | PA      | $26976.56     | 0.00%             | 2035-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-MS3 CB3        | CUSIP: 939336TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40229 | PA      | $37169.34     | 0.00%             | 2033-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | GMACM 2005-AR4 3A1        | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630857 | PA      | $1406227.97   | 0.12%             | 2035-07-19      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving Home Equity Loan Trust 2006-H                                            | CWHEL 2006-HW 2A1B        | CUSIP: 126686AH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2645032 | PA      | $2279963.12   | 0.19%             | 2036-11-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg 06-B                                                                       | BOAMS 2006-B 2A1          | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59093 | PA      | $52596.75     | 0.00%             | 2046-11-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 AX             | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554923 | PA      | $82902.74     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2003-HE3 M4         | CUSIP: 17307GCY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3301000 | PA      | $3686116.45   | 0.31%             | 2033-12-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2006-AR2 1A2        | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214712 | PA      | $210577.83    | 0.02%             | 2036-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-FR3 M4         | CUSIP: 073879KT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1113003 | PA      | $1081965.40   | 0.09%             | 2034-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR FLOAT PERP            | CUSIP: 27828Q204<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |        88 | NS      | $1892000.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc Amer Fdg 06-B                                                                       | BAFC 2006-B 7A1           | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369224 | PA      | $322998.64    | 0.03%             | 2036-03-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2006-RS6 A4          | CUSIP: 75156QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159617 | PA      | $130444.88    | 0.01%             | 2036-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2007-AR2 1A1         | CUSIP: 86363DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50366 | PA      | $48103.37     | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                                            | SASNM 2003-BC2 C          | CUSIP: 80382SAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    821367 | PA      | $830607.23    | 0.07%             | 2033-02-27      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                          | CWHL 2006-R2 AF1          | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267344 | PA      | $251272.46    | 0.02%             | 2036-07-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2007-3 1AA1           | CUSIP: 525245AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036868 | PA      | $883169.01    | 0.07%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                           | OOMLT 2007-FXD2 2A5       | CUSIP: 68403BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350992 | PA      | $308383.43    | 0.03%             | 2037-03-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2005-AR4 1A1         | CUSIP: 39538WBQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232729 | PA      | $226823.93    | 0.02%             | 2045-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                                              | ABK 5.1 PERP              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |  87954173 | PA      | $117711411.20 | 9.83%             | 2169-06-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                | ABFC 2003-OPT1 A3         | CUSIP: 04542BDG4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    165268 | PA      | $160871.03    | 0.01%             | 2033-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA9 NB21        | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610291 | PA      | $908612.65    | 0.08%             | 2035-08-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving Home Equity Loan Trust 2006-H                                            | CWHEL 2006-HW 2A1A        | CUSIP: 126686AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20842 | PA      | $18514.22     | 0.00%             | 2036-11-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-3 A3             | CUSIP: 65537UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817971 | PA      | $4316863.03   | 0.36%             | 2037-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                       | SASC 2005-WF2 B2          | CUSIP: 86359DDM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157113 | PA      | $160047.66    | 0.01%             | 2035-05-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2007-HE2 A4         | CUSIP: 36186LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601591 | PA      | $593580.42    | 0.05%             | 2037-12-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-10 3A2           | CUSIP: 45254NLN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60389 | PA      | $58144.64     | 0.00%             | 2035-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 A1I         | CUSIP: 76110HS34<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1763975 | PA      | $575974.16    | 0.05%             | 2035-02-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-LC6 D           | CUSIP: 20048EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102394 | PA      | $98474.68     | 0.01%             | 2046-01-10      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2005-AC5 1A1        | CUSIP: 073879ZW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125801 | PA      | $74914.85     | 0.01%             | 2035-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust 2006-2                                                           | LUM 2007-2 2A1            | CUSIP: 55027WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524679 | PA      | $444041.73    | 0.04%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2005-5 M2             | CUSIP: 61915RAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812680 | PA      | $2296843.64   | 0.19%             | 2035-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2005-AR5 3A1         | CUSIP: 39538WEK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201231 | PA      | $151040.13    | 0.01%             | 2045-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-5 AI7          | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1406 | PA      | $1396.76      | 0.00%             | 2033-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Securitization Trust 2005-1                                               | MSSTR 2003-1 3A2          | CUSIP: 55265WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44940 | PA      | $43868.50     | 0.00%             | 2033-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                            | GSR 2006-2F 1A1           | CUSIP: 362334CM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043730 | PA      | $959515.81    | 0.08%             | 2036-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2006-A 1A1          | CUSIP: 05949CRP3<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     68569 | PA      | $58243.35     | 0.00%             | 2036-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Firstcity Capital Home Equity Loan Trust                                                 | FCHE 1998-2 A3            | CUSIP: 33763NAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157220 | PA      | $157049.38    | 0.01%             | 2029-01-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Ass Tr                                                                       | HEAT 2007-3 M1            | CUSIP: 43710TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4092208 | PA      | $4910423.63   | 0.41%             | 2037-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                           | CBASS 1999-3 A            | CUSIP: 124860CB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2881 | PA      | $2224.20      | 0.00%             | 2029-02-03      | Floating      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2007-6 1A4A         | CUSIP: 17312VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440199 | PA      | $1400509.22   | 0.12%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-13                                            | CWL 2006-13 1AF5          | CUSIP: 23242EAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662152 | PA      | $562311.94    | 0.05%             | 2037-01-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2013-8 1A2          | CUSIP: 17321PAB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     17654 | PA      | $16548.67     | 0.00%             | 2035-05-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1998-2 A            | CUSIP: 36228FAE6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    140046 | PA      | $124585.00    | 0.01%             | 2027-05-19      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 5A2            | CUSIP: 52520MCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119826 | PA      | $104561.56    | 0.01%             | 2035-12-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                         | SAIL 2003-BC2 M1          | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260149 | PA      | $264873.55    | 0.02%             | 2033-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                 | JPALT 2005-S1 2A1         | CUSIP: 46627MAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247545 | PA      | $159658.26    | 0.01%             | 2035-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust                             | WFHET 2005-1 M9           | CUSIP: 9497ERAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693175 | PA      | $705014.77    | 0.06%             | 2035-04-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2004-11 B1           | CUSIP: 576433SF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265553 | PA      | $260878.62    | 0.02%             | 2034-11-25      | Floating      | 6.68%                 | 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        |   1565879 | PA      | $1119268.76   | 0.09%             | 2045-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2003-NC10 B3         | CUSIP: 61746REC1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    406324 | PA      | $988981.46    | 0.08%             | 2033-10-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                            | GSR 2006-2F 2A13          | CUSIP: 362334CZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1219699 | PA      | $1064551.74   | 0.09%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | QUEST 2003-X3 M3          | CUSIP: 03072SKF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318369 | PA      | $445567.61    | 0.04%             | 2034-02-25      | Floating      | 9.31%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2006-OA2 2A1         | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288148 | PA      | $254379.24    | 0.02%             | 2046-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2004-SL4 A5          | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235790 | PA      | $77615.90     | 0.01%             | 2032-07-25      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                                             | CBASS 2002-CB2 M2         | CUSIP: 12489WEU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876565 | PA      | $917562.59    | 0.08%             | 2032-04-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-AR31 CB1        | CUSIP: 22541NTG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60464 | PA      | $58701.61     | 0.00%             | 2032-11-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2004-11 5A5         | CUSIP: 57643MJM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106631 | PA      | $82405.28     | 0.01%             | 2034-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                      | SACO 2007-2 A1            | CUSIP: 78581NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20194 | PA      | $20414.23     | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR6 B1          | CUSIP: 929227QC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123375 | PA      | $111599.05    | 0.01%             | 2042-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-6A 1A1          | CUSIP: 007036PA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193505 | PA      | $165201.71    | 0.01%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AT3         | CUSIP: 92910JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1942819 | PA      | $1831853.15   | 0.15%             | 2036-02-16      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| RAAC Series 2006 SP4 Trust                                                               | RAAC 2006-SP4 M4          | CUSIP: 74919VAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873172 | PA      | $1879271.45   | 0.16%             | 2036-11-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SAIL 2003-BC10 M2         | CUSIP: 86359A2J1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266717 | PA      | $305766.78    | 0.03%             | 2033-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                             | GSMS 2013-GC14 G          | CUSIP: 36198FBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6280000 | PA      | $5732321.20   | 0.48%             | 2046-08-10      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2004-1 B2             | CUSIP: 61913PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209965 | PA      | $202904.23    | 0.02%             | 2034-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2007-4                                                 | CSMC 2007-4 5A1           | CUSIP: 126379AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2302731 | PA      | $351740.50    | 0.03%             | 2037-06-25      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                          | MLCC 2007-2 1A            | CUSIP: 59024WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91880 | PA      | $91107.20     | 0.01%             | 2037-06-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2006-2 M6           | CUSIP: 07388FAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910775 | PA      | $909004.35    | 0.08%             | 2036-07-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-NCM2 2CB3      | CUSIP: 17307GHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30394 | PA      | $31914.68     | 0.00%             | 2034-08-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mtg S                                                                       | BSMSI 1997-6 1A           | CUSIP: 073914VW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3902 | PA      | $3885.52      | 0.00%             | 2031-03-25      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RFSC 2002-RP2 A1          | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912557 | PA      | $887146.20    | 0.07%             | 2032-10-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                  | HEAT 2004-5 M6            | CUSIP: 437084EB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3094192 | PA      | $3244183.38   | 0.27%             | 2034-11-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Tust LLC                                                          | WMLT 2006-A 1A1           | CUSIP: 92977TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34173 | PA      | $32030.40     | 0.00%             | 2036-05-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Nomura CRE CDO 2007-2 Ltd/LLC                                                            | NMCRE 2007-2A D           | CUSIP: 65537HAF4<br>LEI: 549300U9HYZNUTPVJA78 | Long             | ABS-CBDO         | CORP              | KY        |   2967458 | PA      | $0.00         | 0.00%             | 2042-05-21      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MSP DEER FINANCE                                                                         | MSP DEER FNCE SYNDICTD LN | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  13697066 | PA      | $8903092.66   | 0.74%             | 2026-04-09      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-MS9 2A         | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20509 | PA      | $21145.18     | 0.00%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| XCAL MTG TR 2021-7                                                                       | XCAL 2021-7 A             | CUSIP: 98370NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2983671.30   | 0.25%             | 2026-01-06      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust 2006 Rm2                                          | MLMI 2006-FF1 B3          | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330676 | PA      | $2680352.40   | 0.22%             | 2036-08-25      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A3           | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8764 | PA      | $53360.06     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                                      | JPMBB 2013-C12 C          | CUSIP: 46639NAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70798 | PA      | $67788.71     | 0.01%             | 2045-07-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corp                                                                    | MESC 11PA B3              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1289096 | PA      | $1221615.34   | 0.10%             | 2032-09-28      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Trust                                                                             | CBASS 2002-CB4 M1         | CUSIP: 12489WFD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125809 | PA      | $133683.25    | 0.01%             | 2033-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-1A M6           | CUSIP: 07324SDM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514159 | PA      | $475708.79    | 0.04%             | 2036-04-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2003-HE3 M3         | CUSIP: 17307GCX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187166 | PA      | $228868.88    | 0.02%             | 2033-12-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2004-AR1 6M2         | CUSIP: 22541Q5B4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515305 | PA      | $579813.55    | 0.05%             | 2034-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| SHARPS 2002-AQ1N OTC                                                                     | SHARPS 2002-AQ1N OTC      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3156043 | PA      | $2075000.00   | 0.17%             | 2031-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2004-2                                           | AHM 2005-2 5A4D           | CUSIP: 02660TFM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6432359 | PA      | $4630519.33   | 0.39%             | 2035-09-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2004-11XS 1A5A       | CUSIP: 86359BUE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339643 | PA      | $336347.19    | 0.03%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust 2004-He2                                                    | GMACM 2005-HE1 A1VN       | CUSIP: 361856ED5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9425 | PA      | $4741.60      | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2011-GC5                                                    | GSMS 2011-GC5 C           | CUSIP: 36191YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1225723 | PA      | $1079119.79   | 0.09%             | 2044-08-10      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Tst                                                                      | WPT 2017-WWP A            | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4740000 | PA      | $3341699.53   | 0.28%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Struct Asset Mtg                                                                         | SAMI 2006-AR5 2A1         | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961973 | PA      | $677202.89    | 0.06%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-3A M5           | CUSIP: 07324SCH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165058 | PA      | $165825.06    | 0.01%             | 2035-11-25      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2004-9 23A1         | CUSIP: 07384M3E0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193115 | PA      | $192097.00    | 0.02%             | 2034-11-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                            | CXHE 2004-D MF2           | CUSIP: 152314LN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185954 | PA      | $185422.29    | 0.02%             | 2034-09-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2006-OA2 1A1         | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3419517 | PA      | $2540007.06   | 0.21%             | 2046-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-1A M3           | CUSIP: 07324SDJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315120 | PA      | $290951.17    | 0.02%             | 2036-04-25      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-AR6 A1          | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79957 | PA      | $78571.17     | 0.01%             | 2033-06-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2007-3                                                    | BAYC 2007-3 M5            | CUSIP: 07325YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039688 | PA      | $1140930.34   | 0.10%             | 2037-07-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Tmsq 2014                                                                                | TMSQ 2014-1500 XA         | CUSIP: 87264JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $22688.00     | 0.00%             | 2036-10-10      | Floating      | 0.28%                 | Yes           |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                      | GMSL 2004-A A2            | CUSIP: 378961AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    187802 | PA      | $185120.78    | 0.02%             | 2032-11-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-4A B2           | CUSIP: 07324SDA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $595500.00    | 0.05%             | 2036-01-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2002-NC1 M3          | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343808 | PA      | $330840.45    | 0.03%             | 2032-10-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Brixmor LLC                                                                              | BRX 7.65 11/02/26         | CUSIP: 64806QAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3559824.17   | 0.30%             | 2026-11-02      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Kodiak CDO II Ltd.                                                                       | KDIAK 2007-2A B1          | CUSIP: 50011RAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2403950 | PA      | $1664735.37   | 0.14%             | 2042-11-07      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Resecuritization Trust Ser 2010-4                                              | JPMRR 2010-4 6A4          | CUSIP: 46634JCR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1163633 | PA      | $1036610.52   | 0.09%             | 2036-10-26      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 362 2                 | CUSIP: 3136FCVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217454 | PA      | $27025.30     | 0.00%             | 2035-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cwheq Hm Eqty 06s5                                                                       | CWL 2006-S5 A5            | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062589 | PA      | $1638093.32   | 0.14%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                       | RAMC 2002-4 B             | CUSIP: 759950AP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67659 | PA      | $45236.09     | 0.00%             | 2033-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1A9         | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139751 | PA      | $10275.67     | 0.00%             | 2037-01-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2006-2 1A4          | CUSIP: 93934FLU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429051 | PA      | $394364.50    | 0.03%             | 2036-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                                                | TBW 2006-6 A2B            | CUSIP: 87222PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1177665 | PA      | $248048.75    | 0.02%             | 2037-01-25      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-MS7 B1         | CUSIP: 939336TY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31858 | PA      | $31612.84     | 0.00%             | 2033-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2006-AR12 3A1        | CUSIP: 93363NAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37889 | PA      | $33472.41     | 0.00%             | 2036-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2005-8 6A1           | CUSIP: 2254582G2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168223 | PA      | $90921.00     | 0.01%             | 2025-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AU0         | CUSIP: 92909FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1002431 | PA      | $921356.15    | 0.08%             | 2036-02-16      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                                                 | MBI 0 12/15/31            | CUSIP: 55266LCY0<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  10652561 | PA      | $4354234.23   | 0.36%             | 2031-12-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chaseflex Trust Series 2005-1                                                            | CFLX 2005-2 3A4           | CUSIP: 16165TBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    909358 | PA      | $554237.73    | 0.05%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                           | SEMT 2004-1 B1            | CUSIP: 81744FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98416 | PA      | $84589.05     | 0.01%             | 2034-02-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2005-16 4A1B        | CUSIP: 41161PZD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1825678 | PA      | $1390397.27   | 0.12%             | 2037-01-19      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | RAST 2006-A3CB PO         | CUSIP: 45661EFP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226790 | PA      | $2.27         | 0.00%             | 2046-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAP                                                           | MSDWC 2002-HE1 B1         | CUSIP: 61746WQA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $387000.00    | 0.03%             | 2032-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                   | JPMCC 2006-CB17 AJ        | CUSIP: 46630EAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1546617 | PA      | $644767.18    | 0.05%             | 2043-12-12      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2005-8SL M1           | CUSIP: 61748HQK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92413 | PA      | $273081.52    | 0.02%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-1HE M2          | CUSIP: 881561DL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283409 | PA      | $210352.36    | 0.02%             | 2034-02-25      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                           | GSMS 2012-GCJ9 D          | CUSIP: 36192PAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5652400 | PA      | $5422420.02   | 0.45%             | 2045-11-10      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                   | MSC 2011-C2 D             | CUSIP: 617459AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72295 | PA      | $70240.70     | 0.01%             | 2044-06-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2006-1 1A2            | CUSIP: 61915RBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2338710 | PA      | $1723785.02   | 0.14%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc. Asset Backed Pass Through Certificates Series 2003 W5             | ARSI 2004-W9 M1           | CUSIP: 040104LB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176404 | PA      | $177804.59    | 0.01%             | 2034-06-26      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 1999-3 2A             | CUSIP: 00105HEC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2219692 | PA      | $2087233.48   | 0.17%             | 2029-09-28      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities I Inc.                                           | RFMSI 2006-SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100775 | PA      | $93725.28     | 0.01%             | 2036-02-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2003-12 S             | CUSIP: 38373SLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    113293 | PA      | $10690.85     | 0.00%             | 2033-02-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2004-1 B2            | CUSIP: 251563CQ3<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     26656 | PA      | $26016.17     | 0.00%             | 2033-09-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2006 3                                           | AHM 2006-3 12A1           | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281212 | PA      | $269864.06    | 0.02%             | 2046-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST                                                    | MSRR 2014-R4 4B2          | CUSIP: 61763TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1157061 | PA      | $1037080.70   | 0.09%             | 2035-11-21      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2005-6 30PO          | CUSIP: 576434Y24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49280 | PA      | $9839.57      | 0.00%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Jefferies & Co Inc                                                                       | JMAC 2009-R7 6A2          | CUSIP: 47233AAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288161 | PA      | $288649.00    | 0.02%             | 2035-10-21      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A1           | CUSIP: 362341VP1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    313836 | PA      | $300271.17    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 06-4                                                                        | BSARM 2006-4 1A1          | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204159 | PA      | $197278.94    | 0.02%             | 2036-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2004-FFH3 M4         | CUSIP: 32027NLU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1001360 | PA      | $858850.42    | 0.07%             | 2034-10-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2004-RA2 CB1        | CUSIP: 939336S20<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469826 | PA      | $389873.06    | 0.03%             | 2033-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Taberna Preferred Funding II Ltd. / Taberna Preferred Funding II Inc.                    | TBRNA 2005-2A A2          | CUSIP: 87330UAD3<br>LEI: 8Z9UQTNXEECO8ECQHB85 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1259330.00   | 0.11%             | 2035-11-05      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                   | BOAA 2006-4 1A4           | CUSIP: 05950AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241782 | PA      | $219215.59    | 0.02%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| C Bass Series 2006-Cb2 Trust                                                             | CBASS 2006-CB2 AF4        | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254482 | PA      | $206908.77    | 0.02%             | 2036-12-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2005-TC1 M6         | CUSIP: 073879VL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960825 | PA      | $977007.85    | 0.08%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR6 C           | CUSIP: 12624XAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3128200 | PA      | $2967876.31   | 0.25%             | 2046-03-10      | Floating      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-QX1                                           | CWL 2007-QX1 A1           | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730387 | PA      | $656583.99    | 0.05%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Bway Corporation                                                                         | BWAY 2013-1515 C          | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878000 | PA      | $802910.81    | 0.07%             | 2033-03-10      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| LBSBN 2005-2A PS                                                                         | LBSBN 2005-2A PS          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |       100 | PA      | $3030000.00   | 0.25%             | 2030-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2A2            | CUSIP: 45254NPF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115828 | PA      | $112235.43    | 0.01%             | 2035-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-Af1                      | NAA 2006-AF2 4A           | CUSIP: 65536XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134445 | PA      | $123810.27    | 0.01%             | 2036-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2005-14 3A1A        | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        33 | PA      | $32.80        | 0.00%             | 2035-12-19      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2005-AA5 1A1        | CUSIP: 32051GPJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170576 | PA      | $89178.73     | 0.01%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Ows Cre Funding I LLC                                                                    | OWSCRE 2021-MARG A        | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1786252 | PA      | $1778770.53   | 0.15%             | 2025-09-15      | Floating      | 9.86%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-A1 M2           | CUSIP: 59020UQG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    262830 | PA      | $242370.02    | 0.02%             | 2034-12-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                               | CSMC 2014-USA X1          | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   2935145 | PA      | $3360.15      | 0.00%             | 2037-09-15      | Floating      | 0.69%                 | Yes           |                  2 | On Loan: No      |
| Sofi Mtg Tr 2016-1                                                                       | SFPMT 2016-1A 1AMF        | CUSIP: 78471KAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36344 | PA      | $32406.58     | 0.00%             | 2046-11-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2007-2A M2           | CUSIP: 07325XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1231070 | PA      | $1164293.61   | 0.10%             | 2037-07-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2003-1 A2             | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8853 | PA      | $8812.08      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series 2006-SA3 Trust                                                              | RFMSI 2006-SA3 3A1        | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147622 | PA      | $131859.49    | 0.01%             | 2036-09-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Tust LLC                                                          | WMLT 2005-A 1A1           | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351698 | PA      | $345722.82    | 0.03%             | 2035-08-20      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2007-2A M1           | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1785906 | PA      | $1698691.56   | 0.14%             | 2037-07-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust Series 2006 Af1                            | DBALT 2006-AB1 A3         | CUSIP: 251510ML4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93254 | PA      | $87448.74     | 0.01%             | 2036-02-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA6 NB4         | CUSIP: 76110HH85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875661 | PA      | $794348.67    | 0.07%             | 2034-12-26      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAAC 2005-SP3 SB          | CUSIP: 76112BT59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7513242 | PA      | $5937191.07   | 0.50%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2006-HE10 1M2       | CUSIP: 07389RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2412279 | PA      | $2323336.72   | 0.19%             | 2036-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mta Trust 2005-Ar1                                                            | GPMF 2005-AR3 1A1         | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312037 | PA      | $262041.62    | 0.02%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                                        | BSARM 2007-5 3A1          | CUSIP: 07386YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47366 | PA      | $41450.64     | 0.00%             | 2047-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                                            | SASCO 2003-5              | CUSIP: 80382QAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2779082 | PA      | $2753216.18   | 0.23%             | 2033-06-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2004-G 3A1          | CUSIP: 05949ALK4<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |   3857104 | PA      | $2559723.69   | 0.21%             | 2034-08-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VOOML 2009-1 SAA7         | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2310051 | PA      | $504008.27    | 0.04%             | 2038-02-25      | Floating      | 1.06%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                   | JPMCC 2012-C6 E           | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16623288 | PA      | $15957892.69  | 1.33%             | 2045-05-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                           | WFRBS 2012-C10 B          | CUSIP: 92890NAX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218092 | PA      | $204909.71    | 0.02%             | 2045-12-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities I Inc.                                           | RFMSI 2005-SA1 2A         | CUSIP: 76111XTE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826893 | PA      | $765225.83    | 0.06%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING                                                            | BSMF 2007-SL1 2A          | CUSIP: 07401PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $1.00         | 0.00%             | 2037-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-HE8 M2          | CUSIP: 61744CHB5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    702211 | PA      | $728456.78    | 0.06%             | 2034-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2004-5 5A1           | CUSIP: 22541SZM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50512 | PA      | $44717.40     | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-8 1A6           | CUSIP: 12669FZN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34249 | PA      | $27170.87     | 0.00%             | 2034-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SAYBROOK SENIOR TRUST                                                                    | SAYBT 2003-1A A           | CUSIP: 929774AK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    352328 | PA      | $281368.82    | 0.02%             | 2035-02-08      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-3F B3            | CUSIP: 36228FPZ3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     64769 | PA      | $61097.93     | 0.01%             | 2033-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bankamerica Manufactured Housing Contract Trust                                          | BAMH 1997-2 B1            | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $463080.15    | 0.04%             | 2032-02-10      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                           | OOMLT 2004-2 M5           | CUSIP: 68389FFL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139759 | PA      | $129295.98    | 0.01%             | 2034-05-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                       | IMCHE 1998-3 A7           | CUSIP: 449670EP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455355 | PA      | $449538.74    | 0.04%             | 2029-08-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-7 2A2           | CUSIP: 12669GNQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1274 | PA      | $426.48       | 0.00%             | 2035-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                       | IMCHE 1998-5 A5           | CUSIP: 449670EX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41939 | PA      | $41847.76     | 0.00%             | 2029-12-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2006-PR1 4AF1        | CUSIP: 25157GAP7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    716153 | PA      | $660786.59    | 0.06%             | 2036-04-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2000-1 A1            | CUSIP: 000759BP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189821 | PA      | $160990.08    | 0.01%             | 2031-07-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR6 B2          | CUSIP: 929227QD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61826 | PA      | $55458.57     | 0.00%             | 2042-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | INDA 2005-AR2 2A1         | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14632 | PA      | $13824.41     | 0.00%             | 2036-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1               | IMSA 2005-1 4A            | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109744 | PA      | $103231.23    | 0.01%             | 2035-07-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                                                   | MSC 2011-C3 F             | CUSIP: 61760RAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2064950 | PA      | $1932056.01   | 0.16%             | 2049-07-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                           | FHLT 2004-B M7            | CUSIP: 35729PDW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35506 | PA      | $30199.54     | 0.00%             | 2034-05-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                      | SVHE 2004-1 M2            | CUSIP: 83611MBC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24040 | PA      | $21690.59     | 0.00%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities I Inc.                                           | RFMSI 2005-SA5 2A         | CUSIP: 76111XZB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648197 | PA      | $585979.95    | 0.05%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2007-B A            | CUSIP: 12669XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1479781 | PA      | $1388665.32   | 0.12%             | 2037-02-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                           | OOMLT 2007-FXD2 2A6       | CUSIP: 68403BAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164933 | PA      | $144908.94    | 0.01%             | 2037-03-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP.                                                                     | ACE 2001-HE1 CE           | CUSIP: BCC05TGX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2482933 | PA      | $2158192.80   | 0.18%             | 2031-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-104 DI           | CUSIP: 38375GG70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      3286 | PA      | $3.39         | 0.00%             | 2025-09-16      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                                            | SAILN 2003-BC1A B         | CUSIP: 80382QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    584817 | PA      | $491484.53    | 0.04%             | 2033-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2004-FF2 M5          | CUSIP: 32027NHM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157074 | PA      | $152278.94    | 0.01%             | 2034-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                   | JPMCC 2012-C6 D           | CUSIP: 46634SAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391336 | PA      | $386444.90    | 0.03%             | 2045-05-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-S13 CB1         | CUSIP: 92922FKK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568372 | PA      | $541592.29    | 0.05%             | 2034-01-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                                                | TBW 2006-2 1A3            | CUSIP: 878048AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483804 | PA      | $160908.72    | 0.01%             | 2036-07-25      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2004-FL1 1A1        | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145371 | PA      | $132707.01    | 0.01%             | 2035-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2006-4 4A1            | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167518 | PA      | $112533.62    | 0.01%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2006-17HE A2B1       | CUSIP: 88156EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198483 | PA      | $241137.38    | 0.02%             | 2038-01-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1998-3 A            | CUSIP: 36228FAK2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     48560 | PA      | $48246.23     | 0.00%             | 2027-09-19      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | HEAT 2002-2 B1            | CUSIP: 22541NCW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18412 | PA      | $35684.35     | 0.00%             | 2032-06-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-3 A4             | CUSIP: 65537UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3001399 | PA      | $2691807.89   | 0.22%             | 2037-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                           | CBASS 2003-RP1 M2         | CUSIP: 124860DU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668943 | PA      | $553352.65    | 0.05%             | 2033-03-25      | Floating      | 8.93%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                   | BOAA 2006-4 1A5           | CUSIP: 05950AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635935 | PA      | $576590.84    | 0.05%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Trust                                                             | MLMT 2006-C1 B            | CUSIP: 59023BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31012 | PA      | $33733.12     | 0.00%             | 2039-05-12      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-AR9 1B2         | CUSIP: 92922FBZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150246 | PA      | $117738.20    | 0.01%             | 2033-09-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295318 | PA      | $276802.71    | 0.02%             | 2034-08-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2013-C11 B          | CUSIP: 92937EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850515 | PA      | $836688.81    | 0.07%             | 2045-03-15      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                      | SVHE 2004-1 M9            | CUSIP: 83611MBK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930065 | PA      | $731851.12    | 0.06%             | 2034-07-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| 61999A                                                                                   | MHL 2005-2 R              | CUSIP: 61999ADY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 338798775 | PA      | $3224998.44   | 0.27%             | 2035-05-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6                               | MSBAM 2012-C6 C           | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2868078 | PA      | $2627074.84   | 0.22%             | 2045-11-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                      | COMM 2014-CR14 B          | CUSIP: 12630DBB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81238 | PA      | $78231.19     | 0.01%             | 2047-02-10      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2001-AR5 B4          | CUSIP: 22540VLK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27343 | PA      | $24731.76     | 0.00%             | 2039-12-19      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2001-2 M3            | CUSIP: 03072SBE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764013 | PA      | $793512.80    | 0.07%             | 2031-10-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2005-TC1 M7         | CUSIP: 073879VM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1006367 | PA      | $1070987.48   | 0.09%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2007-1                                                 | CSMC 2007-1 5A13          | CUSIP: 126378BM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512638 | PA      | $276525.08    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-SD3 B1          | CUSIP: 61744CGR1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    424515 | PA      | $457226.17    | 0.04%             | 2034-06-25      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2004-15F 3A1          | CUSIP: 36242DRC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38197 | PA      | $35212.64     | 0.00%             | 2034-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fremont Hm Ln Ow T                                                                       | FREHE 1999-3 A1           | CUSIP: 35729BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220038 | PA      | $215339.99    | 0.02%             | 2029-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-8 3A2          | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807636 | PA      | $630261.68    | 0.05%             | 2034-11-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| X-Caliber Funding Llc                                                                    | XCALFD 5 09/01/24         | CUSIP: 98373XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3946496.40   | 0.33%             | 2025-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Tr 6                                                                         | SEMT 6 B2                 | CUSIP: 81743XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21235 | PA      | $19277.34     | 0.00%             | 2027-04-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2006-OC2 2A3        | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020465 | PA      | $924836.75    | 0.08%             | 2036-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2004-AR1 5A3          | CUSIP: 65535VDZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79952 | PA      | $78768.65     | 0.01%             | 2034-08-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-R1 3A           | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171998 | PA      | $170987.26    | 0.01%             | 2034-11-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2006-AR3 1A2A       | CUSIP: 17306SAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317880 | PA      | $306769.55    | 0.03%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2001-3 A2            | CUSIP: 000759BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618911 | PA      | $619027.93    | 0.05%             | 2032-03-15      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| CAL RECEIVABLES 2022-1 LLC                                                               | CALR 2022-1 B             | CUSIP: 12804BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2523399 | PA      | $2518808.93   | 0.21%             | 2026-10-15      | Floating      | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-HE1 A2          | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525901 | PA      | $502884.79    | 0.04%             | 2032-08-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | ARC 2002-BC5 M2           | CUSIP: 86358RZ75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395532 | PA      | $410568.32    | 0.03%             | 2032-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                           | ACCR 2005-1 M5            | CUSIP: 004375CX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820334 | PA      | $3969948.48   | 0.33%             | 2035-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 Mortgage Trust                                                             | CFCRE 2011-C2 D           | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326800 | PA      | $315273.28    | 0.03%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-SP2 M6          | CUSIP: 07325KAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602019 | PA      | $641668.49    | 0.05%             | 2037-01-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                               | CSMC 2007-3 4A6           | CUSIP: 12638PBV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124586 | PA      | $96509.17     | 0.01%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                      | CDCMC 2002-HE1 M          | CUSIP: 12506YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317740 | PA      | $1043349.04   | 0.09%             | 2033-01-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-7 A1             | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482877 | PA      | $429353.96    | 0.04%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 2A4           | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102094 | PA      | $194791.48    | 0.02%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-AR1 3A1          | CUSIP: 362290AH1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    415809 | PA      | $361597.41    | 0.03%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2005-3 B3             | CUSIP: 61915RAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231765 | PA      | $319491.20    | 0.03%             | 2035-08-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-9 B1              | CUSIP: 393505RA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883376 | PA      | $896828.70    | 0.07%             | 2028-01-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAAC 2006-RP1 M4          | CUSIP: 76112B2Y5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2759324 | PA      | $2793469.25   | 0.23%             | 2045-10-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Wmalt Series 2006-6 Trust           | WMALT 2006-AR5 3A         | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395914 | PA      | $241783.85    | 0.02%             | 2046-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA11 3A1        | CUSIP: 761118LL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4973055 | PA      | $1769474.23   | 0.15%             | 2035-10-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Tr 07                                                                        | CD 2007-CD5 G             | CUSIP: 12514AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1442491 | PA      | $1435617.07   | 0.12%             | 2044-11-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-29 2B1          | CUSIP: 22541NPW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512668 | PA      | $520726.03    | 0.04%             | 2032-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 3A1           | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743990 | PA      | $435547.64    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 F           | CUSIP: 46635GAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12950000 | PA      | $9329309.50   | 0.78%             | 2043-11-15      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                                  | WBCMT 2005-C21 E          | CUSIP: 92976BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3254870 | PA      | $1092920.33   | 0.09%             | 2044-10-15      | Floating      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Second Lien Trust 2007 1                                                    | BSSLT 2007-1 1A           | CUSIP: 07401WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160763 | PA      | $157951.83    | 0.01%             | 2037-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                           | SEMT 2003-4 2B5           | CUSIP: 81743PCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15887 | PA      | $13911.65     | 0.00%             | 2033-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                     | JPMCC 2011-C3 D           | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2376000 | PA      | $2117223.90   | 0.18%             | 2046-02-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR7 D           | CUSIP: 12625FBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6433960 | PA      | $5934280.13   | 0.50%             | 2046-03-10      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mtg S                                                                       | BSMSI 1997-6 B2           | CUSIP: 073914WA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       242 | PA      | $239.87       | 0.00%             | 2031-03-25      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                         | GSR 2007-4F 2A1           | CUSIP: 362669AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1712487 | PA      | $3446592.65   | 0.29%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                  | HEAT 2004-3 B1            | CUSIP: 437084CH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41806 | PA      | $342523.32    | 0.03%             | 2034-08-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54924 | PA      | $53409.16     | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-8 30PO          | CUSIP: 05946X3C5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     47345 | PA      | $30849.32     | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-LC6 E           | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5541000 | PA      | $5094300.98   | 0.43%             | 2046-01-10      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Tust LLC                                                          | WMLT 2005-A 2A1           | CUSIP: 92977YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    856535 | PA      | $802998.41    | 0.07%             | 2035-08-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 1998-6 B2            | CUSIP: 863572UE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462920 | PA      | $378765.81    | 0.03%             | 2028-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2007-5 7A5           | CUSIP: 059523BB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1147306 | PA      | $879815.74    | 0.07%             | 2047-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-H 2A           | CUSIP: 126685AP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9480 | PA      | $9475.24      | 0.00%             | 2035-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2004-2                                           | AHM 2005-4 5A             | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845498 | PA      | $313173.96    | 0.03%             | 2045-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2001-MH29 B1         | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413030 | PA      | $417982.89    | 0.03%             | 2031-09-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-2 2A1           | CUSIP: 12669FKS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188214 | PA      | $172223.36    | 0.01%             | 2034-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| UCFC Funding Corp 1998-3                                                                 | UCFCM 1998-3 M1           | CUSIP: 90263ACC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    799294 | PA      | $794319.32    | 0.07%             | 2030-01-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-AR2 M2         | CUSIP: 36242DDQ3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   3997084 | PA      | $4213430.77   | 0.35%             | 2034-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA3 NB1         | CUSIP: 76110H2H1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57502 | PA      | $31379.69     | 0.00%             | 2035-03-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc.                                                               | PPSI 2005-WCW3 M2         | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    758340 | PA      | $754761.00    | 0.06%             | 2035-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bx Trust 2017-Appl                                                                       | BX 2017-CQHP A            | CUSIP: 12433QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3064623 | PA      | $2944066.22   | 0.25%             | 2034-11-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Comm 2012-LTRT                                                                           | COMM 2012-LTRT A2         | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15291800 | PA      | $14860904.31  | 1.24%             | 2030-10-05      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-E 2A1           | CUSIP: 05946XXM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1333002 | PA      | $1166826.16   | 0.10%             | 2035-05-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Contimortgage Home Equity Loan Trust 1997-1                                              | CONHE 1996-4 A10          | CUSIP: 21075WDS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70762 | PA      | $57990.41     | 0.00%             | 2028-01-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2003-FF4 M1          | CUSIP: 32027NDU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413787 | PA      | $409484.22    | 0.03%             | 2033-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2005-I 4A1          | CUSIP: 05949CHX7<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    595638 | PA      | $598116.44    | 0.05%             | 2035-10-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                           | WFRBS 2012-C10 C          | CUSIP: 92890NAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1705000 | PA      | $1383675.70   | 0.12%             | 2045-12-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2005-WMC2 M3         | CUSIP: 61744CNT9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    654828 | PA      | $649009.60    | 0.05%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2006-A 5A1           | CUSIP: 058927AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1101776 | PA      | $965051.31    | 0.08%             | 2036-02-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-A M1           | CUSIP: 64352VDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176882 | PA      | $196425.62    | 0.02%             | 2033-10-25      | Floating      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2003-1 B1             | CUSIP: 36229RJK6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     83885 | PA      | $78891.73     | 0.01%             | 2033-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-7 M1              | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3629369 | PA      | $3684964.58   | 0.31%             | 2028-07-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2005-AA3 2A1        | CUSIP: 32051GLS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725535 | PA      | $820616.14    | 0.07%             | 2035-05-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1999-B A6             | CUSIP: 09774XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737790 | PA      | $56190.59     | 0.00%             | 2029-12-15      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2003-AR3 M5          | CUSIP: 03072SHK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442829 | PA      | $373953.63    | 0.03%             | 2033-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mtg                                                                         | SAMI 2006-AR5 3A1         | CUSIP: 86360JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257347 | PA      | $558505.94    | 0.05%             | 2046-05-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2006-2 3CB          | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2293046 | PA      | $1795018.90   | 0.15%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                               | CSMC 2007-3 3A4           | CUSIP: 12638PBP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158899 | PA      | $132873.19    | 0.01%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                         | SAIL 2004-8 A1            | CUSIP: 86358ELK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228571 | PA      | $221631.31    | 0.02%             | 2034-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1999-B A3             | CUSIP: 09774XBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    611382 | PA      | $42537.20     | 0.00%             | 2029-12-15      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-4F B3            | CUSIP: 36228FRL2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    145177 | PA      | $146475.78    | 0.01%             | 2033-05-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| ML -Cfc Commercial Mortgage Trust 2006-4                                                 | MLCFC 2007-9 AJA          | CUSIP: 60688CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232032 | PA      | $220337.35    | 0.02%             | 2049-09-12      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2004-A M2           | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54494 | PA      | $52263.41     | 0.00%             | 2034-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-RR1 2A1        | CUSIP: 17307GDX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555142 | PA      | $530043.08    | 0.04%             | 2029-01-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Dbubs 2011 Lc1 Commercial Mortgage Trust                                                 | DBUBS 2011-LC3A D         | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2065822 | PA      | $1984457.27   | 0.17%             | 2044-08-10      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-3HE B2          | CUSIP: 881561FJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360891 | PA      | $420111.87    | 0.04%             | 2035-03-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                   | BOAA 2006-4 1A2           | CUSIP: 05950AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    551694 | PA      | $31744.61     | 0.00%             | 2046-05-25      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2012-C4                                           | UBSBB 2013-C5 B           | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496481 | PA      | $474509.13    | 0.04%             | 2046-03-10      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                             | CWALT 2006-J6 A1          | CUSIP: 23244EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203889 | PA      | $446260.65    | 0.04%             | 2036-09-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2005-9AR 2A           | CUSIP: 61748HQY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458926 | PA      | $429252.25    | 0.04%             | 2035-12-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1998-3 M1              | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2027639 | PA      | $2075251.29   | 0.17%             | 2030-03-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2002-AM3 B2         | CUSIP: 61746WWN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4426 | PA      | $593650.00    | 0.05%             | 2033-02-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A4           | CUSIP: 36297XAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42134 | PA      | $101693.52    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2014-4R                                                                      | CSMC 2014-4R 16A3         | CUSIP: 12648JDQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        88 | PA      | $88.20        | 0.00%             | 2036-02-27      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2002-AM1 M2         | CUSIP: 61746WMM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188521 | PA      | $430160.26    | 0.04%             | 2032-01-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                           | ACCR 2004-3 2A6           | CUSIP: 004375BQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    733085 | PA      | $738765.44    | 0.06%             | 2034-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | INDA 2005-AR2 3A1         | CUSIP: 45660LZ28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2467599 | PA      | $2240273.18   | 0.19%             | 2036-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-K 2A4          | CUSIP: 126685AX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432031 | PA      | $402125.54    | 0.03%             | 2036-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2002-1 M3           | CUSIP: 542514CA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517491 | PA      | $1570548.80   | 0.13%             | 2032-05-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                             | GSMS 2013-GC14 F          | CUSIP: 36198FAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8544713 | PA      | $8410406.45   | 0.70%             | 2046-08-10      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN FINANCIAL                                                                       | Sthrn Fin Tst - I         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3427118.17   | 0.29%             | 2030-09-07      | Fixed         | 10.60%                | Yes           |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2011-C4 E           | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4513238 | PA      | $4263230.79   | 0.36%             | 2044-06-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2007-SD2 1A1B       | CUSIP: 07386UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133958 | PA      | $124829.17    | 0.01%             | 2046-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-1 B1           | CUSIP: 41161PDD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225044 | PA      | $163070.22    | 0.01%             | 2034-04-19      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Re Remic Trust                                                            | MSRR 2010-R7 3B           | CUSIP: 61759QAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12321 | PA      | $11228.41     | 0.00%             | 2034-11-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Finance America Mortgage Loan Trust                                                      | FINA 2004-3 M2            | CUSIP: 317350BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209469 | PA      | $193653.37    | 0.02%             | 2034-11-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-13 MF5           | CUSIP: 126673RC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357137 | PA      | $234911.43    | 0.02%             | 2035-01-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2A1            | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170508 | PA      | $163657.23    | 0.01%             | 2035-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Taberna Preferred Funding V Ltd                                                          | TBRNA 2006-5A A1B         | CUSIP: 87331BAC6<br>LEI: VZLY0S8U2GEIK6ZPGP62 | Long             | ABS-CBDO         | CORP              | KY        |   4622600 | PA      | $2320286.43   | 0.19%             | 2036-08-05      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                           | SEMT 2003-4 2B3           | CUSIP: 81743PCE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27172 | PA      | $25105.54     | 0.00%             | 2033-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                         | SAIL 2004-8 A6            | CUSIP: 86358ELQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775045 | PA      | $749777.07    | 0.06%             | 2034-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-Sl5                                             | BSMF 2006-SL5 1A          | CUSIP: 07401HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    518823 | PA      | $778747.88    | 0.07%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fremont Hm Ln Ow T                                                                       | FREHE 1999-3 A2           | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197857 | PA      | $192789.66    | 0.02%             | 2029-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2010-C1                                                     | GSMS 2010-C1 C            | CUSIP: 36249KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6875515 | PA      | $6814185.23   | 0.57%             | 2043-08-10      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                           | CBASS 2004-RP1 M3         | CUSIP: 124860EK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1048227 | PA      | $1053106.64   | 0.09%             | 2050-05-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-AR5 1A1          | CUSIP: 362341LA5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     88706 | PA      | $84691.97     | 0.01%             | 2035-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-10 2A2           | CUSIP: 52522QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230512 | PA      | $62699.61     | 0.01%             | 2038-01-25      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-4 1A1           | CUSIP: 007036KB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69885 | PA      | $53253.62     | 0.00%             | 2035-08-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Rali Ser 2006-Qo1t                                                                       | RALI 2007-QO5 A           | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2949446 | PA      | $435806.27    | 0.04%             | 2047-08-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                       | RAMC 2005-4 A4            | CUSIP: 759950FY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44258 | PA      | $43674.49     | 0.00%             | 2036-02-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Indymac Arm Trust                                                                        | INARM 2001-H1 1A          | CUSIP: 45660UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102296 | PA      | $54216.79     | 0.00%             | 2031-08-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2005-2 1A           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3114432 | PA      | $859150.86    | 0.07%             | 2035-05-19      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-9 4A2          | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62355 | PA      | $52407.09     | 0.00%             | 2034-12-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust 2006-2                                                           | LUM 2006-7 2A1            | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14563 | PA      | $13267.82     | 0.00%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 Mortgage Trust                                                             | CFCRE 2011-C2 E           | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9685000 | PA      | $9201781.45   | 0.77%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2010-C1                                                     | GSMS 2010-C1 D            | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22195000 | PA      | $21144732.60  | 1.77%             | 2043-08-10      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Mastr Specialized Loan Trust 2006-03                                                     | MARP 2005-1 1A4           | CUSIP: 576436AU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1202514 | PA      | $889118.62    | 0.07%             | 2034-08-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                        | CFAB 2003-3 2B            | CUSIP: 161546FQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201046 | PA      | $192449.96    | 0.02%             | 2032-05-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                            | JPMCC 2012-LC9 C          | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261093 | PA      | $247669.31    | 0.02%             | 2047-12-15      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2005-6 3A1           | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91923 | PA      | $80469.70     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-A B1             | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231557 | PA      | $222802.48    | 0.02%             | 2027-05-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Cwheq Home Equity Loan Trust Series 2006 S6                                              | CWL 2006-S6 A5            | CUSIP: 126684AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356778 | PA      | $341326.08    | 0.03%             | 2034-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2007-HE1 2M1        | CUSIP: 07389UAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1171529 | PA      | $1103052.92   | 0.09%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                               | CSMC 2006-9 4A13          | CUSIP: 126380BZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1332700 | PA      | $774910.27    | 0.06%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2004-S2 4A5         | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171105 | PA      | $157741.41    | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-2A B2           | CUSIP: 07324YAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48091 | PA      | $774476.73    | 0.06%             | 2036-07-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2005-G 4A3          | CUSIP: 05949CEN2<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    584292 | PA      | $525409.41    | 0.04%             | 2035-08-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1998-C M1             | CUSIP: 09774XAP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1094945 | PA      | $1088225.38   | 0.09%             | 2029-01-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2007-6ALT A2         | CUSIP: 88157VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270561 | PA      | $204847.99    | 0.02%             | 2038-08-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| RAAC Series 2006-RP4 Trust                                                               | RAAC 2006-RP4 M2          | CUSIP: 74919TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4055382.00   | 0.34%             | 2046-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    207967 | PA      | $197188.88    | 0.02%             | 2035-05-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3     | AABST 2004-3 B2           | CUSIP: 00764MCK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370110 | PA      | $353223.13    | 0.03%             | 2034-09-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2004-5 A5           | CUSIP: 542514HB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298060 | PA      | $298196.79    | 0.02%             | 2034-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2004-B 6A1           | CUSIP: 05946XJP9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    382389 | PA      | $321635.72    | 0.03%             | 2034-12-20      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2005-SL1 A3          | CUSIP: 76112BMN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298780 | PA      | $41808.21     | 0.00%             | 2032-05-25      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-9 M2            | CUSIP: 362341GN3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    952214 | PA      | $944944.20    | 0.08%             | 2035-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Wmabs Series 2006-He3 Trust                  | WMABS 2006-HE5 1A         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3277819 | PA      | $2466815.30   | 0.21%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                      | COMM 2014-CR14 C          | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1299498.11   | 0.11%             | 2047-02-10      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2016-R2 Trust                                                    | BAFC 2016-R2 1A1          | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204832 | PA      | $204623.34    | 0.02%             | 2033-05-01      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Comm 2014-Ccre17 Mortgage Trust                                                          | COMM 2014-CR17 C          | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $588824.89    | 0.05%             | 2047-05-10      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M1         | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2541918 | PA      | $2556925.06   | 0.21%             | 2037-03-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                            | CNF 2001-3 M1             | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206805 | PA      | $214045.93    | 0.02%             | 2033-05-01      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| ML -Cfc Commercial Mortgage Trust 2006-4                                                 | MLCFC 2007-9 AJ           | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511745 | PA      | $486052.89    | 0.04%             | 2049-09-12      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                                                  | WFRBS 2012-C9 E           | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1329865 | PA      | $1299930.99   | 0.11%             | 2045-11-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2007-AR2 2A1         | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580542 | PA      | $217711.37    | 0.02%             | 2037-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 2A2           | CUSIP: 362334QD9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |       200 | PA      | $948000.00    | 0.08%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST                                                            | MSRR 2011-R1 1B           | CUSIP: 61759SAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2671501 | PA      | $3234232.50   | 0.27%             | 2037-02-26      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2006-9HGA A3         | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902796 | PA      | $283515.23    | 0.02%             | 2037-10-25      | Floating      | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Home Equity Loan Trust Series 2006 S7                                              | CWL 2006-S7 A5            | CUSIP: 12668VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139767 | PA      | $140436.56    | 0.01%             | 2035-11-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-6 B1              | CUSIP: 393505PE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1602142 | PA      | $1622690.58   | 0.14%             | 2027-09-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities                                          | WFHET 2004-2 M7           | CUSIP: 94980GAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488473 | PA      | $504034.87    | 0.04%             | 2034-10-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2007-AR1 3A1        | CUSIP: 32053EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358771 | PA      | $288713.36    | 0.02%             | 2037-05-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-10 6A1          | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102601 | PA      | $96083.59     | 0.01%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2006-3 33A1         | CUSIP: 07386HQ38<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52440 | PA      | $32376.13     | 0.00%             | 2036-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-2 3A1           | CUSIP: 007036GT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106569 | PA      | $104867.94    | 0.01%             | 2035-06-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2B1            | CUSIP: 45254NPS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525532 | PA      | $560581.75    | 0.05%             | 2035-05-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust 2012-Show                                                                   | BBUBS 2012-TFT B          | CUSIP: 05490AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5863911 | PA      | $5755050.63   | 0.48%             | 2030-06-05      | Floating      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| OPTION ONE WOODBRIDGE LOAN TRU                                                           | OOWLT 2004-1 M            | CUSIP: 68401NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647361 | PA      | $639263.68    | 0.05%             | 2034-02-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2007-AR2 2A1        | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31285 | PA      | $15022.08     | 0.00%             | 2037-07-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2005-43 3A1         | CUSIP: 12667G5X7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628935 | PA      | $584664.09    | 0.05%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2003-1 M             | CUSIP: 000759DG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    604007 | PA      | $603900.66    | 0.05%             | 2033-08-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2003-HYB1 A1        | CUSIP: 61746WB74<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75881 | PA      | $68426.32     | 0.01%             | 2033-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                                          | WFRBS 2014-C23 AS         | CUSIP: 92939HBA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577956 | PA      | $562929.31    | 0.05%             | 2057-10-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN T                                                           | CWALT 2006-OC11 2A2A      | CUSIP: 23244JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       983 | PA      | $3564.50      | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-HE1 M1         | CUSIP: 36228FR32<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     77626 | PA      | $71405.35     | 0.01%             | 2034-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing Contract Trust 2001-A                                        | ORGN 2006-A A2            | CUSIP: 68620BAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2723177 | PA      | $2456551.16   | 0.21%             | 2037-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-8 B1              | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427959 | PA      | $432520.15    | 0.04%             | 2026-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2005-6 3A1           | CUSIP: 576433A30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1022715 | PA      | $348680.40    | 0.03%             | 2035-07-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates Series 2003 3     | AABST 2004-4 M3           | CUSIP: 00764MCV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482688 | PA      | $522422.17    | 0.04%             | 2034-10-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                           | WFCM 2013-LC12 B          | CUSIP: 94988QAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29757 | PA      | $29177.80     | 0.00%             | 2046-07-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                  | SABR 2004-OP2 A2          | CUSIP: 81375WBM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284320 | PA      | $274888.79    | 0.02%             | 2034-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-1A M5           | CUSIP: 07324SDL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481188 | PA      | $444653.37    | 0.04%             | 2036-04-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-6A 1A21         | CUSIP: 007036PB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162593 | PA      | $140635.29    | 0.01%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H204<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        30 | NS      | $645000.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                            | GSAA 2007-7 A4            | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    388326 | PA      | $373713.79    | 0.03%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NEW RESI MTG LN TR 2019-5                                                                | NRZT 2019-5A B4IA         | CUSIP: 64830MDS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10256946 | PA      | $167334.90    | 0.01%             | 2059-08-25      | Floating      | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                                               | AMRES 1999-1 M1           | CUSIP: 03215PFP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171980 | PA      | $154644.06    | 0.01%             | 2029-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2003-11 6A16        | CUSIP: 55265K2D0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25510 | PA      | $25303.19     | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2004-AR2 A1B         | CUSIP: 23332UAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850324 | PA      | $725687.52    | 0.06%             | 2044-11-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-5 2A7           | CUSIP: 12669FWB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182919 | PA      | $177240.70    | 0.01%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLCC 2003-F B1            | CUSIP: 5899292T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85810 | PA      | $80745.45     | 0.01%             | 2028-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2006-SD3 1A1A       | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24177 | PA      | $24511.90     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET                                                            | FFML 2004-FFA X           | CUSIP: BCC0E6050<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44503 | PA      | $44086.25     | 0.00%             | 2038-04-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2004-9 3A7          | CUSIP: 57643MFP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74941 | PA      | $72507.79     | 0.01%             | 2034-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-AR2 M          | CUSIP: 939336E90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560602 | PA      | $553580.67    | 0.05%             | 2033-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AX4         | CUSIP: 92910EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742076 | PA      | $682160.81    | 0.06%             | 2036-02-16      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                              | PRIME 2004-1 1A6          | CUSIP: 74160MEU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63441 | PA      | $62918.39     | 0.01%             | 2034-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp.                                                         | MRFC 1999-TBC3 B5         | CUSIP: 585525DM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31424 | PA      | $30734.48     | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Wfld Mtg Tr 2014-Mont                                                                    | WFLD 2014-MONT A          | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1784425 | PA      | $1686979.53   | 0.14%             | 2031-08-10      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 4A1           | CUSIP: 3623417S2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    708843 | PA      | $506959.57    | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2004-2 M2           | CUSIP: 64352VGB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288682 | PA      | $331300.40    | 0.03%             | 2034-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165404 | PA      | $146888.11    | 0.01%             | 2035-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST                                                            | BAFC 2015-R8 3A2          | CUSIP: 05991BAH8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   2128895 | PA      | $1689932.16   | 0.14%             | 2035-08-26      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2002-3 M3            | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385560 | PA      | $404678.53    | 0.03%             | 2032-08-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Equity One Mtg                                                                           | EQABS 2002-1 M1           | CUSIP: 294754AS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216588 | PA      | $213887.05    | 0.02%             | 2032-08-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                      | SAST 1999-5 BF            | CUSIP: 805564FB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    898949 | PA      | $833240.37    | 0.07%             | 2028-08-25      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp Mortgage Loan Trust                                     | SASC 2006-RF3 2A          | CUSIP: 863592AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135362 | PA      | $128230.78    | 0.01%             | 2036-10-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2005-A8 1A1         | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568633 | PA      | $445515.53    | 0.04%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2005-10 4A1           | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710003 | PA      | $396788.15    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2010-C1 D            | CUSIP: 12622DAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4891539 | PA      | $4765458.82   | 0.40%             | 2046-07-10      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA12 CB3        | CUSIP: 761118NA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020744 | PA      | $938687.60    | 0.08%             | 2035-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-2A B1           | CUSIP: 07324SBW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167018 | PA      | $170683.34    | 0.01%             | 2035-08-25      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2004-RM1 M1           | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34047 | PA      | $33448.89     | 0.00%             | 2034-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2004-AA7 1A1        | CUSIP: 32051GEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337273 | PA      | $311537.06    | 0.03%             | 2035-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                                                  | WFRBS 2011-C2 E           | CUSIP: 92935JAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102827 | PA      | $99632.44     | 0.01%             | 2044-02-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                 | WFRBS 2013-C14 D          | CUSIP: 92890PBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6956000 | PA      | $4198973.40   | 0.35%             | 2046-06-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates Series 2007-Sl1                           | CBASS 2006-RP2 M1         | CUSIP: 1248M3AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884419 | PA      | $953766.07    | 0.08%             | 2036-07-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                 | WFRBS 2013-C14 B          | CUSIP: 92890PAH7<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-O            | CORP              | US        |   9167262 | PA      | $8599566.47   | 0.72%             | 2046-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2005-8                                                    | ARMT 2005-10 3A31         | CUSIP: 007036TH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58075 | PA      | $51637.35     | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006 QS11 Trust                                                              | RALI 2006-QS11 2A1        | CUSIP: 75115EAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7191259 | PA      | $2387472.67   | 0.20%             | 2036-08-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2011-C4 D           | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2242804 | PA      | $2116866.01   | 0.18%             | 2044-06-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2003-SL1 A41         | CUSIP: 760985E72<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477762 | PA      | $364661.13    | 0.03%             | 2031-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-43 IO            | CUSIP: 38378KDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1217938 | PA      | $264.17       | 0.00%             | 2048-08-16      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMU 2002-AR9 1B3         | CUSIP: 9393357S8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8525 | PA      | $4785.28      | 0.00%             | 2042-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1999-3 A9              | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404498 | PA      | $366561.16    | 0.03%             | 2031-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2006 Ar19                                               | INDX 2006-AR25 2A1        | CUSIP: 45661HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404513 | PA      | $369767.09    | 0.03%             | 2036-09-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                                            | SAILN 2003-6A A           | CUSIP: 80382SAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    576011 | PA      | $1892725.72   | 0.16%             | 2033-07-27      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 2001-2 A            | CUSIP: 36228FEC6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    319285 | PA      | $311866.62    | 0.03%             | 2032-06-19      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10                              | MSBAM 2013-C10 D          | CUSIP: 61762MBC4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-O            | CORP              | US        |   4930000 | PA      | $4015942.50   | 0.34%             | 2046-07-15      | Floating      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR6 B4          | CUSIP: 929227QG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50240 | PA      | $41434.97     | 0.00%             | 2042-06-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-NC4 M1          | CUSIP: 61744CCH7<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    554261 | PA      | $553497.22    | 0.05%             | 2034-04-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2002-HE2 M1           | CUSIP: 004421AX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137462 | PA      | $232230.60    | 0.02%             | 2032-08-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                                                   | MSC 2011-C2 E             | CUSIP: 617459AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10180000 | PA      | $9672018.00   | 0.81%             | 2044-06-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2006-2 M7           | CUSIP: 07388FAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2987000 | PA      | $2874812.76   | 0.24%             | 2036-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                                                       | RASC 2004-KS11 M2         | CUSIP: 76110WJ49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2674623 | PA      | $2803518.21   | 0.23%             | 2034-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Coml Mtg Secs Tr 2018-Minn                                              | JPMCC 2018-MINN A         | CUSIP: 46650GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3281036.15   | 0.27%             | 2035-11-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2006-I 5A1           | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90267 | PA      | $77188.33     | 0.01%             | 2046-10-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 D           | CUSIP: 46635GAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2004065 | PA      | $1852630.50   | 0.15%             | 2043-11-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2002-4 M1            | CUSIP: 000759DB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860427 | PA      | $604864.09    | 0.05%             | 2033-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2005-9 2A3          | CUSIP: 17307GM70<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883238 | PA      | $686874.55    | 0.06%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                                        | BSARM 2007-5 2A1          | CUSIP: 07386YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2725658 | PA      | $2484867.57   | 0.21%             | 2047-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR6 B3          | CUSIP: 929227QE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63772 | PA      | $56250.35     | 0.00%             | 2042-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                            | CNF 2002-1 M2             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2186639 | PA      | $2147229.64   | 0.18%             | 2033-12-01      | Floating      | 9.55%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                         | CWALT 2006-32CB A1        | CUSIP: 02147XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385256 | PA      | $176231.02    | 0.01%             | 2036-11-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2006-AR3 21A1        | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1104614 | PA      | $892991.22    | 0.07%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-3 A2             | CUSIP: 65537UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3733619 | PA      | $3335447.66   | 0.28%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                      | SVHE 2007-OPT4 X1         | CUSIP: 83613AAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27726372 | PA      | $674726.40    | 0.06%             | 2037-09-25      | Floating      | 0.30%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2005-2 3A1           | CUSIP: 576433XW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673230 | PA      | $594681.03    | 0.05%             | 2035-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2002-B M1           | CUSIP: 456606DK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187292 | PA      | $192119.34    | 0.02%             | 2033-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-3 M3           | CUSIP: 64352VDB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425989 | PA      | $667455.29    | 0.06%             | 2033-07-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-AC5 A1         | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11855 | PA      | $13403.79     | 0.00%             | 2033-10-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                           | FHLT 2005-A M3            | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5471 | PA      | $5413.00      | 0.00%             | 2035-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                   | JPMCC 2012-WLDN A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17346791 | PA      | $15959047.64  | 1.33%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-1 M2             | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37509 | PA      | $42195.28     | 0.00%             | 2034-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust 2004-He2                                                    | GMACM 2004-HE3 A2VN       | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908529 | PA      | $863437.02    | 0.07%             | 2034-10-25      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1998-2 M1              | CUSIP: 393505B27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176560 | PA      | $177629.74    | 0.01%             | 2028-12-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                             | CWHEL 2007-A A            | CUSIP: 126682AA1<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |    394661 | PA      | $371423.10    | 0.03%             | 2037-04-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2002-FF1 M2          | CUSIP: 32027NAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248998 | PA      | $253093.98    | 0.02%             | 2032-04-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Comm 2015-CCRE23 Mortgage Trust                                                          | COMM 2015-CR23 D          | CUSIP: 12593ABF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2156993 | PA      | $2089155.20   | 0.17%             | 2048-05-10      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2007-4                                                 | CSMC 2007-4 1A1           | CUSIP: 126379AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188824 | PA      | $104131.27    | 0.01%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-3A B2           | CUSIP: 07324SCL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880837 | PA      | $1017303.43   | 0.08%             | 2035-11-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Attentus CDO III Ltd / LLC                                                               | ATTN 2007-3A D            | CUSIP: 04973PAF6<br>LEI: 5493004RJP3DQLC3SN92 | Long             | ABS-CBDO         | CORP              | KY        |   2800000 | PA      | $595658.00    | 0.05%             | 2042-10-11      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1APO        | CUSIP: 12566QAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63420 | PA      | $35723.56     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-10F 2A1          | CUSIP: 36266WAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16701 | PA      | $1295000.00   | 0.11%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2005-SD4 2M4        | CUSIP: 073877EL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902000 | PA      | $1027836.04   | 0.09%             | 2042-12-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2003-8 CB2           | CUSIP: 22541NZ51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42014 | PA      | $39817.82     | 0.00%             | 2033-04-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2007 Ar2                                                         | GSR 2007-AR2 5A1A         | CUSIP: 3622N6AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205213 | PA      | $190493.05    | 0.02%             | 2037-05-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLCC 2003-D B2            | CUSIP: 589929V70<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20655 | PA      | $16871.54     | 0.00%             | 2028-08-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                    | WFMBS 2004-K 1A3          | CUSIP: 94981VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22266 | PA      | $22726.00     | 0.00%             | 2034-07-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2006-1 11A1         | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2089790 | PA      | $1993574.17   | 0.17%             | 2036-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-BO1 M9A        | CUSIP: 073879JU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4660065 | PA      | $4660883.29   | 0.39%             | 2034-10-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2012-C4                                           | UBSBB 2013-C5 D           | CUSIP: 90270YAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2477250 | PA      | $1941052.21   | 0.16%             | 2046-03-10      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                                                       | IRWHE 2006-P1 1A          | CUSIP: 46412AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324945 | PA      | $315609.02    | 0.03%             | 2036-12-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2004-12 2A4         | CUSIP: 07386HPG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125759 | PA      | $119806.17    | 0.01%             | 2035-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Banc Of America Alternative Loan Trust                                                   | BOAA 2006-4 1A3           | CUSIP: 05950AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299604 | PA      | $271645.81    | 0.02%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2004-R1 M1           | CUSIP: 03072SNS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107910 | PA      | $129439.99    | 0.01%             | 2034-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A A          | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    604923 | PA      | $606581.96    | 0.05%             | 2037-03-25      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                       | RAMC 2004-3 AF6           | CUSIP: 759950DN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71033 | PA      | $67379.32     | 0.01%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2003-A MF2          | CUSIP: 456606DY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $385000.00    | 0.03%             | 2032-10-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2006-A 4A1           | CUSIP: 058927AJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848074 | PA      | $818148.29    | 0.07%             | 2036-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust 2006-5                                               | TMST 2007-3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114973 | PA      | $111975.58    | 0.01%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                         | RBSGC 2005-A 4A           | CUSIP: 74927UBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074064 | PA      | $1817755.30   | 0.15%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2009-R9 3A3          | CUSIP: 05954UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333971 | PA      | $260871.59    | 0.02%             | 2056-11-25      | Floating      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-1A B1           | CUSIP: 07324SDN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    571731 | PA      | $538706.76    | 0.04%             | 2036-04-25      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2003-NC1 M3         | CUSIP: 61746WYW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207890 | PA      | $325552.65    | 0.03%             | 2032-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2005-10 11A1        | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1391379 | PA      | $1312591.61   | 0.11%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 2A11          | CUSIP: 362650AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $545000.00    | 0.05%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-NC1 B3          | CUSIP: 59020URU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927752 | PA      | $849744.74    | 0.07%             | 2035-10-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-21HE 2M3        | CUSIP: 881561PC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2307554 | PA      | $2259411.45   | 0.19%             | 2034-12-25      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-SD1 A          | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367823 | PA      | $378743.64    | 0.03%             | 2033-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2004-RM1 B1           | CUSIP: 004421FY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528589 | PA      | $445833.78    | 0.04%             | 2034-07-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CD 2017 Cd3 Mortgage Trust                                                               | CD 2017-CD5 XA            | CUSIP: 12515HBJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3621087 | PA      | $43589.93     | 0.00%             | 2050-08-15      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR19 B1         | CUSIP: 929227ZX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334582 | PA      | $317611.65    | 0.03%             | 2033-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M3         | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991968 | PA      | $1007560.65   | 0.08%             | 2037-03-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA8 CB21        | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344964 | PA      | $177124.51    | 0.01%             | 2035-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLCC 2003-D B1            | CUSIP: 589929V62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24467 | PA      | $22254.28     | 0.00%             | 2028-08-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                      | SAST 2001-2 M1            | CUSIP: 805564JR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2214626 | PA      | $1906181.69   | 0.16%             | 2031-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates Series 2007-Sl1                           | CBASS 2007-SP1 M1         | CUSIP: 1248MAAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153884 | PA      | $224539.42    | 0.02%             | 2037-12-25      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-AR7 5A1          | CUSIP: 362341XE4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    203448 | PA      | $171955.13    | 0.01%             | 2035-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2003-AR18 4M3        | CUSIP: 22541QKK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30890 | PA      | $30515.19     | 0.00%             | 2033-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-AR9 1B1         | CUSIP: 92922FBY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157730 | PA      | $143849.09    | 0.01%             | 2033-09-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                         | RBSGC 2007-A 1A1          | CUSIP: 74927WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448998 | PA      | $394042.93    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-J6 M           | CUSIP: 12667FRN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188977 | PA      | $188908.49    | 0.02%             | 2031-11-25      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-2 B3            | CUSIP: 36242DTW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    968493 | PA      | $895844.26    | 0.07%             | 2034-12-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-D Trust                                                     | BAFC 2006-D 2A1           | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493542 | PA      | $452563.86    | 0.04%             | 2036-05-20      | Floating      | 3.50%                 | 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        |    128880 | PA      | $116445.85    | 0.01%             | 2031-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2004-J2 A9          | CUSIP: 36185N2F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115419 | PA      | $98439.21     | 0.01%             | 2034-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln Tr 07-3                                                                       | GSR 2007-3F 2A1           | CUSIP: 3622MWAC7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     57294 | PA      | $1505081.93   | 0.13%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2002-S4 B4           | CUSIP: 22540V2B7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17350 | PA      | $16822.29     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR FLOAT PERP            | CUSIP: 27828Q501<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |        18 | NS      | $387000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                              | PRIME 2006-DR1 2A2        | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392315 | PA      | $335719.69    | 0.03%             | 2035-05-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2005-2                                               | AHMA 2006-1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506281 | PA      | $443401.55    | 0.04%             | 2046-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-P1A A           | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230805 | PA      | $221457.89    | 0.02%             | 2032-03-25      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Taberna Preferred Funding IV Ltd. / Taberna Preferred Funding IV Inc.                    | TBRNA 2005-4A B1          | CUSIP: 87330YAE3<br>LEI: 7VOZI9AQK252K1Z4TJ65 | Long             | ABS-CBDO         | CORP              | KY        |   5950000 | PA      | $823325.30    | 0.07%             | 2036-05-05      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Banc Americ 2006-J                                                                       | BAFC 2006-J 4A1           | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252926 | PA      | $219895.70    | 0.02%             | 2047-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust 2004-2                                           | AHM 2004-1 1M1            | CUSIP: 02660TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       989 | PA      | $987.04       | 0.00%             | 2044-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2005-SL1 A7          | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    641881 | PA      | $413700.31    | 0.03%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt A Securities Mortgage Loan Trust                                            | DBALT 2007-1 1A4A         | CUSIP: 25151YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926352 | PA      | $801513.72    | 0.07%             | 2037-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-3 A1             | CUSIP: 65537UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7439702 | PA      | $6663904.68   | 0.56%             | 2037-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMU 2002-AR9 1B1         | CUSIP: 9393357Q2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42896 | PA      | $41008.00     | 0.00%             | 2042-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2004-14 B2           | CUSIP: 576433VE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2534800 | PA      | $2211896.76   | 0.18%             | 2035-01-25      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| First American Funds Inc.                                                                | FIRST AM-TR OB-X          | CUSIP: 31846V328<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |  80169522 | PA      | $80169521.56  | 6.69%             |  |  |  | No            |                  1 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2004-HE1 M2           | CUSIP: 004421EM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440366 | PA      | $439007.73    | 0.04%             | 2034-03-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A9           | CUSIP: 3623416R5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5728 | PA      | $23993.84     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2001-AR5 B5          | CUSIP: 22540VLL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20515 | PA      | $18348.23     | 0.00%             | 2039-12-19      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2006-AR3 4A1         | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57767 | PA      | $51173.94     | 0.00%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-B B1             | CUSIP: 674135CE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2537 | PA      | $2427.44      | 0.00%             | 2027-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA4 NB21        | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195015 | PA      | $190624.46    | 0.02%             | 2034-09-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A6           | CUSIP: 362341VU0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    966757 | PA      | $924970.41    | 0.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2018-Alxa                                   | NCMS 2018-FL1 C           | CUSIP: 63874MAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $870164.57    | 0.07%             | 2035-06-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAAC 2005-RP2 M6          | CUSIP: 76112BXU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1189097 | PA      | $1194929.25   | 0.10%             | 2035-06-25      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QO4 2A1         | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597401 | PA      | $358440.40    | 0.03%             | 2045-12-25      | Floating      | 4.99%                 | 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        |    178972 | PA      | $157298.53    | 0.01%             | 2034-01-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2005-7 1A2          | CUSIP: 93934FBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409013 | PA      | $329825.43    | 0.03%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H303<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        12 | NS      | $258000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc Of America Commercial Mortgage Trust 2007-1                                         | BACM 2006-4 C             | CUSIP: 05950WAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267430 | PA      | $258387.88    | 0.02%             | 2046-07-10      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2003-FF1 M2          | CUSIP: 32027NCA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    891057 | PA      | $1168811.21   | 0.10%             | 2033-03-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2004-AR2 M2           | CUSIP: 65535VEX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1956877 | PA      | $2032265.26   | 0.17%             | 2034-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2003-AR26 9M3        | CUSIP: 22541QA36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158582 | PA      | $160359.65    | 0.01%             | 2033-11-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-S2 3A3         | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54015 | PA      | $53818.87     | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP.                                                                     | ACE 2003-MH1 B2           | CUSIP: BCC0BBNZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101471 | PA      | $98656.44     | 0.01%             | 2030-08-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNS 3 23                  | CUSIP: 38381GBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28525792 | PA      | $1634756.07   | 0.14%             | 2045-09-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2007-6 3A5            | CUSIP: 52524PAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250965 | PA      | $232984.95    | 0.02%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-2CB 4A1        | CUSIP: 12667FAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342446 | PA      | $346590.29    | 0.03%             | 2054-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ownit Mortgage Loan Trust 2006 5                                                         | OWNIT 2005-4 M1           | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4840770 | PA      | $4353310.86   | 0.36%             | 2036-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2003-2HE A           | CUSIP: 881561AR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482940 | PA      | $520624.59    | 0.04%             | 2034-07-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2006-PR1 3AF1        | CUSIP: 25157GAF9<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    709753 | PA      | $653404.66    | 0.05%             | 2036-04-15      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Argent Securities Inc. Asset Backed Pass Through Certificates Series 2003 W5             | ARSI 2003-W6 AV1          | CUSIP: 040104CM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326029 | PA      | $312455.78    | 0.03%             | 2034-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust 2006 Pwr14                             | BSCMS 2007-T26 AJ         | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217508 | PA      | $214628.58    | 0.02%             | 2045-01-12      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-3A B1           | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200428 | PA      | $224068.81    | 0.02%             | 2035-11-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                      | SACO 2005-WM2 M1          | CUSIP: 785778JY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38744 | PA      | $43728.23     | 0.00%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2000-C MV1          | CUSIP: 456606BN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224779 | PA      | $394992.08    | 0.03%             | 2031-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2011-GC5                                                    | GSMS 2011-GC5 B           | CUSIP: 36191YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16791000 | PA      | $15892757.06  | 1.33%             | 2044-08-10      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-D B1             | CUSIP: 674135CW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824438 | PA      | $829194.58    | 0.07%             | 2028-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Indymac Mtg 07-F3                                                                        | IMSC 2007-F3 PO           | CUSIP: 45671BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70762 | PA      | $41508.86     | 0.00%             | 2037-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10                              | MSBAM 2013-C10 C          | CUSIP: 61762MCB5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $1960066.24   | 0.16%             | 2046-07-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2002-S4 B5           | CUSIP: 22540V2C5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17350 | PA      | $16829.53     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2007-3 22A5          | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291476 | PA      | $237367.14    | 0.02%             | 2047-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan Trust                                                      | FINA 2004-3 M3            | CUSIP: 317350BV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195762 | PA      | $174278.72    | 0.01%             | 2034-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2005-17 1AF4          | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275510 | PA      | $1042872.52   | 0.09%             | 2036-05-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2006-AA4 1A1        | CUSIP: 32052NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1112 | PA      | $0.00         | 0.00%             | 2036-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust 2009-RS1                                            | MLRT 2009-RS1 B15         | CUSIP: 61914WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12382362 | PA      | $8965667.04   | 0.75%             | 2036-04-16      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1998-1 A            | CUSIP: 36228FAA4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     41417 | PA      | $40117.50     | 0.00%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-B 1A1           | CUSIP: 05946XRT2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    129464 | PA      | $120006.25    | 0.01%             | 2035-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2005-A6 5A1         | CUSIP: 466247UA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214317 | PA      | $218667.10    | 0.02%             | 2035-08-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11                              | HEAT 2002-5 B1            | CUSIP: 2254W0AK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358059 | PA      | $369144.60    | 0.03%             | 2033-05-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust 2014-R2                                            | MSRR 2015-R7 1BXA         | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573230 | PA      | $516971.33    | 0.04%             | 2029-02-26      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | RAST 2000-A6 B2           | CUSIP: 12669BUK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149614 | PA      | $80497.88     | 0.01%             | 2030-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2003-1 B2            | CUSIP: 05946XCA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67868 | PA      | $30837.72     | 0.00%             | 2033-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-AR1 2A         | CUSIP: 939336PM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20570 | PA      | $20091.32     | 0.00%             | 2033-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H402<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        61 | NS      | $1311500.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A4           | CUSIP: 362341VS5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    418831 | PA      | $400727.63    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-AR31 CB2        | CUSIP: 22541NTH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15419 | PA      | $15002.66     | 0.00%             | 2032-11-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA6 NB23        | CUSIP: 76110H6P9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    670890 | PA      | $317835.14    | 0.03%             | 2035-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                       | FHASI 2006-AR3 3A1        | CUSIP: 32052EAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461555 | PA      | $362499.53    | 0.03%             | 2036-10-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| CIT Home Equity Loan Trust 2002-2                                                        | CITHE 2002-2 MV2          | CUSIP: 12558MBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367124 | PA      | $583994.67    | 0.05%             | 2031-11-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                             | ABSHE 2003-HE6 A2         | CUSIP: 04541GFY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366732 | PA      | $407295.86    | 0.03%             | 2033-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    216124 | PA      | $131358.10    | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2004-11 5A4         | CUSIP: 57643MJL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942375 | PA      | $727282.88    | 0.06%             | 2034-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Taberna Preferred Funding I Ltd.                                                         | TBRNA 2005-1A A2          | CUSIP: 87330PAC6<br>LEI: 549300UVUFF52P87TF20 | Long             | ABS-CBDO         | CORP              | KY        |   7933477 | PA      | $5859919.81   | 0.49%             | 2035-07-05      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SAIL 2003-BC10 M4         | CUSIP: 86359A2L6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312722 | PA      | $555886.86    | 0.05%             | 2033-10-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 2A2           | CUSIP: 3622MPAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182857 | PA      | $745997.78    | 0.06%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-AR2 2M2         | CUSIP: 22540VTV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150837 | PA      | $162396.10    | 0.01%             | 2032-02-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| UCFC Acceptance Corp Series 1998-D                                                       | UCFC 1998-D BV1           | CUSIP: 90263BHK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    532746 | PA      | $670289.04    | 0.06%             | 2028-12-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWALT 2003-J3 1A2         | CUSIP: 12669FEY5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     47084 | PA      | $46805.69     | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass-Through Certificates Series 2006-1               | IMSA 2003-3 M1            | CUSIP: 45254TNJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151360 | PA      | $149703.06    | 0.01%             | 2033-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-3 2A1            | CUSIP: 52521JAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101105 | PA      | $68676.13     | 0.01%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1999-D M1             | CUSIP: 67087TAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902587 | PA      | $908085.61    | 0.08%             | 2029-11-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2010-55 SH            | CUSIP: 31398RLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    168359 | PA      | $3634.74      | 0.00%             | 2040-05-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-40A B1          | CUSIP: 86359BER8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1274994 | PA      | $987765.99    | 0.08%             | 2034-01-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                     | JPMCC 2011-C3 B           | CUSIP: 46635TAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630423 | PA      | $599731.18    | 0.05%             | 2046-02-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2007-SD1 1A2A       | CUSIP: 07389QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409556 | PA      | $131206.92    | 0.01%             | 2036-10-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2003-3 M3           | CUSIP: 542514EC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417683 | PA      | $818873.94    | 0.07%             | 2033-07-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| AAMC Inc.                                                                                | AMAC 2003-3 A4            | CUSIP: 000780AD8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     37322 | PA      | $36940.15     | 0.00%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Greenwich Capital Commercial Mortgage Trust                                              | GCCFC 2006-RR1 A1         | CUSIP: 39678AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661031 | PA      | $244581.47    | 0.02%             | 2049-03-18      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2005-WF1 M9          | CUSIP: 57643LKE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2184142 | PA      | $2300249.38   | 0.19%             | 2035-06-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                             | CWALT 2006-J6 A2          | CUSIP: 23244EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1468744 | PA      | $149777.23    | 0.01%             | 2036-09-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2006-1 M1           | CUSIP: 89789KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    383247 | PA      | $355894.50    | 0.03%             | 2036-03-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-S1 M1            | CUSIP: 126673TF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22095 | PA      | $21954.64     | 0.00%             | 2035-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                           | SARM 2005-14 A1           | CUSIP: 863579TM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1316122 | PA      | $779499.58    | 0.07%             | 2035-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                       | MSBAM 2014-C18 D          | CUSIP: 61763XAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1084737 | PA      | $1042880.48   | 0.09%             | 2047-10-15      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-AR1 1A1          | CUSIP: 362290AA6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1102990 | PA      | $552752.80    | 0.05%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                           | BCAP 2012-RR8 4A6         | CUSIP: 05541DAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3754426 | PA      | $3197516.98   | 0.27%             | 2036-11-20      | Floating      | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWHEL 2004-O 2A           | CUSIP: 126673KS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34363 | PA      | $34009.66     | 0.00%             | 2034-02-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VINAB 2009-1 UAA3         | CUSIP: 92906CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055708 | PA      | $1003595.39   | 0.08%             | 2036-09-26      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6                               | MSBAM 2012-C6 D           | CUSIP: 61761DAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347615 | PA      | $315199.62    | 0.03%             | 2045-11-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-10 B1             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1947072 | PA      | $1976447.67   | 0.16%             | 2028-11-15      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 365 257               | CUSIP: 31325XQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231209 | PA      | $43617.42     | 0.00%             | 2049-05-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Financial Capital Securitization Series 1997-I LLC                              | DFCS 1998-I B1            | CUSIP: 251547AS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1342592 | PA      | $1333769.52   | 0.11%             | 2028-04-15      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-8 3B             | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94356 | PA      | $94488.57     | 0.01%             | 2034-08-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2006-F 1A2           | CUSIP: 05950HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194050 | PA      | $163375.41    | 0.01%             | 2036-07-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2004-4                                            | NHEL 2003-2 M2            | CUSIP: 66987WAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597659 | PA      | $605242.82    | 0.05%             | 2033-09-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-31 2A3          | CUSIP: 126694UN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711896 | PA      | $642659.03    | 0.05%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2006-AR1 A1A        | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1635336 | PA      | $1351259.05   | 0.11%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 2000-4 1A             | CUSIP: 00105HEN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68508 | PA      | $67733.79     | 0.01%             | 2031-01-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2006-AR3 22A1        | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103906 | PA      | $42678.36     | 0.00%             | 2036-05-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2005-AR3 2A1B        | CUSIP: 23332UDV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576679 | PA      | $1437582.36   | 0.12%             | 2045-07-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2003-NC2 B1         | CUSIP: 61746WB25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1642789 | PA      | $1747965.52   | 0.15%             | 2033-02-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-3 M1              | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3094689 | PA      | $3145921.64   | 0.26%             | 2028-03-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2004-SL3 A4          | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    364165 | PA      | $167498.43    | 0.01%             | 2031-12-25      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                                           | WFCM 2013-LC12 C          | CUSIP: 94988QAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5925000 | PA      | $5344722.09   | 0.45%             | 2046-07-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CORPORATI                                                           | ABFC 2002-WF2 CE          | CUSIP: BCC08AKC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300807 | PA      | $1039904.68   | 0.09%             | 2029-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2013-8 2A2          | CUSIP: 17321PAG5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    260427 | PA      | $173544.12    | 0.01%             | 2036-11-25      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                                                   | MSC 2011-C3 E             | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968287 | PA      | $942341.74    | 0.08%             | 2049-07-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2004-9XS 2M2         | CUSIP: 86359BRQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    863000 | PA      | $963352.14    | 0.08%             | 2034-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2005-AA1 1A1        | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24232 | PA      | $13790.08     | 0.00%             | 2035-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust Series 2007 2                             | MLMBS 2007-1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244576 | PA      | $214254.26    | 0.02%             | 2037-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-HE16 B1         | CUSIP: 22540V2N1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594781 | PA      | $673588.94    | 0.06%             | 2032-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR Float PERP            | CUSIP: 27828Q303<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |        46 | NS      | $989000.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2006-SD1 M4         | CUSIP: 07384YVK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1788000 | PA      | $1933243.17   | 0.16%             | 2036-04-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C15                                      | JPMBB 2013-C15 D          | CUSIP: 46640NAP3<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-O            | CORP              | US        |   6858429 | PA      | $5968739.30   | 0.50%             | 2045-11-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A2           | CUSIP: 36297XAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224274 | PA      | $541298.20    | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                          | CWHL 2007-J2 1A1          | CUSIP: 12545EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107410 | PA      | $100550.63    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 Mortgage Trust                                                           | COMM 2012-CR1 D           | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6285347 | PA      | $5705928.06   | 0.48%             | 2045-05-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2006-2N 1A1           | CUSIP: 525221HA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319459 | PA      | $285002.72    | 0.02%             | 2046-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-4                                             | CWL 2007-4 A5W            | CUSIP: 12668WAU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1698864 | PA      | $1414487.16   | 0.12%             | 2047-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1998-D M1             | CUSIP: 674135EB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    558828 | PA      | $562021.21    | 0.05%             | 2029-01-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Phhmc Ser 2006 4T                                                                        | PHHMC 2006-4 B1           | CUSIP: 69335YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201688 | PA      | $201590.77    | 0.02%             | 2036-12-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities                                          | WFHET 2004-2 AI9          | CUSIP: 94980GAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8786 | PA      | $8906.19      | 0.00%             | 2034-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2003-AR1 M3          | CUSIP: 03072SEL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93571 | PA      | $91598.21     | 0.01%             | 2033-01-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H501<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        29 | NS      | $623500.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2007-AR1 1A1B        | CUSIP: 23333YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3858647 | PA      | $2935837.15   | 0.25%             | 2047-04-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2005-AR6 3A1        | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278685 | PA      | $241433.81    | 0.02%             | 2035-11-19      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-1F 4A1           | CUSIP: 36242DVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223515 | PA      | $206412.41    | 0.02%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3753 SB               | CUSIP: 3137A3MT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    239440 | PA      | $23335.80     | 0.00%             | 2040-11-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 A1II        | CUSIP: 76110HS42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1503958 | PA      | $839926.93    | 0.07%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1999-B A2             | CUSIP: 09774XBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    731888 | PA      | $49467.47     | 0.00%             | 2029-12-15      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | RAST 2004-A2 2A1          | CUSIP: 45660ND28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201958 | PA      | $196531.77    | 0.02%             | 2034-05-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                       | BSMF 2007-SL1 1A          | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2075038 | PA      | $2677815.11   | 0.22%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                       | LXS 2005-5N 1A2           | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589639 | PA      | $594310.85    | 0.05%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2005-6 3A1          | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712417 | PA      | $692726.10    | 0.06%             | 2035-08-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S8 Trust                                                               | RFMSI 2007-S9 1A1         | CUSIP: 74958VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992481 | PA      | $451363.39    | 0.04%             | 2037-10-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA9 CB3         | CUSIP: 761118FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1146643 | PA      | $1052328.46   | 0.09%             | 2035-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX                           | JPMCC 2012-CBX E          | CUSIP: 46637WAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7205334 | PA      | $6747654.75   | 0.56%             | 2045-06-15      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2004-FRE1 B3         | CUSIP: 22541SSX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693258 | PA      | $643475.79    | 0.05%             | 2034-04-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2013-C11 D          | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2305000 | PA      | $1950130.50   | 0.16%             | 2045-03-15      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities                                          | WFHET 2004-2W AI8I        | CUSIP: 94980GBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1286316 | PA      | $1273514.61   | 0.11%             | 2034-09-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                       | MSBAM 2013-C12 D          | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4158000 | PA      | $3788271.47   | 0.32%             | 2046-10-15      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2002-2 M2           | CUSIP: 897896AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3140478 | PA      | $2722423.56   | 0.23%             | 2032-11-25      | Floating      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                                             | MSM 2005-2AR B1           | CUSIP: 61745M4G5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-O            | CORP              | US        |    293572 | PA      | $232188.82    | 0.02%             | 2035-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                             | PBHET 1998-4 A9           | CUSIP: 743844CD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359000 | PA      | $338813.18    | 0.03%             | 2030-01-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| RAAC Series 2006-RP4 Trust                                                               | RAAC 2006-RP4 M3          | CUSIP: 74919TAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4638000 | PA      | $4725911.44   | 0.39%             | 2046-01-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST                                                                           | BCAP 2010-RR11 3A3        | CUSIP: 05533JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1165186 | PA      | $1113266.89   | 0.09%             | 2036-06-27      | Floating      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2002-AR13 M1         | CUSIP: 929227UD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86534 | PA      | $82689.32     | 0.01%             | 2032-10-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | RAST 2006-A3CB AX         | CUSIP: 45661EFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172501 | PA      | $32542.93     | 0.00%             | 2046-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2005-SD4 2M3        | CUSIP: 073877EK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407310 | PA      | $481656.81    | 0.04%             | 2042-12-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                                | SAMI 2002-AR5 A2          | CUSIP: 86358HRH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226160 | PA      | $207917.63    | 0.02%             | 2033-05-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2006-2 1A             | CUSIP: 61748HVE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68221 | PA      | $61817.62     | 0.01%             | 2052-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2005-SHL1 M3        | CUSIP: 17307GR83<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303072 | PA      | $562420.52    | 0.05%             | 2044-07-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1996-B B1             | CUSIP: 674135BE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13469 | PA      | $13391.22     | 0.00%             | 2026-10-15      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2004-FFH2 M4         | CUSIP: 32027NJB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4807869 | PA      | $4272802.64   | 0.36%             | 2034-06-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2005-1 M1           | CUSIP: 897896BE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230173 | PA      | $256715.06    | 0.02%             | 2037-03-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2008-RR1 A1A1       | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224696 | PA      | $1086912.45   | 0.09%             | 2037-01-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                  | SAMI 2004-AR5 2A3         | CUSIP: 86359LEB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154305 | PA      | $142258.37    | 0.01%             | 2034-10-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2004-R3 M4           | CUSIP: 03072SQF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992136 | PA      | $913429.72    | 0.08%             | 2034-05-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2004-RS7 A3          | CUSIP: 7609857K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1686801 | PA      | $1517395.06   | 0.13%             | 2034-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Comm 2012-CCRE3 Mortgage Trust                                                           | COMM 2012-CR3 B           | CUSIP: 12624PAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4074007 | PA      | $3715049.65   | 0.31%             | 2045-10-15      | Fixed         | 3.92%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-AF1                               | MANA 2007-AF1 1AF2        | CUSIP: 59024KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109506 | PA      | $105212.31    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2004-5 A6           | CUSIP: 542514HC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334354 | PA      | $331490.18    | 0.03%             | 2034-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                  | SAMI 2004-AR6 A1B         | CUSIP: 86359LFJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166220 | PA      | $166285.97    | 0.01%             | 2035-02-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2005-9 4A2           | CUSIP: 2254585V6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486094 | PA      | $411244.57    | 0.03%             | 2035-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2003-TC1 M2           | CUSIP: 004421CA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227025 | PA      | $217741.60    | 0.02%             | 2033-06-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Taberna Preferred Funding I Ltd.                                                         | TBRNA 2005-1A B2          | CUSIP: 87330PAE2<br>LEI: 549300UVUFF52P87TF20 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $1730000.00   | 0.14%             | 2035-07-05      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                        | CMSI 2005-2 1A3           | CUSIP: 172973Q85<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |    170307 | PA      | $153152.57    | 0.01%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2001-AR3 B1          | CUSIP: 929227EN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169317 | PA      | $149310.28    | 0.01%             | 2041-11-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2004-AP1 A5           | CUSIP: 65535VCM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8856 | PA      | $8740.97      | 0.00%             | 2034-03-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                                                 | TBW 2006-1 2A1            | CUSIP: 225470T60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508696 | PA      | $298311.65    | 0.02%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA4 NB1         | CUSIP: 76110HZF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307391 | PA      | $280224.38    | 0.02%             | 2034-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | HEAT 2003-8 B2            | CUSIP: 22541QY71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96264 | PA      | $138198.21    | 0.01%             | 2034-04-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-3 B1            | CUSIP: 36242DWW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178015 | PA      | $176794.33    | 0.01%             | 2034-12-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2003-27 8A1          | CUSIP: 22541QQ39<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190242 | PA      | $194759.01    | 0.02%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2003-1 B1           | CUSIP: 41161PBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53333 | PA      | $43691.06     | 0.00%             | 2033-05-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-4A A1           | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138963 | PA      | $133520.89    | 0.01%             | 2036-12-25      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2006-SP2 M5          | CUSIP: 07325KAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514018 | PA      | $477208.52    | 0.04%             | 2037-01-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2005-AR4 3A1         | CUSIP: 39538WBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252572 | PA      | $199251.46    | 0.02%             | 2045-10-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1999-2 A            | CUSIP: 36228FCG9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    111461 | PA      | $110935.88    | 0.01%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2004-13 9A2          | CUSIP: 576434ZZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    536652 | PA      | $268458.76    | 0.02%             | 2035-01-25      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Rbssp Resecuritization Trust 2009-6                                                      | RBSSP 2009-6 8A3          | CUSIP: 74928XBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1273154 | PA      | $364848.09    | 0.03%             | 2035-08-26      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                                      | JPMBB 2013-C12 D          | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2736047.40   | 0.23%             | 2045-07-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                              | PRIME 2006-DR1 2A1        | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1571179 | PA      | $1471706.65   | 0.12%             | 2035-05-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2004-AR2 A2B         | CUSIP: 23332UAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563510 | PA      | $513619.18    | 0.04%             | 2044-11-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RFSC 2002-RP1 A1          | CUSIP: 760985JD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319524 | PA      | $312215.51    | 0.03%             | 2033-03-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHAMS 2004-AA5 2A1        | CUSIP: 32051GBT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138759 | PA      | $131514.00    | 0.01%             | 2034-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1999-3 A8              | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1253362 | PA      | $1158438.65   | 0.10%             | 2031-02-01      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2007-8 3A1           | CUSIP: 05953LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317804 | PA      | $169657.41    | 0.01%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-89 SA            | CUSIP: 38377WVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    128095 | PA      | $11705.19     | 0.00%             | 2041-06-20      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2007-HE2 A1         | CUSIP: 36186LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792811 | PA      | $735488.13    | 0.06%             | 2037-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                     | CSMC 2011-6R 4A2          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61546 | PA      | $56724.16     | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-5 8A2            | CUSIP: 52521RBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1385180 | PA      | $170223.09    | 0.01%             | 2036-08-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2003 3                                                        | CFAB 2003-6 1A7           | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39331 | PA      | $38888.09     | 0.00%             | 2034-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2004-AR1 A2B         | CUSIP: 23332UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137093 | PA      | $122186.89    | 0.01%             | 2044-09-19      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2004-5 M2            | CUSIP: 36228F5J1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1541143 | PA      | $1371330.90   | 0.11%             | 2034-06-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Farrel & Fuller Delay TL                                                                 | FARREL & FULLER DELAY TL  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1817100 | PA      | $1826185.50   | 0.15%             | 2029-03-13      | Fixed         | 18.00%                | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-2A A2           | CUSIP: 07324SBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163944 | PA      | $160582.52    | 0.01%             | 2035-08-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| BCAP LLC Trust 2007-AA1                                                                  | BCAP 2009-RR10 1A2        | CUSIP: 05532EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1676166 | PA      | $1663702.78   | 0.14%             | 2036-02-26      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                       | IMCHE 1996-2 A7           | CUSIP: 449670BB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294623 | PA      | $294484.55    | 0.02%             | 2026-07-25      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-A7 2A1          | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036451 | PA      | $822621.69    | 0.07%             | 2035-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust                             | WFHET 2005-1 M10          | CUSIP: 9497ERAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110858 | PA      | $117646.78    | 0.01%             | 2035-04-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Chase Funding Loan Acquisition Trust Series 2004-AQ                                      | CFLAT 2004-OPT1 M2        | CUSIP: 161542EA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111831 | PA      | $114465.88    | 0.01%             | 2034-06-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                      | CGCMT 2012-GC8 D          | CUSIP: 17318UAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422000 | PA      | $249524.38    | 0.02%             | 2045-09-10      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-31A B1          | CUSIP: 86359A3K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    886280 | PA      | $795232.61    | 0.07%             | 2033-10-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-BC2 B            | CUSIP: 1266713P9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219722 | PA      | $232132.52    | 0.02%             | 2033-08-25      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Comm 2012-CCRE3 Mortgage Trust                                                           | COMM 2012-CR3 C           | CUSIP: 12624PAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3659960.00   | 0.31%             | 2045-10-15      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Tst                                                                      | WPT 2017-WWP B            | CUSIP: 98162JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5705000 | PA      | $1996749.43   | 0.17%             | 2036-11-10      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-10 MV4           | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050875 | PA      | $960106.79    | 0.08%             | 2034-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-6 M1           | CUSIP: 64352VFD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759678 | PA      | $760174.05    | 0.06%             | 2034-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-8 3M2            | CUSIP: 45254NKV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136291 | PA      | $130180.35    | 0.01%             | 2034-08-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A6           | CUSIP: 3623416N4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    195844 | PA      | $1251236.68   | 0.10%             | 2036-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | CONSECO FINANCIAL CORP    | CUSIP: 393505VZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3519037 | PA      | $3584545.82   | 0.30%             | 2029-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2003-A2 2M1          | CUSIP: 589929P51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82494 | PA      | $70713.42     | 0.01%             | 2033-03-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                            | GSR 2006-2F 2A17          | CUSIP: 362334DD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441195 | PA      | $1257873.81   | 0.11%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-Af1                      | NAA 2006-AF1 2A           | CUSIP: 65536PAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609629 | PA      | $1184282.05   | 0.10%             | 2036-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2004-OPT1 M1         | CUSIP: 57643LCH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965901 | PA      | $986330.34    | 0.08%             | 2034-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust 2004-Hltv1                                                  | GMACM 2004-GH1 B          | CUSIP: 36185HEE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    519439 | PA      | $374072.10    | 0.03%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2006-QA2 3A1         | CUSIP: 761118TU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143183 | PA      | $121610.30    | 0.01%             | 2036-02-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SAIL 2003-BC10 M3         | CUSIP: 86359A2K8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675193 | PA      | $1908740.41   | 0.16%             | 2033-10-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                                                      | SVHE 2004-1 M7            | CUSIP: 83611MBH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142932 | PA      | $115842.16    | 0.01%             | 2034-07-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2007-7 30PO          | CUSIP: 059529BA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66517 | PA      | $30924.15     | 0.00%             | 2037-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2005-43 5A1         | CUSIP: 12668AAX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386756 | PA      | $347776.10    | 0.03%             | 2035-09-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CG-Ccre Commercial Mtg Tst 2014-Fl1                                                      | CGCC 2014-FL1 B           | CUSIP: 12528MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10638718 | PA      | $10099053.67  | 0.84%             | 2031-06-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| BOND SECURITIZATION ASSET-BACK                                                           | BHLT 2003-1 X             | CUSIP: BCC0DFF06<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226914 | PA      | $209328.00    | 0.02%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2005-51 2A1         | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46100 | PA      | $42739.70     | 0.00%             | 2035-11-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-S2 3A2         | CUSIP: 46630WBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138616 | PA      | $135761.86    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-25 2A1          | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1505623 | PA      | $1392895.33   | 0.12%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                             | PBHET 2000-2 A1           | CUSIP: 743844DA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328199 | PA      | $309620.90    | 0.03%             | 2031-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                             | PBHET 1998-4 A6           | CUSIP: 743844CA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402600 | PA      | $389788.86    | 0.03%             | 2030-01-25      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-D 2A           | CUSIP: 126685AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261966 | PA      | $242389.98    | 0.02%             | 2035-11-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2005-2XS 2A2         | CUSIP: 86359B2J9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4450 | PA      | $5349.76      | 0.00%             | 2035-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2002-18 1M2          | CUSIP: 22540V3D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104432 | PA      | $101719.74    | 0.01%             | 2032-06-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2003-AR5 A7          | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28069 | PA      | $28192.03     | 0.00%             | 2033-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-C                                                                       | BAFC 2006-C 4A1           | CUSIP: 058930AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121982 | PA      | $108829.10    | 0.01%             | 2036-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2004-S2 2A4          | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55769 | PA      | $56156.07     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-39EX M3         | CUSIP: 86359BEA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217813 | PA      | $206157.66    | 0.02%             | 2033-08-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2005-4 M3             | CUSIP: 61913PBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       200 | PA      | $901250.00    | 0.08%             | 2035-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-C B1             | CUSIP: 674135CP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661092 | PA      | $662583.41    | 0.06%             | 2027-11-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-AL2 B1          | CUSIP: 86359AWU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69457 | PA      | $59662.12     | 0.00%             | 2031-01-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                        | CMSI 2006-1 1A4           | CUSIP: 1729734V8<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     75948 | PA      | $70826.18     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                       | MSBAM 2013-C11 AS         | CUSIP: 61762TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2468735 | PA      | $2297186.81   | 0.19%             | 2046-08-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2000-H 3B1          | CUSIP: 32051DCR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15272 | PA      | $15160.68     | 0.00%             | 2030-05-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust Series 2006-AF1                                   | MLMI 2006-AF1 PO          | CUSIP: 59023RAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154386 | PA      | $0.00         | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2002-21A B1II        | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         4 | PA      | $4.15         | 0.00%             | 2032-11-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-7F 2A1           | CUSIP: 36298NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9451 | PA      | $1535562.97   | 0.13%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1999-B A5             | CUSIP: 09774XBF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4944914 | PA      | $356503.05    | 0.03%             | 2029-12-15      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2006-AR2 4A1         | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    614220 | PA      | $574502.76    | 0.05%             | 2036-03-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust 2004-He2                                                    | GMACM 2005-HE3 A1VN       | CUSIP: 361856EK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    854736 | PA      | $783188.27    | 0.07%             | 2036-02-25      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Resecuritization Trust 2009-R6                                                 | JMAC 2009-R6 7A5          | CUSIP: 47232YBM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    746287 | PA      | $707843.17    | 0.06%             | 2035-08-26      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2005-36 4A1         | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195433 | PA      | $179353.21    | 0.01%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2001-D A2             | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1708063 | PA      | $596464.65    | 0.05%             | 2031-08-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2012-C4                                           | UBSBB 2013-C5 C           | CUSIP: 90270YAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3718026 | PA      | $3368447.53   | 0.28%             | 2046-03-10      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-HYB6 5A1        | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101226 | PA      | $97702.06     | 0.01%             | 2035-10-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2002-HE2 M3           | CUSIP: 004421AZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30444 | PA      | $49188.56     | 0.00%             | 2032-08-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp.                                                         | MRFC 1999-TBC3 B4         | CUSIP: 585525DL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48350 | PA      | $47400.84     | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-7 6A1           | CUSIP: 12669FXS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203410 | PA      | $1153892.41   | 0.10%             | 2034-05-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates Series 2007-Sl1                           | CBASS 2006-RP1 B3         | CUSIP: 124779AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4464000 | PA      | $4991578.73   | 0.42%             | 2036-04-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2014-C25 D          | CUSIP: 92939LAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6529534 | PA      | $6211218.76   | 0.52%             | 2047-11-15      | Floating      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M2         | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1413554 | PA      | $1422372.06   | 0.12%             | 2037-03-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-1 M1             | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298540 | PA      | $303742.86    | 0.03%             | 2034-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-71 SG            | CUSIP: 38377V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    106511 | PA      | $9876.51      | 0.00%             | 2041-05-20      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1996-C B1             | CUSIP: 674135BN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123299 | PA      | $122629.99    | 0.01%             | 2027-04-15      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                           | GSMS 2007-GG10 AJ         | CUSIP: 36246LAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2543737 | PA      | $419716.63    | 0.04%             | 2045-08-10      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                    | WFMBS 2003-I B2           | CUSIP: 949802AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23606 | PA      | $18420.65     | 0.00%             | 2033-09-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2002-1 A5            | CUSIP: 000759CF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2178234 | PA      | $1789362.56   | 0.15%             | 2032-12-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-MS2 CB4        | CUSIP: 939336RS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281921 | PA      | $4701.34      | 0.00%             | 2033-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-8CB M3         | CUSIP: 12667FGN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739166 | PA      | $935965.83    | 0.08%             | 2034-06-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2005-WL1 3M3        | CUSIP: 542514MH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650286 | PA      | $4687986.31   | 0.39%             | 2045-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H600<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        24 | NS      | $516000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| C-Bass Trust                                                                             | CBASS 2002-CB1 B2         | CUSIP: 12489WEM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2779977 | PA      | $2601171.51   | 0.22%             | 2030-02-25      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                            | NMFT 2006-MTA1 2A1A       | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607318 | PA      | $551143.22    | 0.05%             | 2046-09-25      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-95 SA            | CUSIP: 3136B3UE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    259471 | PA      | $24843.01     | 0.00%             | 2049-01-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-HE10 M6        | CUSIP: 073879MW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148848 | PA      | $193498.35    | 0.02%             | 2034-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2005-4 1M1            | CUSIP: 525221CD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500343 | PA      | $2753917.26   | 0.23%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Firstcity Capital Home Equity Loan Trust                                                 | FCHE 1998-2 A1            | CUSIP: 33763NAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272771 | PA      | $273123.22    | 0.02%             | 2029-01-25      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2007-SD2 1PO        | CUSIP: 07386UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26551 | PA      | $19717.19     | 0.00%             | 2046-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR6 D           | CUSIP: 12624XAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4294500 | PA      | $3686436.59   | 0.31%             | 2046-03-10      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M4         | CUSIP: 07325QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084018 | PA      | $2079079.39   | 0.17%             | 2037-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp.                                     | JPMCC 2011-C3 C           | CUSIP: 46635TAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9260000 | PA      | $8645510.10   | 0.72%             | 2046-02-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2005-A 2A2          | CUSIP: 05949AH94<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     29899 | PA      | $29089.49     | 0.00%             | 2035-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2005-9 5A4          | CUSIP: 93934FFE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318308 | PA      | $310901.39    | 0.03%             | 2035-11-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-5 8A1            | CUSIP: 52521RBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1368626 | PA      | $208062.49    | 0.02%             | 2036-08-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity                                                                       | CXHE 2004-A XIO           | CUSIP: BCC0DS475<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15456913 | PA      | $2490108.64   | 0.21%             | 2034-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2002-AR1 M1          | CUSIP: 03072SDB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148639 | PA      | $152069.10    | 0.01%             | 2032-09-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                            | CXHE 2004-C M2            | CUSIP: 152314KS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100225 | PA      | $98157.63     | 0.01%             | 2034-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2013-C15 B          | CUSIP: 92938CAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4859322 | PA      | $4567762.76   | 0.38%             | 2046-08-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2006-AR3 24A1        | CUSIP: 86360KAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4212945 | PA      | $817375.76    | 0.07%             | 2036-05-25      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates Series 2007-Sl1                           | CBASS 2007-SL1A A2        | CUSIP: 1248MKAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713512 | PA      | $559150.58    | 0.05%             | 2037-02-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2003-1 A            | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516584 | PA      | $480537.55    | 0.04%             | 2033-05-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Mfg Hsg                                                                       | LABMH 2002-A C            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1443687 | PA      | $1428526.77   | 0.12%             | 2033-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bcap Llc 2013-Rr7 Trust                                                                  | BCAP 2013-RR7 4A4         | CUSIP: 05542RAR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4203428 | PA      | $4080866.59   | 0.34%             | 2034-12-27      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-AR1 B2         | CUSIP: 939336PT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382382 | PA      | $332306.48    | 0.03%             | 2033-02-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-SD1 M2         | CUSIP: 36242DAY9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1278317 | PA      | $1080394.26   | 0.09%             | 2034-06-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-2A M1           | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81972 | PA      | $79922.02     | 0.01%             | 2035-08-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2004-SL1 A8          | CUSIP: 760985W98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424555 | PA      | $381679.82    | 0.03%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                                                       | IRWHE 2006-P1 2A3         | CUSIP: 46412AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201959 | PA      | $200746.31    | 0.02%             | 2037-06-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 5A1            | CUSIP: 52520MCH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744122 | PA      | $403102.70    | 0.03%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                           | SARM 2007-3 2A1           | CUSIP: 86363GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127967 | PA      | $118810.75    | 0.01%             | 2047-04-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | INDX 2005-AR9 2A1         | CUSIP: 45660LMW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1674733 | PA      | $1587322.49   | 0.13%             | 2035-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2007-1 2A1           | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2827973 | PA      | $1472109.43   | 0.12%             | 2036-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                             | PBHET 1999-3 A3           | CUSIP: 743844CW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055774 | PA      | $974127.09    | 0.08%             | 2031-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                      | COMM 2014-CR18 E          | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10384991 | PA      | $9762584.65   | 0.82%             | 2047-07-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | HEAT 2003-1 B2            | CUSIP: 22541NZH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160222 | PA      | $1255405.43   | 0.10%             | 2033-06-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2006-PR1 3AF2        | CUSIP: 25157GAG7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |   1793506 | PA      | $1651115.96   | 0.14%             | 2036-04-15      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| X-Caliber Rural Lending II LLC                                                           | XRL 2023-SN1 B1           | CUSIP: 983985AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $722419.49    | 0.06%             | 2025-09-01      | Fixed         | 15.00%                | Yes           |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities I Inc.                                           | RFMSI 2005-SA3 3A         | CUSIP: 76111XWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189649 | PA      | $164089.67    | 0.01%             | 2035-08-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2003-NC8 B2          | CUSIP: 61746RDR9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    514684 | PA      | $491737.92    | 0.04%             | 2033-09-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                                              | ABK 5.1 PERP              | CUSIP: U02373AA3<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |   5736622 | PA      | $7677473.52   | 0.64%             | 2160-06-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Asset Funding Inc II                                                        | METRO 1999-A B1           | CUSIP: 591739CE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106749 | PA      | $104392.43    | 0.01%             | 2030-03-20      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Argent Securities Inc. Asset Backed Pass Through Certificates Series 2003 W5             | ARSI 2003-W3 M5           | CUSIP: 040104BK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889697 | PA      | $793779.51    | 0.07%             | 2033-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stan 07-Nc4                                                                       | MSAC 2007-NC4 A2D         | CUSIP: 61755EAE8<br>LEI: 549300WR9UEBBBRWD692 | Long             | ABS-O            | CORP              | US        |   1665807 | PA      | $1423356.73   | 0.12%             | 2037-05-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-3 M1           | CUSIP: 07384YLU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162723 | PA      | $169868.24    | 0.01%             | 2043-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2005-TC1 M5         | CUSIP: 073879VK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377670 | PA      | $381100.31    | 0.03%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1995-7 B2              | CUSIP: 393505JN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11151101 | PA      | $289295.23    | 0.02%             | 2026-10-15      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-11 3A3          | CUSIP: 12669GUP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1714629 | PA      | $1348341.28   | 0.11%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2005-1 7A1          | CUSIP: 9393362S1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203580 | PA      | $1036593.36   | 0.09%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2002-C M1            | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2218130 | PA      | $2330607.80   | 0.19%             | 2032-11-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2006-3 1A1          | CUSIP: 07386HK26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146094 | PA      | $125044.00    | 0.01%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust 2004-12                                                         | BALTA 2006-3 35A1         | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366798 | PA      | $174510.38    | 0.01%             | 2036-05-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2006-8 1A2           | CUSIP: 88156UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $1298858.06   | 0.11%             | 2037-08-25      | Floating      | 0.07%                 | Yes           |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                           | FHLT 2002-2 M1            | CUSIP: 35729PAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1084525 | PA      | $1292631.43   | 0.11%             | 2033-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 5A11          | CUSIP: 362650BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $717500.00    | 0.06%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-3A B3           | CUSIP: 07324SCM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544236 | PA      | $636800.04    | 0.05%             | 2035-11-25      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-2 M1              | CUSIP: 393505SV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1312012 | PA      | $1384043.18   | 0.12%             | 2028-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2000-H 4B2          | CUSIP: 32051DCV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12077 | PA      | $11853.40     | 0.00%             | 2030-05-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8                               | MSBAM 2013-C8 F           | CUSIP: 61761QAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2793583 | PA      | $2494216.33   | 0.21%             | 2048-12-15      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2003-WMC2 M2         | CUSIP: 57643LBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45396 | PA      | $50191.93     | 0.00%             | 2033-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                  | SAMI 2006-AR1 2A2         | CUSIP: 86359LTE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1452378 | PA      | $1461770.72   | 0.12%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                               | JPMCC 2013-LC11 D         | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107000 | PA      | $17007.15     | 0.00%             | 2046-04-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Saco I Trust 2007                                                                        | SACO 2007-1 A1            | CUSIP: 785814AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       708 | PA      | $2570.80      | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA12 NB2        | CUSIP: 761118MZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124767 | PA      | $121784.93    | 0.01%             | 2035-12-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2004-S2 2A13        | CUSIP: 466247JK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316136 | PA      | $296491.62    | 0.02%             | 2034-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2005-SD3 2M4        | CUSIP: 073877DD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277237 | PA      | $311206.88    | 0.03%             | 2039-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                      | UBSC 2011-C1 E            | CUSIP: 90268TAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5190585 | PA      | $3836712.64   | 0.32%             | 2045-01-10      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WAMU 2001-AR5 B6          | CUSIP: 22540VLM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17945 | PA      | $13795.17     | 0.00%             | 2039-12-19      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2007-Ar1                                  | SAMI 2005-AR6 1A2         | CUSIP: 86359LMX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525774 | PA      | $471469.35    | 0.04%             | 2045-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1999-A M1             | CUSIP: 09774XAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643801 | PA      | $636156.28    | 0.05%             | 2029-03-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-I Trust                                                     | BAFC 2006-G 3A3           | CUSIP: 05950MAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6371 | PA      | $6327.44      | 0.00%             | 2036-07-20      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Equity Loan Trust 2000 A                                            | CNF 1999-6 A1             | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1591079 | PA      | $435797.93    | 0.04%             | 2030-06-01      | Floating      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-BC2 M5           | CUSIP: 1266713N4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409663 | PA      | $418632.64    | 0.03%             | 2033-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2005-WF1 M10          | CUSIP: 004421QY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1531310 | PA      | $1722488.82   | 0.14%             | 2035-05-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2002-D M1            | CUSIP: 03072SEB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224045 | PA      | $202762.03    | 0.02%             | 2033-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2005-AR6 3A1        | CUSIP: 32051GJ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    584595 | PA      | $443916.24    | 0.04%             | 2036-01-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Gsr Mortgage Loan Trust 2006 Ar2                                                         | GSR 2007-4F 1A1           | CUSIP: 362669AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29613 | PA      | $61763.45     | 0.01%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2003-NC1 M4          | CUSIP: 57643LBR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141962 | PA      | $143935.94    | 0.01%             | 2033-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2005-AR16 2A2        | CUSIP: 92922F7D4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33000 | PA      | $30095.89     | 0.00%             | 2035-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 Mortgage Trust                                                             | CFCRE 2011-C2 F           | CUSIP: 12527DAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2190000 | PA      | $1860853.73   | 0.16%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR FLOAT PERP            | CUSIP: 27828Q402<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |       136 | NS      | $2924000.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Greenpoint Mortgage Funding Trust 2005 Ar4                                               | GPMF 2005-HE3 A           | CUSIP: 39538WCZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55354 | PA      | $55317.63     | 0.00%             | 2030-09-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AAMC Inc.                                                                                | AMAC 2002-9 M             | CUSIP: 00077B5C3<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     89354 | PA      | $89021.86     | 0.01%             | 2032-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Brixmor LLC                                                                              | BRX 6.9 02/15/28          | CUSIP: 64806QAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1602725.81   | 0.13%             | 2028-02-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA6 NB2         | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329532 | PA      | $306855.48    | 0.03%             | 2034-12-26      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing Contract Trust 2001-A                                        | ORGN 2007-A A2            | CUSIP: 68620CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485316 | PA      | $451758.56    | 0.04%             | 2037-04-15      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                         | EQABS 1998-1 A1           | CUSIP: 294751AF9<br>LEI: 529900053A7X7FJ97S58 | Long             | ABS-O            | CORP              | US        |     61438 | PA      | $58729.89     | 0.00%             | 2029-12-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                 | WFRBS 2013-C14 C          | CUSIP: 92890PAJ3<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-O            | CORP              | US        |  14507689 | PA      | $12892655.34  | 1.08%             | 2046-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                         | CWALT 2006-32CB A2        | CUSIP: 02147XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639523 | PA      | $61963.92     | 0.01%             | 2036-11-25      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                                                 | CSFB 2005-12 5A1          | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687310 | PA      | $598532.80    | 0.05%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                           | SEMT 2003-4 2B2           | CUSIP: 81743PCD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17922 | PA      | $16657.01     | 0.00%             | 2033-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                                                 | TBW 2006-1 1A1            | CUSIP: 225470S87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2674618 | PA      | $702846.10    | 0.06%             | 2036-04-25      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR9 E           | CUSIP: 12625UAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4391437 | PA      | $4272899.61   | 0.36%             | 2045-07-10      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Wmalt Series 2006-6 Trust           | WMALT 2006-AR6 2A         | CUSIP: 93935FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783490 | PA      | $446649.60    | 0.04%             | 2046-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| US Capital Funding II Ltd/Corp                                                           | USCAP FLOAT 08/01/34      | CUSIP: 90390KAC8<br>LEI: 549300HTY3H4G929F898 | Long             | ABS-CBDO         | CORP              | KY        |    849784 | PA      | $770125.02    | 0.06%             | 2034-08-01      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2000-C AV           | CUSIP: 456606BM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484233 | PA      | $468302.46    | 0.04%             | 2031-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-RES1 M7        | CUSIP: 17307GKS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226910 | PA      | $859617.73    | 0.07%             | 2034-11-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Indymac INDA Mortgage Loan Trust 2007-AR4                                                | INDA 2007-AR4 3A1         | CUSIP: 456674AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59557 | PA      | $58024.37     | 0.00%             | 2037-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2005-4 1A             | CUSIP: 61748HJV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178321 | PA      | $176190.80    | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 E           | CUSIP: 46635GAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12770000 | PA      | $12062567.82  | 1.01%             | 2043-11-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-Remic Trust 2016-Rrgg10                                                         | BAMLL 2016-GG10 AJA       | CUSIP: 059427AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12868174 | PA      | $2319698.14   | 0.19%             | 2045-08-10      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2000-C M1             | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1049811 | PA      | $1026683.95   | 0.09%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-28

**Name of Applicant:** Mutual Fund & Variable Insurance Trust

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Treasurer