# EDGAR Filing Document

**Accession Number:** 0000810695
**File Stem:** 0000910472-26-002961
**Filing Date:** 2026-2
**Character Count:** 396704
**Document Hash:** 3830859520c5563c86db8e8f270f09c6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-002961.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0000910472-26-002961

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260226

**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:** 26691817

**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:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1289704892.80

**Total Liabilities:** $2137665.34

**Net Assets:** $1287567227.46

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 835.33050700 | **1-Year:** 4846.38159100 | **5-Year:** 6534.15452700 | **10-Year:** 3838.58403200 | **30-Year:** 741.06855200

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

- **3-Month:** 10494.51570000 | **1-Year:** 29045.26521700 | **5-Year:** 91448.56289100 | **10-Year:** 163450.56447200 | **30-Year:** 24505.75296600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212569 | 0.54%                | 1.07%                | -0.08%               |
| Class ID C000212570 | 0.51%                | 0.99%                | -0.05%               |
| Class ID C000212571 | 0.45%                | 1.00%                | -0.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $280132.11               | $2552467.97                                |
| Month 2  | $-485616.37              | $9742703.00                                |
| Month 3  | $-949716.11              | $-4228079.30                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABFS Mortgage Loan Trust 2000-1                                                          | ABFS 2000-1 A1            | CUSIP: 000759BP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183427 | PA      | $155664.05    | 0.01%             | 2031-07-15      | Floating      | 8.43%                 | 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        |     79194 | PA      | $63733.65     | 0.00%             | 2031-09-15      | Floating      | 8.11%                 | 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        |    891221 | PA      | $876669.28    | 0.07%             | 2032-03-15      | Floating      | 6.17%                 | Yes           |                  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        |   2136908 | PA      | $1757058.47   | 0.14%             | 2032-12-15      | Floating      | 7.01%                 | No            |                  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        |    760147 | PA      | $586485.62    | 0.05%             | 2033-12-15      | Floating      | 0.00%                 | 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        |    520736 | PA      | $521657.90    | 0.04%             | 2033-08-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 1999-3 2A             | CUSIP: 00105HEC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2144333 | PA      | $2044955.71   | 0.16%             | 2029-09-28      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 2000-2 1A             | CUSIP: 00105HEJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680845 | PA      | $655514.09    | 0.05%             | 2030-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 2000-4 1A             | CUSIP: 00105HEN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58973 | PA      | $58743.17     | 0.00%             | 2031-01-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                           | ACCR 2004-3 2A6           | CUSIP: 004375BQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688441 | PA      | $667105.46    | 0.05%             | 2034-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                           | ACCR 2005-1 M5            | CUSIP: 004375CX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3371999 | PA      | $3502294.72   | 0.27%             | 2035-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust                                               | ACE 2002-HE3 M3           | CUSIP: 004421BK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245493 | PA      | $499996.45    | 0.04%             | 2032-10-25      | Floating      | 9.11%                 | 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        |    210558 | PA      | $203450.39    | 0.02%             | 2033-06-25      | Floating      | 6.77%                 | No            |                  2 | 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        |    205731 | PA      | $205317.11    | 0.02%             | 2034-03-25      | Floating      | 5.50%                 | No            |                  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        |     24655 | PA      | $24439.06     | 0.00%             | 2034-07-25      | Floating      | 4.90%                 | 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      | $462609.77    | 0.04%             | 2034-07-25      | Floating      | 0.00%                 | Yes           |                  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      | $1781149.16   | 0.14%             | 2035-05-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2002-HE1                               | ACE 2003-OP1 M1           | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128976 | PA      | $131457.48    | 0.01%             | 2033-12-25      | Floating      | 4.90%                 | 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        |     73331 | PA      | $73097.49     | 0.01%             | 2035-06-25      | Floating      | 6.81%                 | 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        |     68346 | PA      | $53201.88     | 0.00%             | 2035-08-25      | Floating      | 3.39%                 | 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        |    481537 | PA      | $419220.57    | 0.03%             | 2035-09-25      | Floating      | 5.41%                 | 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        |    188585 | PA      | $163528.47    | 0.01%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  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        |    158459 | PA      | $139700.38    | 0.01%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  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      | $131843.11    | 0.01%             | 2036-01-25      | Floating      | 3.89%                 | 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      | $52532.54     | 0.00%             | 2036-01-25      | Floating      | 3.89%                 | 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        |     97850 | PA      | $93423.99     | 0.01%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  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        |    547762 | PA      | $497478.63    | 0.04%             | 2034-09-25      | Floating      | 7.00%                 | 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        |    380887 | PA      | $168960.61    | 0.01%             | 2036-11-25      | Floating      | 2.86%                 | 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        |    632272 | PA      | $62705.39     | 0.00%             | 2036-11-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                                              | ABK 5.1 PERP              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |  93645891 | PA      | $122313082.01 | 9.50%             | 2169-06-07      | Fixed         | 0.00%                 | Yes           |                  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        |   6233212 | PA      | $4531853.36   | 0.35%             | 2035-09-25      | Floating      | 5.83%                 | No            |                  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        |    654169 | PA      | $736426.65    | 0.06%             | 2031-10-25      | Floating      | 6.77%                 | No            |                  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        |    341902 | PA      | $340122.15    | 0.03%             | 2032-08-25      | Floating      | 6.70%                 | 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        |    107356 | PA      | $110611.70    | 0.01%             | 2032-09-25      | Floating      | 3.21%                 | 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        |   2124070 | PA      | $2261507.63   | 0.18%             | 2032-11-25      | Floating      | 7.22%                 | 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        |     87077 | PA      | $85960.10     | 0.01%             | 2033-01-25      | Floating      | 3.23%                 | 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        |    420182 | PA      | $380575.47    | 0.03%             | 2033-06-25      | Floating      | 2.80%                 | 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        |    305029 | PA      | $441246.34    | 0.03%             | 2034-02-25      | Floating      | 8.72%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2003-11 M6           | CUSIP: 03072SMD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    696535 | PA      | $685996.72    | 0.05%             | 2033-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2004-R1 A2           | CUSIP: 03072SNR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    646933 | PA      | $645091.23    | 0.05%             | 2034-02-25      | Floating      | 4.45%                 | 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        |    100466 | PA      | $126054.16    | 0.01%             | 2034-02-25      | Floating      | 4.64%                 | 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      | $938661.71    | 0.07%             | 2034-05-25      | Floating      | 6.61%                 | No            |                  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      | $148238.13    | 0.01%             | 2029-11-25      | Floating      | 0.00%                 | No            |                  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      | $815083.39    | 0.06%             | 2033-09-25      | Floating      | 3.91%                 | No            |                  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        |    304452 | PA      | $298107.17    | 0.02%             | 2034-01-25      | Floating      | 4.71%                 | 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        |    143084 | PA      | $150266.97    | 0.01%             | 2034-06-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc. Asset Backed Pass Through Certificates Series 2003 W5             | ARSI 2004-W11 M3          | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329935 | PA      | $333770.61    | 0.03%             | 2034-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc. Asset Backed Pass Through Certificates Series 2003 W5             | ARSI 2005-W2 M1           | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199763 | PA      | $198912.10    | 0.02%             | 2035-10-25      | Floating      | 4.58%                 | 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        |   2502654 | PA      | $2327037.41   | 0.18%             | 2033-01-15      | Floating      | 9.11%                 | 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        |    237927 | PA      | $288258.41    | 0.02%             | 2033-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                             | ABSHE 2003-HE6 A3B        | CUSIP: 04541GGM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1066726 | PA      | $1081222.71   | 0.08%             | 2033-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                                                | ABFC 2003-OPT1 A3         | CUSIP: 04542BDG4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    156358 | PA      | $155196.84    | 0.01%             | 2033-04-25      | Floating      | 4.53%                 | No            |                  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      | $601050.80    | 0.05%             | 2042-10-11      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| BB-UBS Trust 2012-Show                                                                   | BBUBS 2012-TFT B          | CUSIP: 05490AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5619474 | PA      | $5546636.19   | 0.43%             | 2030-06-05      | Floating      | 3.56%                 | 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        |   1621995 | PA      | $1603770.58   | 0.12%             | 2036-02-26      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| BCAP LLC TRUST                                                                           | BCAP 2010-RR11 3A3        | CUSIP: 05533JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1004767 | PA      | $962076.70    | 0.07%             | 2036-06-27      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                           | BCAP 2011-RR4 1A6         | CUSIP: 05533VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1828314 | PA      | $1156031.59   | 0.09%             | 2036-03-26      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                           | BCAP 2011-RR5 6A2         | CUSIP: 05534AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1001317 | PA      | $931530.68    | 0.07%             | 2036-02-26      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                           | BCAP 2012-RR8 4A6         | CUSIP: 05541DAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3630701 | PA      | $3123186.92   | 0.24%             | 2036-11-20      | Floating      | 2.56%                 | Yes           |                  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      | $4089060.33   | 0.32%             | 2034-12-27      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Funding 2016-R2 Trust                                                    | BAFC 2016-R2 1A2          | CUSIP: 05890RAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    556949 | PA      | $583871.39    | 0.05%             | 2033-05-01      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2006-A 4A1           | CUSIP: 058927AJ3<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    832561 | PA      | $809026.92    | 0.06%             | 2036-02-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2006-A 5A1           | CUSIP: 058927AL8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1085099 | PA      | $1090532.35   | 0.08%             | 2036-02-20      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-B                                                                       | BAFC 2006-B 1A1           | CUSIP: 058928AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148968 | PA      | $144664.06    | 0.01%             | 2036-03-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-B                                                                       | BAFC 2006-B 7A1           | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361777 | PA      | $317042.80    | 0.02%             | 2036-03-20      | Floating      | 4.45%                 | 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        |    118908 | PA      | $106308.29    | 0.01%             | 2036-04-20      | Floating      | 5.56%                 | 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        |    473876 | PA      | $442060.44    | 0.03%             | 2036-05-20      | Floating      | 3.50%                 | No            |                  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      | $1672862.64   | 0.13%             | 2045-08-10      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-8 30PO          | CUSIP: 05946X3C5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     43030 | PA      | $28306.58     | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2003-1 B2            | CUSIP: 05946XCA9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     47957 | PA      | $12256.77     | 0.00%             | 2033-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2004-B 6A1           | CUSIP: 05946XJP9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    366142 | PA      | $306858.49    | 0.02%             | 2034-12-20      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-B 1A1           | CUSIP: 05946XRT2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    118058 | PA      | $115214.04    | 0.01%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                            | BAFC 2005-E 2A1           | CUSIP: 05946XXM0<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1137749 | PA      | $1016196.08   | 0.08%             | 2035-05-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2005-A 2A2          | CUSIP: 05949AH94<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     28913 | PA      | $28203.79     | 0.00%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2004-G 3A1          | CUSIP: 05949ALK4<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |   3771344 | PA      | $2493221.01   | 0.19%             | 2034-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2005-G 4A3          | CUSIP: 05949CEN2<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    577958 | PA      | $520034.03    | 0.04%             | 2035-08-25      | Floating      | 3.48%                 | 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        |    575868 | PA      | $576672.58    | 0.04%             | 2035-10-25      | Floating      | 6.59%                 | 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        |      2450 | PA      | $2334.81      | 0.00%             | 2036-02-25      | Floating      | 6.87%                 | 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        |    471993 | PA      | $410871.88    | 0.03%             | 2046-05-25      | Floating      | 4.70%                 | 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        |    476316 | PA      | $27163.61     | 0.00%             | 2046-05-25      | Floating      | 1.30%                 | 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        |    258670 | PA      | $237738.03    | 0.02%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  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        |    208748 | PA      | $191851.77    | 0.01%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  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        |    549047 | PA      | $504618.73    | 0.04%             | 2046-05-25      | Fixed         | 6.00%                 | 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        |    108106 | PA      | $90995.32     | 0.01%             | 2036-07-20      | Floating      | 6.21%                 | 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        |      2871 | PA      | $2858.28      | 0.00%             | 2036-07-20      | Floating      | 5.97%                 | 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        |     57925 | PA      | $51492.53     | 0.00%             | 2046-11-20      | Floating      | 4.95%                 | No            |                  2 | 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        |    184553 | PA      | $180828.14    | 0.01%             | 2046-07-10      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc Americ 2006-J                                                                       | BAFC 2006-J 4A1           | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230126 | PA      | $199018.82    | 0.02%             | 2047-01-20      | Floating      | 4.88%                 | No            |                  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        |     88331 | PA      | $75845.00     | 0.01%             | 2046-10-20      | Floating      | 3.44%                 | 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        |   1139156 | PA      | $886171.93    | 0.07%             | 2047-07-25      | Fixed         | 6.50%                 | 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        |    310834 | PA      | $169178.89    | 0.01%             | 2053-08-25      | 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        |     38223 | PA      | $33652.82     | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | 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        |    324239 | PA      | $256171.81    | 0.02%             | 2056-11-25      | Floating      | 3.44%                 | Yes           |                  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        |    966884 | PA      | $938492.06    | 0.07%             | 2048-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                    | BAFC 2015-R8 3A2          | CUSIP: 05991BAH8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   1987332 | PA      | $1576023.58   | 0.12%             | 2035-08-26      | Floating      | 4.55%                 | Yes           |                  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        |    418702 | PA      | $495258.62    | 0.04%             | 2044-02-28      | Floating      | 7.97%                 | 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        |    150297 | PA      | $146041.94    | 0.01%             | 2035-08-25      | Floating      | 4.37%                 | Yes           |                  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        |     75149 | PA      | $72666.85     | 0.01%             | 2035-08-25      | Floating      | 4.49%                 | Yes           |                  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        |    197077 | PA      | $211903.94    | 0.02%             | 2035-08-25      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                                  | BAYC 2005-3A A1           | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285774 | PA      | $279102.15    | 0.02%             | 2035-11-25      | Floating      | 4.55%                 | Yes           |                  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        |    156282 | PA      | $164885.83    | 0.01%             | 2035-11-25      | Floating      | 5.03%                 | Yes           |                  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        |    189772 | PA      | $223973.75    | 0.02%             | 2035-11-25      | Floating      | 5.72%                 | Yes           |                  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        |    916837 | PA      | $1034282.70   | 0.08%             | 2035-11-25      | Floating      | 6.51%                 | Yes           |                  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        |    515301 | PA      | $582714.42    | 0.05%             | 2035-11-25      | Floating      | 8.57%                 | Yes           |                  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        |    288640 | PA      | $269141.80    | 0.02%             | 2036-04-25      | Floating      | 4.48%                 | Yes           |                  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        |    440753 | PA      | $411332.82    | 0.03%             | 2036-04-25      | Floating      | 4.69%                 | Yes           |                  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        |    470953 | PA      | $439989.74    | 0.03%             | 2036-04-25      | Floating      | 4.81%                 | 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        |    523688 | PA      | $498049.71    | 0.04%             | 2036-04-25      | Floating      | 5.42%                 | Yes           |                  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        |     78926 | PA      | $76418.08     | 0.01%             | 2036-07-25      | Floating      | 5.15%                 | Yes           |                  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        |     50607 | PA      | $1014183.54   | 0.08%             | 2036-07-25      | Floating      | 6.05%                 | Yes           |                  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        |    129772 | PA      | $124817.37    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | 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        |    472121 | PA      | $445272.77    | 0.03%             | 2037-01-25      | Floating      | 4.80%                 | 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        |    552950 | PA      | $520025.48    | 0.04%             | 2037-01-25      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                     | BAYV 2004-D B2            | CUSIP: 07325NAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    634018 | PA      | $669296.92    | 0.05%             | 2044-08-28      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass Through Trust 2005 B                                     | BAYV 2005-D M2            | CUSIP: 07325NCE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    733415 | PA      | $724818.86    | 0.06%             | 2035-12-28      | Floating      | 5.50%                 | 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        |    969679 | PA      | $979954.19    | 0.08%             | 2037-03-25      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M1         | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2415779 | PA      | $2443565.08   | 0.19%             | 2037-03-25      | Floating      | 4.65%                 | 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        |   1579936 | PA      | $1602526.38   | 0.12%             | 2037-03-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Trust 2007 A                                                           | BFAT 2007-SR1A M3         | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942743 | PA      | $964906.91    | 0.07%             | 2037-03-25      | Floating      | 5.00%                 | 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        |   2287836 | PA      | $2329517.39   | 0.18%             | 2037-03-25      | Floating      | 5.35%                 | Yes           |                  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        |   1615986 | PA      | $1519804.96   | 0.12%             | 2037-07-25      | Floating      | 4.40%                 | 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        |   1113940 | PA      | $1110507.59   | 0.09%             | 2037-07-25      | Floating      | 4.46%                 | Yes           |                  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        |   1044690 | PA      | $1125955.23   | 0.09%             | 2037-07-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2004-9 23A1         | CUSIP: 07384M3E0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185607 | PA      | $184185.84    | 0.01%             | 2034-11-25      | Floating      | 7.25%                 | No            |                  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      | $384026.44    | 0.03%             | 2033-12-25      | Floating      | 4.75%                 | 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        |    412397 | PA      | $489992.33    | 0.04%             | 2033-10-25      | Floating      | 5.75%                 | No            |                  2 | 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      | $1908307.19   | 0.15%             | 2036-04-25      | Floating      | 6.10%                 | 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        |   1958375 | PA      | $1876429.09   | 0.15%             | 2036-02-25      | Floating      | 4.33%                 | 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        |    142351 | PA      | $124203.45    | 0.01%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  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        |    122740 | PA      | $116812.98    | 0.01%             | 2035-01-25      | Floating      | 4.20%                 | 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        |     52066 | PA      | $31701.43     | 0.00%             | 2036-05-25      | Floating      | 5.21%                 | 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      | $172473.99    | 0.01%             | 2036-05-25      | Floating      | 2.82%                 | 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        |   1335760 | PA      | $1279832.23   | 0.10%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  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        |    125487 | PA      | $119006.81    | 0.01%             | 2046-09-25      | Fixed         | 5.50%                 | No            |                  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        |     24368 | PA      | $18394.47     | 0.00%             | 2046-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                                        | BSARM 2007-5 2A1          | CUSIP: 07386YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2678288 | PA      | $2443699.32   | 0.19%             | 2047-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                                        | BSARM 2007-5 3A1          | CUSIP: 07386YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46566 | PA      | $40779.09     | 0.00%             | 2047-08-25      | Floating      | 4.49%                 | 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      | $323089.76    | 0.03%             | 2039-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2005-3 M3           | CUSIP: 073877DQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3297000 | PA      | $3411639.99   | 0.26%             | 2035-09-25      | Floating      | 6.85%                 | 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        |    366153 | PA      | $448047.84    | 0.03%             | 2042-12-25      | Floating      | 7.00%                 | 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      | $1048607.56   | 0.08%             | 2042-12-25      | Floating      | 7.00%                 | 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      | $3649152.21   | 0.28%             | 2035-08-25      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-HE7 M1         | CUSIP: 073879EU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144270 | PA      | $142242.46    | 0.01%             | 2034-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-SD3 M3         | CUSIP: 073879GD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912406 | PA      | $1008875.96   | 0.08%             | 2034-09-25      | Floating      | 6.00%                 | 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        |   2264987 | PA      | $2264319.78   | 0.18%             | 2034-10-25      | Floating      | 9.85%                 | 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        |   1722403 | PA      | $1704056.06   | 0.13%             | 2034-09-25      | Floating      | 6.55%                 | 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      | $384242.90    | 0.03%             | 2035-05-25      | Floating      | 4.84%                 | 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      | $989002.22    | 0.08%             | 2035-05-25      | Floating      | 4.84%                 | 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      | $1085097.75   | 0.08%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  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        |    119696 | PA      | $69170.70     | 0.01%             | 2035-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2005-6 3A1          | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692838 | PA      | $676899.95    | 0.05%             | 2035-08-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 06-4                                                                        | BSARM 2006-4 1A1          | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197959 | PA      | $196298.82    | 0.02%             | 2036-10-25      | Floating      | 6.16%                 | 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        |     12081 | PA      | $12331.07     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | 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        |     80188 | PA      | $80164.05     | 0.01%             | 2036-07-25      | Floating      | 6.47%                 | No            |                  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      | $2893121.28   | 0.22%             | 2036-07-25      | Floating      | 7.60%                 | 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        |    167249 | PA      | $165994.08    | 0.01%             | 2045-01-12      | Floating      | 5.57%                 | 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      | $2408255.47   | 0.19%             | 2036-12-25      | Floating      | 4.37%                 | 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        |   1988241 | PA      | $1920066.43   | 0.15%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2007-4 22A1         | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737008 | PA      | $659959.81    | 0.05%             | 2047-06-25      | Floating      | 4.25%                 | 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        |    412703 | PA      | $731973.67    | 0.06%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                       | BSMF 2007-SL1 1A          | CUSIP: 07401PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811056 | PA      | $2595122.25   | 0.20%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 7-Sl1                                                                       | BSMF 2007-SL1 2A          | CUSIP: 07401PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $0.00         | 0.00%             | 2037-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                                         | BCM 1998-B M1             | CUSIP: 09774XAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1481695 | PA      | $1470774.13   | 0.11%             | 2028-10-15      | Floating      | 6.81%                 | 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        |    878473 | PA      | $877184.38    | 0.07%             | 2029-01-15      | Floating      | 7.51%                 | 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        |    519737 | PA      | $516670.08    | 0.04%             | 2029-03-15      | Floating      | 6.78%                 | 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      | $40210.49     | 0.00%             | 2029-12-15      | Floating      | 0.58%                 | 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      | $34577.07     | 0.00%             | 2029-12-15      | Floating      | 0.58%                 | 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      | $289789.74    | 0.02%             | 2029-12-15      | Floating      | 0.58%                 | 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      | $45670.37     | 0.00%             | 2029-12-15      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| SHARPS 2002-AQ1N OTC                                                                     | SHARPS 2002-AQ1N OTC      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        | 222370620 | PA      | $2175000.36   | 0.17%             | 2031-04-25      | Fixed         | 0.00%                 | 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      | $5122812.30   | 0.40%             | 2036-04-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                           | CBASS 1999-3 A            | CUSIP: 124860CB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       817 | PA      | $631.58       | 0.00%             | 2029-02-03      | Floating      | 3.16%                 | Yes           |                  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      | $573789.07    | 0.04%             | 2033-03-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                                           | CBASS 2004-RP1 M3         | CUSIP: 124860EK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833840 | PA      | $837855.68    | 0.07%             | 2050-05-25      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Trust                                                                             | CBASS 2002-CB1 B2         | CUSIP: 12489WEM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600188 | PA      | $2504073.60   | 0.19%             | 2030-02-25      | Floating      | 9.62%                 | 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      | $931186.17    | 0.07%             | 2032-04-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                                             | CBASS 2002-CB4 M1         | CUSIP: 12489WFD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61901 | PA      | $72151.88     | 0.01%             | 2033-02-25      | Floating      | 4.97%                 | No            |                  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        |    639921 | PA      | $730328.10    | 0.06%             | 2036-07-25      | Floating      | 4.90%                 | Yes           |                  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        |    712027 | PA      | $579038.41    | 0.04%             | 2037-02-25      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates Series 2007-Sl1                           | CBASS 2007-MX1 A4         | CUSIP: 1248MPAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130066 | PA      | $129555.94    | 0.01%             | 2036-12-25      | Floating      | 6.73%                 | Yes           |                  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        |    250224 | PA      | $205021.61    | 0.02%             | 2036-12-25      | Floating      | 2.99%                 | 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        |    156015 | PA      | $911564.16    | 0.07%             | 2033-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Tr 07                                                                        | CD 2007-CD5 G             | CUSIP: 12514AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517795 | PA      | $1510613.39   | 0.12%             | 2044-11-15      | Floating      | 6.37%                 | 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        |   3573885 | PA      | $28983.14     | 0.00%             | 2050-08-15      | Floating      | 0.77%                 | 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      | $316574.21    | 0.02%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  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      | $9294468.84   | 0.72%             | 2047-12-15      | Floating      | 5.08%                 | Yes           |                  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        |  13388863 | PA      | $13030222.39  | 1.01%             | 2031-06-15      | Floating      | 5.01%                 | 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        |    240060 | PA      | $227500.36    | 0.02%             | 2036-07-25      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                          | CWHL 2007-J2 1A1          | CUSIP: 12545EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94779 | PA      | $89146.50     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIT Home Equity Loan Trust 2002-2                                                        | CITHE 2002-1 AF7          | CUSIP: 12558MAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639673 | PA      | $638983.73    | 0.05%             | 2033-02-25      | Floating      | 6.11%                 | 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        |    265528 | PA      | $504903.99    | 0.04%             | 2031-11-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1A1         | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14077 | PA      | $12855.90     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1A9         | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134516 | PA      | $10668.07     | 0.00%             | 2037-01-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                                      | CMALT 2007-A1 1APO        | CUSIP: 12566QAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49159 | PA      | $27412.32     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2014-UBS3 B          | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2313809 | PA      | $2216633.40   | 0.17%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2014-LC17 E          | CUSIP: 12592MAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5223000 | PA      | $4936732.07   | 0.38%             | 2047-10-10      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Comm 2015-Ccre22 Mortgage Trust                                                          | COMM 2015-CR22 B          | CUSIP: 12592XBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8762118 | PA      | $8444472.57   | 0.66%             | 2048-03-10      | Floating      | 3.93%                 | 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        |    699902 | PA      | $689914.01    | 0.05%             | 2048-05-10      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Comm 2012-CCRE5 Mortgage Trust                                                           | COMM 2012-CR5 E           | CUSIP: 12623SAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $1837369.42   | 0.14%             | 2045-12-10      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Comm 2012-CCRE5 Mortgage Trust                                                           | COMM 2012-CR5 F           | CUSIP: 12623SAW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1683022.17   | 0.13%             | 2045-12-10      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| COMM 2012-CCRE1 Mortgage Trust                                                           | COMM 2012-CR1 D           | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6198389 | PA      | $5710597.33   | 0.44%             | 2045-05-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Comm 2012-LTRT                                                                           | COMM 2012-LTRT A2         | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15146777 | PA      | $15007222.94  | 1.17%             | 2030-10-05      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Comm 2012-LTRT                                                                           | COMM 2012-LTRT B          | CUSIP: 12624NAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5790000 | PA      | $5587465.80   | 0.43%             | 2030-10-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Comm 2012-CCRE3 Mortgage Trust                                                           | COMM 2012-CR3 B           | CUSIP: 12624PAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19694173 | PA      | $19001911.36  | 1.48%             | 2045-10-15      | Fixed         | 3.92%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR6 C           | CUSIP: 12624XAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3128200 | PA      | $3086772.93   | 0.24%             | 2046-03-10      | Floating      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR7 D           | CUSIP: 12625FBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6318749 | PA      | $5863294.72   | 0.46%             | 2046-03-10      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-CR9 E           | CUSIP: 12625UAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4736411 | PA      | $4698697.38   | 0.36%             | 2045-07-10      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2014-CR14 B          | CUSIP: 12630DBB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1116941 | PA      | $1097419.35   | 0.09%             | 2047-02-10      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2014-CR14 C          | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1342081.46   | 0.10%             | 2047-02-10      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2014-CR18 E          | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9861904 | PA      | $9324694.45   | 0.72%             | 2047-07-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                                  | CSAIL 2015-C2 C           | CUSIP: 12634NAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1597198 | PA      | $1540645.11   | 0.12%             | 2057-06-15      | Floating      | 4.04%                 | 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      | $273979.57    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    168483 | PA      | $88541.01     | 0.01%             | 2037-06-25      | Floating      | 4.25%                 | 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        |   2303021 | PA      | $349550.51    | 0.03%             | 2037-06-25      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                               | CSMC 2007-3 3A4           | CUSIP: 12638PBP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152157 | PA      | $125039.24    | 0.01%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                               | CSMC 2007-3 4A6           | CUSIP: 12638PBV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122903 | PA      | $94777.31     | 0.01%             | 2037-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2011-6R                                                                      | CSMC 2011-6R 4A2          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60209 | PA      | $56200.33     | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | Yes           |                  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        |   1275267 | PA      | $1062147.14   | 0.08%             | 2036-05-25      | Floating      | 3.59%                 | No            |                  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        |    390120 | PA      | $401486.75    | 0.03%             | 2033-10-25      | Floating      | 6.47%                 | 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      | $243538.02    | 0.02%             | 2033-08-25      | Floating      | 8.20%                 | No            |                  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        |    261066 | PA      | $269587.79    | 0.02%             | 2034-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-8 M2             | CUSIP: 126673EW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279494 | PA      | $279369.43    | 0.02%             | 2034-12-25      | Floating      | 5.05%                 | No            |                  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        |    984706 | PA      | $932147.19    | 0.07%             | 2034-12-25      | Floating      | 3.86%                 | No            |                  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        |     30747 | PA      | $30590.43     | 0.00%             | 2034-02-15      | Floating      | 4.14%                 | No            |                  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        |     19762 | PA      | $19748.98     | 0.00%             | 2035-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-2CB 4A1        | CUSIP: 12667FAW5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    330959 | PA      | $329971.78    | 0.03%             | 2054-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-8CB M3         | CUSIP: 12667FGN9<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    740364 | PA      | $978637.94    | 0.08%             | 2034-06-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-J6 M           | CUSIP: 12667FRN7<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    184379 | PA      | $185063.52    | 0.01%             | 2031-11-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans, Inc.                                                             | CWHEL 2007-A A            | CUSIP: 126682AA1<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |    819199 | PA      | $782214.20    | 0.06%             | 2037-04-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Cwheq Home Equity Loan Trust Series 2006-S5                                              | CWL 2006-S5 A5            | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985075 | PA      | $1561820.58   | 0.12%             | 2035-06-25      | Fixed         | 6.16%                 | 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        |    333479 | PA      | $320435.85    | 0.02%             | 2034-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-C 2A           | CUSIP: 126685AD8<br>LEI: 549300X21P41B4WETI38 | Long             | ABS-O            | CORP              | US        |    214279 | PA      | $203372.81    | 0.02%             | 2035-07-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-D 2A           | CUSIP: 126685AF3<br>LEI: 549300X21P41B4WETI38 | Long             | ABS-O            | CORP              | US        |    237563 | PA      | $223041.08    | 0.02%             | 2035-11-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-H 2A           | CUSIP: 126685AP1<br>LEI: 549300X21P41B4WETI38 | Long             | ABS-O            | CORP              | US        |      1401 | PA      | $1400.71      | 0.00%             | 2035-12-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2005-K 2A4          | CUSIP: 126685AX4<br>LEI: 549300X21P41B4WETI38 | Long             | ABS-O            | CORP              | US        |    298399 | PA      | $283436.05    | 0.02%             | 2036-02-15      | Floating      | 4.20%                 | 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        |     50793 | PA      | $43336.28     | 0.00%             | 2036-11-15      | Floating      | 4.01%                 | 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        |   2816381 | PA      | $2351871.72   | 0.18%             | 2036-11-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2005-43 5A1         | CUSIP: 12668AAX3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    376066 | PA      | $338007.21    | 0.03%             | 2035-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2006-OC2 2A3        | CUSIP: 12668BRG0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    991199 | PA      | $932636.78    | 0.07%             | 2036-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving Home Equity Loan Trust Series 2006-I                                     | CWHEL 2006-I 1A           | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58154 | PA      | $56421.94     | 0.00%             | 2037-01-15      | Floating      | 4.00%                 | 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        |   4400341 | PA      | $4252758.42   | 0.33%             | 2037-01-15      | Floating      | 4.00%                 | No            |                  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        |    130405 | PA      | $131635.35    | 0.01%             | 2035-11-25      | Floating      | 5.95%                 | 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        |   1625641 | PA      | $1349383.07   | 0.10%             | 2047-04-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-31 2A3          | CUSIP: 126694UN6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    678687 | PA      | $617729.38    | 0.05%             | 2036-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2006-J1 2A1          | CUSIP: 126694XV5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    172824 | PA      | $170709.87    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | RAST 2000-A6 B2           | CUSIP: 12669BUK6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    141586 | PA      | $78843.51     | 0.01%             | 2030-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2003-53 M            | CUSIP: 12669E5S1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    296428 | PA      | $292442.98    | 0.02%             | 2034-02-19      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     48621 | PA      | $47629.86     | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-R1 3A           | CUSIP: 12669F7M9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    145056 | PA      | $148612.85    | 0.01%             | 2034-11-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWALT 2003-J3 1A2         | CUSIP: 12669FEY5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     44581 | PA      | $44502.92     | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-2 2A1           | CUSIP: 12669FKS1<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    184123 | PA      | $169970.68    | 0.01%             | 2034-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    242301 | PA      | $228313.65    | 0.02%             | 2034-08-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-5 2A7           | CUSIP: 12669FWB5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    176147 | PA      | $171560.51    | 0.01%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-7 6A1           | CUSIP: 12669FXS7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   1155067 | PA      | $1113282.19   | 0.09%             | 2034-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-8 1A6           | CUSIP: 12669FZN6<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     31486 | PA      | $24825.64     | 0.00%             | 2034-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-25 2A1          | CUSIP: 12669GKF7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   1710705 | PA      | $1608861.62   | 0.12%             | 2035-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-7 2A2           | CUSIP: 12669GNQ0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |      1209 | PA      | $409.93       | 0.00%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-8R A5           | CUSIP: 12669GQJ3<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    554822 | PA      | $555637.66    | 0.04%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-11 3A3          | CUSIP: 12669GUP4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |   1664869 | PA      | $1172126.00   | 0.09%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    212322 | PA      | $127762.39    | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                                                | CWHEL 2007-B A            | CUSIP: 12669XAE4<br>LEI: 549300X21P41B4WETI38 | Long             | ABS-O            | CORP              | US        |   1920347 | PA      | $1827323.60   | 0.14%             | 2037-02-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| CAL RECEIVABLES 2022-1 LLC                                                               | CALR 2022-1 B             | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   1083981 | PA      | $1083931.46   | 0.08%             | 2026-10-15      | Floating      | 8.33%                 | Yes           |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                                            | CXHE 2004-C M2            | CUSIP: 152314KS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93284 | PA      | $92038.66     | 0.01%             | 2034-06-25      | Floating      | 4.40%                 | 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        |    110871 | PA      | $110564.23    | 0.01%             | 2034-09-25      | Floating      | 6.06%                 | 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        |     68181 | PA      | $69975.87     | 0.01%             | 2034-06-25      | Floating      | 5.35%                 | No            |                  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      | $194915.51    | 0.02%             | 2032-05-25      | Floating      | 8.35%                 | 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        |     35939 | PA      | $35746.34     | 0.00%             | 2034-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chaseflex Trust Series 2005-1                                                            | CFLX 2005-2 3A4           | CUSIP: 16165TBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    903634 | PA      | $548161.37    | 0.04%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                        | CMSI 2006-1 1A4           | CUSIP: 1729734V8<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     70993 | PA      | $66592.95     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Inc.                                                        | CMSI 2005-2 1A3           | CUSIP: 172973Q85<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |    155374 | PA      | $140208.04    | 0.01%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2006-AR3 1A2A       | CUSIP: 17306SAC7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    304474 | PA      | $293810.38    | 0.02%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2006-AR2 1A2        | CUSIP: 17307G6L7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    204421 | PA      | $200262.49    | 0.02%             | 2036-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2003-HE3 M4         | CUSIP: 17307GCY2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   3289219 | PA      | $3709251.14   | 0.29%             | 2033-12-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-RR1 2A1        | CUSIP: 17307GDX3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    535267 | PA      | $513184.08    | 0.04%             | 2029-01-25      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-HYB2 3A        | CUSIP: 17307GED6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     85327 | PA      | $73511.37     | 0.01%             | 2034-03-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-NCM2 2CB3      | CUSIP: 17307GHC5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     26341 | PA      | $27625.49     | 0.00%             | 2034-08-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2004-RES1 M7        | CUSIP: 17307GKS6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    226910 | PA      | $901607.09    | 0.07%             | 2034-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2005-9 2A3          | CUSIP: 17307GM70<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    868061 | PA      | $685984.12    | 0.05%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST                                                            | CMLTI 2005-SHL1 M3        | CUSIP: 17307GR83<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47266 | PA      | $316733.80    | 0.02%             | 2044-07-25      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2005-5 1A5          | CUSIP: 17307GXX1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    690452 | PA      | $593196.97    | 0.05%             | 2035-08-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2007-6 1A4A         | CUSIP: 17312VAH1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1143993 | PA      | $1127479.41   | 0.09%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2008-RR1 A1A1       | CUSIP: 173145AA1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1137909 | PA      | $1018318.70   | 0.08%             | 2037-01-25      | Floating      | 3.92%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    175459 | PA      | $166617.35    | 0.01%             | 2035-05-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                      | CGCMT 2012-GC8 C          | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4828945 | PA      | $4726280.60   | 0.37%             | 2045-09-10      | Floating      | 5.12%                 | Yes           |                  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      | $264913.24    | 0.02%             | 2045-09-10      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2013-8 1A2          | CUSIP: 17321PAB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     15017 | PA      | $14119.92     | 0.00%             | 2035-05-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CMLTI 2013-8 2A2          | CUSIP: 17321PAG5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    253314 | PA      | $166404.46    | 0.01%             | 2036-11-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                      | CGCMT 2014-GC21 C         | CUSIP: 17322MBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1303908 | PA      | $1274818.64   | 0.10%             | 2047-05-10      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-LC6 D           | CUSIP: 20048EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67980 | PA      | $66363.99     | 0.01%             | 2046-01-10      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-LC6 E           | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11274000 | PA      | $10659209.39  | 0.83%             | 2046-01-10      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                                | COMM 2013-LC6 F           | CUSIP: 20048EAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1616447.99   | 0.13%             | 2046-01-10      | Fixed         | 3.50%                 | Yes           |                  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        |   1582275 | PA      | $384754.15    | 0.03%             | 2030-06-01      | Floating      | 2.24%                 | 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        |    188156 | PA      | $195136.46    | 0.02%             | 2033-05-01      | Floating      | 7.15%                 | 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        |   1980233 | PA      | $1953035.63   | 0.15%             | 2033-12-01      | Floating      | 9.55%                 | 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        |     65733 | PA      | $53470.99     | 0.00%             | 2028-01-15      | Floating      | 4.34%                 | 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        |     14924 | PA      | $14584.38     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  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        |     14924 | PA      | $14589.76     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  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      | $716145.51    | 0.06%             | 2032-10-25      | Floating      | 6.65%                 | 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        |    102209 | PA      | $100139.76    | 0.01%             | 2032-06-25      | Floating      | 7.00%                 | 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        |    362949 | PA      | $368410.97    | 0.03%             | 2031-09-25      | Floating      | 8.10%                 | 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        |    212856 | PA      | $206410.00    | 0.02%             | 2032-03-25      | Floating      | 4.87%                 | Yes           |                  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        |     69330 | PA      | $64207.51     | 0.00%             | 2039-12-19      | Floating      | 5.92%                 | 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        |     23645 | PA      | $21304.42     | 0.00%             | 2039-12-19      | Floating      | 5.92%                 | Yes           |                  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        |     17741 | PA      | $15816.59     | 0.00%             | 2039-12-19      | Floating      | 5.92%                 | 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        |     16190 | PA      | $12393.88     | 0.00%             | 2039-12-19      | Floating      | 5.92%                 | Yes           |                  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      | $168969.67    | 0.01%             | 2032-02-25      | Floating      | 6.25%                 | No            |                  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        |    423051 | PA      | $411288.08    | 0.03%             | 2032-08-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | HEAT 2002-2 M2            | CUSIP: 22541NCV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279616 | PA      | $263490.36    | 0.02%             | 2032-06-25      | Floating      | 5.70%                 | No            |                  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      | $37536.85     | 0.00%             | 2032-06-25      | Floating      | 6.45%                 | No            |                  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        |    492282 | PA      | $501538.34    | 0.04%             | 2032-10-25      | Fixed         | 7.00%                 | 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        |     57201 | PA      | $55935.89     | 0.00%             | 2032-11-25      | Floating      | 6.57%                 | 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        |     14587 | PA      | $14650.62     | 0.00%             | 2032-11-25      | Floating      | 6.57%                 | 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        |     35542 | PA      | $33953.38     | 0.00%             | 2033-04-25      | Floating      | 5.66%                 | No            |                  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      | $1298756.31   | 0.10%             | 2033-06-25      | Floating      | 8.60%                 | 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        |    784711 | PA      | $915239.58    | 0.07%             | 2034-02-25      | Floating      | 5.95%                 | 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        |    146291 | PA      | $151952.53    | 0.01%             | 2033-11-25      | Floating      | 6.60%                 | 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        |     12889 | PA      | $12809.85     | 0.00%             | 2033-07-25      | Floating      | 6.75%                 | 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        |    185058 | PA      | $190061.39    | 0.01%             | 2033-11-25      | Fixed         | 6.00%                 | 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      | $146438.18    | 0.01%             | 2034-04-25      | Floating      | 7.10%                 | No            |                  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      | $652547.91    | 0.05%             | 2034-04-25      | Floating      | 3.60%                 | 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        |     50109 | PA      | $44330.24     | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | 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        |    167267 | PA      | $88531.63     | 0.01%             | 2030-08-25      | Fixed         | 5.50%                 | 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        |    469365 | PA      | $398108.48    | 0.03%             | 2035-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2005-CF1 B           | CUSIP: 225458M70<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4258576 | PA      | $4987523.59   | 0.39%             | 2045-03-25      | Floating      | 3.67%                 | 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      | $638181.61    | 0.05%             | 2032-02-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Csmc                                                                                     | CSMC 2006-C4 C            | CUSIP: 22545MAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19164 | PA      | $18875.09     | 0.00%             | 2039-09-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2005-12 5A1          | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667364 | PA      | $582195.84    | 0.05%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | TBW 2006-1 1A1            | CUSIP: 225470S87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2674618 | PA      | $697334.78    | 0.05%             | 2036-04-25      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | TBW 2006-1 2A1            | CUSIP: 225470T60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508696 | PA      | $329961.45    | 0.03%             | 2036-04-25      | Fixed         | 6.50%                 | 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      | $394515.52    | 0.03%             | 2033-05-25      | Floating      | 8.10%                 | 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        |    921539 | PA      | $809304.61    | 0.06%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-14                                            | CWL 2006-14 M1            | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4468594 | PA      | $4732267.45   | 0.37%             | 2037-02-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                             | CWALT 2006-J6 A1          | CUSIP: 23244EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203883 | PA      | $434549.76    | 0.03%             | 2036-09-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Cwalt Alternative Loan Trust                                                             | CWALT 2006-J6 A2          | CUSIP: 23244EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1468738 | PA      | $162944.41    | 0.01%             | 2036-09-25      | Floating      | 1.65%                 | No            |                  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        |   6024430 | PA      | $5818971.81   | 0.45%             | 2044-08-10      | Floating      | 5.35%                 | Yes           |                  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        |    135082 | PA      | $121479.33    | 0.01%             | 2044-09-19      | Floating      | 4.69%                 | 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        |    818929 | PA      | $759522.80    | 0.06%             | 2044-11-19      | Floating      | 4.65%                 | No            |                  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        |    546204 | PA      | $509596.80    | 0.04%             | 2044-11-19      | Floating      | 4.65%                 | 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        |   1429644 | PA      | $1324125.58   | 0.10%             | 2045-07-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust 2004-Ar4                                                        | DSLA 2007-AR1 1A1B        | CUSIP: 23333YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4174009 | PA      | $3302112.31   | 0.26%             | 2047-04-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust 1998-1                                              | DELHE 1999-3 A1F          | CUSIP: 24763LFU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392680 | PA      | $373915.57    | 0.03%             | 2029-09-15      | Floating      | 7.96%                 | No            |                  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        |     88275 | PA      | $83024.72     | 0.01%             | 2036-02-25      | Floating      | 6.37%                 | 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        |    126164 | PA      | $116964.30    | 0.01%             | 2036-06-25      | Floating      | 6.27%                 | 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        |    909816 | PA      | $817118.57    | 0.06%             | 2037-08-25      | Floating      | 4.07%                 | 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        |    912157 | PA      | $908981.06    | 0.07%             | 2028-04-15      | Fixed         | 7.28%                 | 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        |     25123 | PA      | $24664.68     | 0.00%             | 2033-09-25      | Floating      | 5.50%                 | 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        |    669606 | PA      | $617481.29    | 0.05%             | 2036-04-15      | Floating      | 4.14%                 | Yes           |                  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        |   1692056 | PA      | $1560339.67   | 0.12%             | 2036-04-15      | Floating      | 4.14%                 | Yes           |                  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        |    544634 | PA      | $501022.54    | 0.04%             | 2036-04-15      | Floating      | 4.15%                 | Yes           |                  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      |
| 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      |
| Eaton Vance Ltd Duration Income Fund                                                     | EVV Float PERP            | CUSIP: 27828H402<br>LEI: NZ7KR43H6Z5W1GY0QX46 | Long             | EP               | CORP              | US        |        61 | NS      | $1311500.00   | 0.10%             |  |  |  | No            |                  1 | 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      |
| 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      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR FLOAT PERP            | CUSIP: 27828Q204<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |        88 | NS      | $1892000.00   | 0.15%             |  |  |  | No            |                  1 | 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      |
| Eaton Vance Senior Floating Rate Trust                                                   | EFR FLOAT PERP            | CUSIP: 27828Q402<br>LEI: VJXUJZ1EC079NQ236240 | Long             | EP               | CORP              | US        |       136 | NS      | $2924000.00   | 0.23%             |  |  |  | No            |                  1 | 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      |
| Equity One, Inc.                                                                         | EQABS 1998-1 A1           | CUSIP: 294751AF9<br>LEI: 529900053A7X7FJ97S58 | Long             | ABS-O            | CORP              | US        |     58765 | PA      | $56773.76     | 0.00%             | 2029-12-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Equity One Mtg                                                                           | EQABS 2002-1 M1           | CUSIP: 294754AS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207380 | PA      | $205679.10    | 0.02%             | 2032-08-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                                           | FREMF 2017-KF41 B         | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1727556 | PA      | $1750603.38   | 0.14%             | 2026-01-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                                           | FREMF 2020-KF74 C         | CUSIP: 30313MAC4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    371187 | PA      | $367715.06    | 0.03%             | 2027-01-25      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 365 257               | CUSIP: 31325XQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212539 | PA      | $39311.25     | 0.00%             | 2049-05-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNGT 1999-T2 A2           | CUSIP: 31359VYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120266 | PA      | $110618.87    | 0.01%             | 2039-01-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-95 SA            | CUSIP: 3136B3UE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    242138 | PA      | $23312.77     | 0.00%             | 2049-01-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 362 2                 | CUSIP: 3136FCVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195004 | PA      | $23011.92     | 0.00%             | 2035-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3753 SB               | CUSIP: 3137A3MT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    217332 | PA      | $20989.65     | 0.00%             | 2040-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNW 2002-W6 2A            | CUSIP: 31392DH70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    539347 | PA      | $543801.07    | 0.04%             | 2042-06-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNW 2004-W1 3A            | CUSIP: 31393U4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    220759 | PA      | $219321.22    | 0.02%             | 2043-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2010-55 SH            | CUSIP: 31398RLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    143148 | PA      | $3156.28      | 0.00%             | 2040-05-25      | Floating      | 2.51%                 | No            |                  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      | $200228.40    | 0.02%             | 2034-11-25      | Floating      | 4.79%                 | 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      | $182455.13    | 0.01%             | 2034-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| First American Funds Inc.                                                                | FIRST AM-TR OB-X          | CUSIP: 31846V328<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |  59702739 | PA      | $59702739.10  | 4.64%             |  |  |  | No            |                  1 | 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      | $249765.80    | 0.02%             | 2032-04-25      | Floating      | 5.65%                 | 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        |    893839 | PA      | $1222720.94   | 0.09%             | 2033-03-25      | Floating      | 6.47%                 | No            |                  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      | $156707.06    | 0.01%             | 2034-03-25      | Floating      | 5.35%                 | No            |                  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      | $4441100.19   | 0.34%             | 2034-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2004-FF5 A3C         | CUSIP: 32027NKU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273634 | PA      | $257168.78    | 0.02%             | 2034-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2004-FFH3 M2         | CUSIP: 32027NLS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737593 | PA      | $730578.28    | 0.06%             | 2034-10-25      | Floating      | 4.78%                 | 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        |   1054503 | PA      | $883917.81    | 0.07%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2005-FFH3 M3         | CUSIP: 32027NVE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304634 | PA      | $304549.03    | 0.02%             | 2035-09-25      | Floating      | 4.72%                 | 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        |     12559 | PA      | $12458.46     | 0.00%             | 2030-05-25      | Floating      | 6.45%                 | 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        |     10117 | PA      | $9941.50      | 0.00%             | 2030-05-25      | Floating      | 6.37%                 | No            |                  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        |    131423 | PA      | $124974.64    | 0.01%             | 2034-12-25      | Floating      | 5.01%                 | 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        |    139726 | PA      | $130312.85    | 0.01%             | 2035-02-25      | Floating      | 4.12%                 | 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        |    333637 | PA      | $310311.62    | 0.02%             | 2035-02-25      | Floating      | 4.40%                 | 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        |     23932 | PA      | $13321.34     | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | 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        |    576484 | PA      | $417809.06    | 0.03%             | 2036-01-25      | Floating      | 6.37%                 | 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      | $801779.33    | 0.06%             | 2035-05-25      | Floating      | 3.18%                 | 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        |    166445 | PA      | $83209.90     | 0.01%             | 2035-07-25      | Floating      | 5.21%                 | 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        |    135722 | PA      | $123048.37    | 0.01%             | 2035-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon 06-Ar3                                                                       | FHASI 2006-AR3 3A1        | CUSIP: 32052EAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457236 | PA      | $361936.13    | 0.03%             | 2036-10-25      | Floating      | 3.51%                 | 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      |
| First Horizon Mortgage Pass Through Trust 2006 3                                         | FHASI 2007-AR1 3A1        | CUSIP: 32053EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343904 | PA      | $282737.65    | 0.02%             | 2037-05-25      | Floating      | 2.87%                 | No            |                  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        |     30983 | PA      | $14686.75     | 0.00%             | 2037-07-25      | Floating      | 2.14%                 | 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        |    260500 | PA      | $261792.07    | 0.02%             | 2029-01-25      | Fixed         | 6.99%                 | Yes           |                  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        |    145468 | PA      | $145945.37    | 0.01%             | 2029-01-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Fremont Hm Ln Ow T                                                                       | FREHE 1999-3 A1           | CUSIP: 35729BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139592 | PA      | $137203.70    | 0.01%             | 2029-12-25      | Floating      | 4.56%                 | 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        |    160874 | PA      | $157584.19    | 0.01%             | 2029-12-25      | Floating      | 4.64%                 | No            |                  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        |   1079409 | PA      | $1327107.38   | 0.10%             | 2033-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                           | FHLT 2003-1 M1            | CUSIP: 35729PAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1022995 | PA      | $1162388.28   | 0.09%             | 2033-02-25      | Floating      | 5.12%                 | No            |                  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      | $32577.80     | 0.00%             | 2034-05-25      | Floating      | 6.85%                 | 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        |      2576 | PA      | $2569.70      | 0.00%             | 2035-01-25      | Floating      | 4.58%                 | 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        |    771976 | PA      | $735502.79    | 0.06%             | 2034-10-25      | Floating      | 4.35%                 | Yes           |                  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        |      9006 | PA      | $4312.62      | 0.00%             | 2035-08-25      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust 2004-He2                                                    | GMACM 2005-HE3 A3         | CUSIP: 361856EJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151033 | PA      | $146866.37    | 0.01%             | 2036-02-25      | Floating      | 4.35%                 | 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        |    723708 | PA      | $673349.98    | 0.05%             | 2036-02-25      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2005-AR6 3A1        | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264504 | PA      | $232612.86    | 0.02%             | 2035-11-19      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2007-HE2 A1         | CUSIP: 36186LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715965 | PA      | $670366.53    | 0.05%             | 2037-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                                                | GMACM 2007-HE2 A4         | CUSIP: 36186LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543280 | PA      | $534296.45    | 0.04%             | 2037-12-25      | Floating      | 7.42%                 | 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        |  20651000 | PA      | $20096287.29  | 1.56%             | 2044-08-10      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                                           | GSMS 2012-GCJ9 D          | CUSIP: 36192PAK2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |  11653721 | PA      | $11550944.87  | 0.90%             | 2045-11-10      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2013-G1                                                     | GSMS 2013-G1 B            | CUSIP: 36197QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137267 | PA      | $136074.74    | 0.01%             | 2031-04-10      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2013-G1                                                     | GSMS 2013-G1 C            | CUSIP: 36197QAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6350000 | PA      | $6189768.55   | 0.48%             | 2031-04-10      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                             | GSMS 2013-GC14 F          | CUSIP: 36198FAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8107357 | PA      | $8021531.77   | 0.62%             | 2046-08-10      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2004-5 M2            | CUSIP: 36228F5J1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1542740 | PA      | $1386986.41   | 0.11%             | 2034-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1998-1 A            | CUSIP: 36228FAA4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     41028 | PA      | $40255.04     | 0.00%             | 2027-09-19      | Floating      | 8.00%                 | 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      | $119010.06    | 0.01%             | 2027-05-19      | Floating      | 7.75%                 | 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      | $47650.50     | 0.00%             | 2027-09-19      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 1999-2 A            | CUSIP: 36228FCG9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    106693 | PA      | $106203.56    | 0.01%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSMPS 2001-2 A            | CUSIP: 36228FEC6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    280745 | PA      | $276003.52    | 0.02%             | 2032-06-19      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-3F B3            | CUSIP: 36228FPZ3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     60854 | PA      | $57787.02     | 0.00%             | 2033-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-HE1 M1         | CUSIP: 36228FR32<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     73995 | PA      | $69295.41     | 0.01%             | 2034-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-4F B3            | CUSIP: 36228FRL2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    137680 | PA      | $139695.07    | 0.01%             | 2033-05-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2003-9 A2             | CUSIP: 36228FWS1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     34674 | PA      | $34304.12     | 0.00%             | 2033-08-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-AR1 1A1          | CUSIP: 362290AA6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1102006 | PA      | $526743.52    | 0.04%             | 2037-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-AR1 3A1          | CUSIP: 362290AH1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    406991 | PA      | $352864.47    | 0.03%             | 2037-03-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2003-1 A2             | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8430 | PA      | $8476.16      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2003-1 B1             | CUSIP: 36229RJK6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     81353 | PA      | $77934.51     | 0.01%             | 2033-03-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 3A1           | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734334 | PA      | $432471.17    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 2A2           | CUSIP: 3622MPAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130364 | PA      | $716282.33    | 0.06%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2007-1F 2A4           | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72786 | PA      | $169005.37    | 0.01%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2007-3F                                                          | GSR 2007-3F 2A1           | CUSIP: 3622MWAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51175 | PA      | $1225832.00   | 0.10%             | 2037-05-25      | Fixed         | 5.75%                 | 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        |    169434 | PA      | $154843.34    | 0.01%             | 2037-05-25      | Floating      | 5.35%                 | 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        |   1001078 | PA      | $927673.91    | 0.07%             | 2036-02-25      | Fixed         | 5.00%                 | 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        |   1178021 | PA      | $1036030.64   | 0.08%             | 2036-02-25      | Fixed         | 5.75%                 | 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        |   1391948 | PA      | $1224173.29   | 0.10%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 2A2           | CUSIP: 362334QD9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |  65147000 | PA      | $927000.12    | 0.07%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A3           | CUSIP: 3623416K0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      6317 | PA      | $57122.45     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A6           | CUSIP: 3623416N4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    141171 | PA      | $1222855.92   | 0.09%             | 2036-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 1A9           | CUSIP: 3623416R5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      4129 | PA      | $24248.57     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2006-1F 4A1           | CUSIP: 3623417S2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    702892 | PA      | $498804.47    | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-9 M2            | CUSIP: 362341GN3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    417813 | PA      | $421633.22    | 0.03%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-AR5 1A1          | CUSIP: 362341LA5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     85220 | PA      | $81376.98     | 0.01%             | 2035-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-7F 2A6           | CUSIP: 362341MR7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     47351 | PA      | $47155.90     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A1           | CUSIP: 362341VP1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    309421 | PA      | $299215.90    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A4           | CUSIP: 362341VS5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    412938 | PA      | $399319.44    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-8F 2A6           | CUSIP: 362341VU0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    953156 | PA      | $922037.68    | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-AR7 5A1          | CUSIP: 362341XE4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    198310 | PA      | $167535.68    | 0.01%             | 2035-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-SD1 M2         | CUSIP: 36242DAY9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1198286 | PA      | $1092290.89   | 0.08%             | 2034-06-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAMP 2004-AR2 M2         | CUSIP: 36242DDQ3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   3514475 | PA      | $3801808.84   | 0.30%             | 2034-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2004-15F 3A1          | CUSIP: 36242DRC9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     17609 | PA      | $15883.53     | 0.00%             | 2034-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-2 B3            | CUSIP: 36242DTW3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    936656 | PA      | $891810.11    | 0.07%             | 2034-12-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2005-1F 4A1           | CUSIP: 36242DVK6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    199863 | PA      | $186858.39    | 0.01%             | 2035-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSAA 2005-3 B1            | CUSIP: 36242DWW9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    105703 | PA      | $105575.97    | 0.01%             | 2034-12-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2007-GG10                                                   | GSMS 2007-GG10 AJ         | CUSIP: 36246LAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2543737 | PA      | $330685.83    | 0.03%             | 2045-08-10      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                            | GSAA 2007-7 A4            | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276663 | PA      | $269460.84    | 0.02%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 2A11          | CUSIP: 362650AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875000 | PA      | $528000.00    | 0.04%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-4F 5A11          | CUSIP: 362650BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2604000 | PA      | $701999.99    | 0.05%             | 2036-05-25      | Fixed         | 0.00%                 | 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        |     20252 | PA      | $54256.12     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | 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        |   1429401 | PA      | $3261618.53   | 0.25%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-10F 2A1          | CUSIP: 36266WAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15933 | PA      | $1196811.00   | 0.09%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A1           | CUSIP: 36297XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93994 | PA      | $267563.90    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A2           | CUSIP: 36297XAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185206 | PA      | $527205.78    | 0.04%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-5F 2A4           | CUSIP: 36297XAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34795 | PA      | $99045.98     | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2006-7F 2A1           | CUSIP: 36298NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9018 | PA      | $1544292.00   | 0.12%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                                                      | GMSL 2004-A A2            | CUSIP: 378961AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    133702 | PA      | $132232.43    | 0.01%             | 2032-11-25      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2003-12 S             | CUSIP: 38373SLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     99946 | PA      | $8608.89      | 0.00%             | 2033-02-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-71 SG            | CUSIP: 38377V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100015 | PA      | $7577.30      | 0.00%             | 2041-05-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-89 SA            | CUSIP: 38377WVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    121125 | PA      | $9321.00      | 0.00%             | 2041-06-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-43 IO            | CUSIP: 38378KDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1177126 | PA      | $235.07       | 0.00%             | 2048-08-16      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1998-2 M1              | CUSIP: 393505B27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145466 | PA      | $146846.83    | 0.01%             | 2028-12-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1998-3 M1              | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1852566 | PA      | $1913018.04   | 0.15%             | 2030-03-01      | Floating      | 6.86%                 | 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      | $149571.94    | 0.01%             | 2026-10-15      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1998-8 M1              | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156993 | PA      | $158921.60    | 0.01%             | 2030-09-01      | Fixed         | 6.98%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-6 B1              | CUSIP: 393505PE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180804 | PA      | $1191764.55   | 0.09%             | 2027-09-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-8 B1              | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382822 | PA      | $386148.82    | 0.03%             | 2026-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-9 B1              | CUSIP: 393505RA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653667 | PA      | $661657.40    | 0.05%             | 2028-01-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1996-10 B1             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1486676 | PA      | $1505810.68   | 0.12%             | 2028-11-15      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-2 M1              | CUSIP: 393505SV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1105130.37   | 0.09%             | 2028-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-3 M1              | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2476873 | PA      | $2515083.96   | 0.20%             | 2028-03-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-4 M1              | CUSIP: 393505UW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203401 | PA      | $204393.09    | 0.02%             | 2029-02-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | CONSECO FINANCIAL CORP    | CUSIP: 393505VZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800023 | PA      | $2850914.52   | 0.22%             | 2029-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1999-3 A8              | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1089027 | PA      | $999945.13    | 0.08%             | 2031-02-01      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1999-3 A9              | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351462 | PA      | $317176.92    | 0.02%             | 2031-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-7 M1              | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2967658 | PA      | $3013937.25   | 0.23%             | 2028-07-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-8 M1              | CUSIP: 393505YA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1867790 | PA      | $1899668.75   | 0.15%             | 2027-10-15      | Floating      | 7.02%                 | 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        |    311152 | PA      | $266357.94    | 0.02%             | 2045-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Ln                                                                        | GMLT 2004-1 A             | CUSIP: 39538VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359245 | PA      | $1157802.16   | 0.09%             | 2034-10-25      | Floating      | 5.00%                 | 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        |    268539 | PA      | $253867.42    | 0.02%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  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        |    251703 | PA      | $197291.67    | 0.02%             | 2045-10-25      | Floating      | 5.43%                 | 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        |    191044 | PA      | $144289.19    | 0.01%             | 2045-11-25      | Floating      | 4.41%                 | 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        |    789434 | PA      | $729256.95    | 0.06%             | 2036-03-25      | Floating      | 6.03%                 | No            |                  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        |     56596 | PA      | $51558.52     | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | 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        |    138373 | PA      | $131933.28    | 0.01%             | 2049-03-18      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2003-1 A            | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452345 | PA      | $413769.13    | 0.03%             | 2033-05-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2003-1 B1           | CUSIP: 41161PBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35025 | PA      | $25699.83     | 0.00%             | 2033-05-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-1 B1           | CUSIP: 41161PDD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200183 | PA      | $133766.20    | 0.01%             | 2034-04-19      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-8 3A2          | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673497 | PA      | $577304.52    | 0.04%             | 2034-11-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2004-9 4A2          | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61440 | PA      | $53231.01     | 0.00%             | 2034-12-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2005-2 1A           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3111614 | PA      | $837625.45    | 0.07%             | 2035-05-19      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                                | HVMLT 2005-16 4A1B        | CUSIP: 41161PZD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769210 | PA      | $1405735.86   | 0.11%             | 2037-01-19      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                                  | HEAT 2004-3 B1            | CUSIP: 437084CH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35887 | PA      | $353574.24    | 0.03%             | 2034-08-25      | Floating      | 6.45%                 | No            |                  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      | $3400933.30   | 0.26%             | 2034-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Home Equity 2007-1                                                                       | HEMT 2007-1 A1            | CUSIP: 43710ABB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162105 | PA      | $156536.29    | 0.01%             | 2037-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Home Equity Ass Tr                                                                       | HEAT 2007-3 M1            | CUSIP: 43710TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3408843 | PA      | $4382379.27   | 0.34%             | 2037-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                                                       | IMCHE 1996-2 A7           | CUSIP: 449670BB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293936 | PA      | $292906.65    | 0.02%             | 2026-07-25      | Fixed         | 7.95%                 | 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        |    431230 | PA      | $427365.64    | 0.03%             | 2029-08-20      | Floating      | 5.43%                 | 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        |     34480 | PA      | $34447.44     | 0.00%             | 2029-12-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-8 3M2            | CUSIP: 45254NKV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128618 | PA      | $125559.76    | 0.01%             | 2034-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-8 3B             | CUSIP: 45254NKW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89043 | PA      | $90499.96     | 0.01%             | 2034-08-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-10 3A2           | CUSIP: 45254NLN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58999 | PA      | $58007.47     | 0.00%             | 2035-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2A1            | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167108 | PA      | $162276.46    | 0.01%             | 2035-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2A2            | CUSIP: 45254NPF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323650 | PA      | $317646.99    | 0.02%             | 2035-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-4 2B1            | CUSIP: 45254NPS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515053 | PA      | $568975.87    | 0.04%             | 2035-05-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2005-7 A1             | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447868 | PA      | $410012.97    | 0.03%             | 2035-11-25      | Floating      | 4.37%                 | 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        |    139444 | PA      | $137181.99    | 0.01%             | 2033-08-25      | Floating      | 5.23%                 | 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        |    104477 | PA      | $100137.99    | 0.01%             | 2035-07-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass Through Certificates Series 2006-3               | IMSA 2006-3 A1            | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425626 | PA      | $393333.13    | 0.03%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2000-C AV           | CUSIP: 456606BM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409453 | PA      | $398531.53    | 0.03%             | 2031-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2000-C MV1          | CUSIP: 456606BN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203203 | PA      | $379103.64    | 0.03%             | 2031-12-25      | Floating      | 4.38%                 | 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      | $190471.47    | 0.01%             | 2033-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2003-A MF2          | CUSIP: 456606DY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1908000 | PA      | $410000.01    | 0.03%             | 2032-10-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                                        | INHEL 2004-A M2           | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52544 | PA      | $50931.44     | 0.00%             | 2034-07-25      | Floating      | 3.51%                 | 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        |   1272103 | PA      | $1198231.68   | 0.09%             | 2035-07-25      | Floating      | 4.47%                 | 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        |     14428 | PA      | $13557.57     | 0.00%             | 2036-01-25      | Floating      | 5.40%                 | 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        |   2432439 | PA      | $2228377.67   | 0.17%             | 2036-01-25      | Floating      | 4.47%                 | 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        |    190281 | PA      | $182013.81    | 0.01%             | 2034-05-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRU                                                           | INDX 2004-AR3 AX2         | CUSIP: 45660NL94<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2043317 | PA      | $1907231.66   | 0.15%             | 2034-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Indymac Arm Trust                                                                        | INARM 2001-H1 1A          | CUSIP: 45660UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92636 | PA      | $48673.47     | 0.00%             | 2031-08-25      | Floating      | 5.82%                 | 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      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                               | RAST 2006-A3CB AX         | CUSIP: 45661EFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167073 | PA      | $31173.86     | 0.00%             | 2046-01-25      | Floating      | 6.00%                 | 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        |    397014 | PA      | $363304.61    | 0.03%             | 2036-09-25      | Floating      | 3.54%                 | 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        |     58629 | PA      | $55366.78     | 0.00%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                                                       | IRWHE 2006-P1 1A          | CUSIP: 46412AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269323 | PA      | $264087.57    | 0.02%             | 2036-12-25      | Floating      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                                                       | IRWHE 2006-P1 2A3         | CUSIP: 46412AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137551 | PA      | $137353.08    | 0.01%             | 2037-06-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2004-S2 2A13        | CUSIP: 466247JK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301008 | PA      | $283440.07    | 0.02%             | 2034-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2004-S2 4A5         | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151458 | PA      | $138902.68    | 0.01%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2005-A4 B1          | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    569133 | PA      | $548524.02    | 0.04%             | 2035-07-25      | Floating      | 5.62%                 | 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        |    243179 | PA      | $151116.43    | 0.01%             | 2035-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                 | JPALT 2007-A1 3A1         | CUSIP: 466287AR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471602 | PA      | $410652.90    | 0.03%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-A2 3A1         | CUSIP: 46630PAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44114 | PA      | $36303.44     | 0.00%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-S2 3A2         | CUSIP: 46630WBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121268 | PA      | $119231.03    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2007-S2 3A3         | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45383 | PA      | $45303.04     | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  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        |   1110309 | PA      | $1022319.41   | 0.08%             | 2036-10-26      | Floating      | 4.49%                 | Yes           |                  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        |    236707 | PA      | $235764.21    | 0.02%             | 2045-05-15      | Floating      | 4.96%                 | No            |                  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      | $16328490.61  | 1.27%             | 2045-05-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                   | JPMCC 2012-C6 F           | CUSIP: 46634SAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358000 | PA      | $1266017.23   | 0.10%             | 2045-05-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 D           | CUSIP: 46635GAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2004065 | PA      | $1819521.61   | 0.14%             | 2043-11-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 E           | CUSIP: 46635GAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12770000 | PA      | $12014599.42  | 0.93%             | 2043-11-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | JPMCC 2010-C2 F           | CUSIP: 46635GAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12950000 | PA      | $9329827.50   | 0.72%             | 2043-11-15      | Fixed         | 3.39%                 | Yes           |                  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        |    564811 | PA      | $542430.12    | 0.04%             | 2046-02-15      | Floating      | 5.01%                 | 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      | $8785745.40   | 0.68%             | 2046-02-15      | Floating      | 5.36%                 | Yes           |                  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        |   2856000 | PA      | $2603748.08   | 0.20%             | 2046-02-15      | Floating      | 5.53%                 | Yes           |                  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        |  20272171 | PA      | $19562644.74  | 1.52%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  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        |   6612105 | PA      | $6402236.61   | 0.50%             | 2045-06-15      | Floating      | 4.69%                 | Yes           |                  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        |    516640 | PA      | $509729.97    | 0.04%             | 2047-12-15      | Floating      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10                            | JPMCC 2013-C10 C          | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1578930 | PA      | $1525921.86   | 0.12%             | 2047-12-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                                               | JPMCC 2013-LC11 D         | CUSIP: 46639YAX5<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |    107000 | PA      | $5617.50      | 0.00%             | 2046-04-15      | Floating      | 4.19%                 | 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        |   5960582 | PA      | $5465246.71   | 0.42%             | 2045-11-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-MINN                           | JPMCC 2018-MINN A         | CUSIP: 46650GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3369633.05   | 0.26%             | 2035-11-15      | Floating      | 5.07%                 | 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        |    618142 | PA      | $587337.84    | 0.05%             | 2035-08-26      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Jefferies & Co Inc                                                                       | JMAC 2009-R7 6A2          | CUSIP: 47233AAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267073 | PA      | $269227.66    | 0.02%             | 2035-10-21      | Floating      | 4.57%                 | Yes           |                  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      | $1819869.47   | 0.14%             | 2042-11-07      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Lehman Structured Securities Corp                                                        | LSSC 2005-1 A1            | CUSIP: 52518RCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2118719 | PA      | $2078107.50   | 0.16%             | 2045-09-26      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Lehman Abs Mfg Hsg                                                                       | LABMH 2002-A C            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1317889 | PA      | $1320619.38   | 0.10%             | 2033-06-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 5A1            | CUSIP: 52520MCH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    726895 | PA      | $382728.13    | 0.03%             | 2035-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 5A2            | CUSIP: 52520MCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117052 | PA      | $102584.44    | 0.01%             | 2035-12-25      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2005-2 AX             | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538340 | PA      | $81565.50     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-3 2A1            | CUSIP: 52521JAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99083 | PA      | $68919.75     | 0.01%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-5 8A1            | CUSIP: 52521RBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1366912 | PA      | $188811.83    | 0.01%             | 2036-08-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-5 8A2            | CUSIP: 52521RBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1383445 | PA      | $181269.63    | 0.01%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2005-4 1M1            | CUSIP: 525221CD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2257453 | PA      | $2696447.42   | 0.21%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                    | LMT 2007-10 2A2           | CUSIP: 52522QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230755 | PA      | $56774.07     | 0.00%             | 2038-01-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2007-3 1AA1           | CUSIP: 525245AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008689 | PA      | $877747.54    | 0.07%             | 2037-03-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                          | LXS 2007-6 3A5            | CUSIP: 52524PAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224602 | PA      | $209521.08    | 0.02%             | 2037-05-25      | Floating      | 4.21%                 | 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      | $95000.00     | 0.01%             | 2030-08-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2002-1 M3           | CUSIP: 542514CA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1913359 | PA      | $2021986.95   | 0.16%             | 2032-05-25      | Floating      | 7.60%                 | 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      | $469114.30    | 0.04%             | 2033-06-25      | Floating      | 7.22%                 | 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        |    388796 | PA      | $816089.26    | 0.06%             | 2033-07-25      | Floating      | 9.10%                 | 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        |    116187 | PA      | $116419.14    | 0.01%             | 2034-09-25      | Floating      | 4.41%                 | 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        |    583599 | PA      | $582590.87    | 0.05%             | 2034-09-25      | Floating      | 4.43%                 | 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      | $4792532.19   | 0.37%             | 2045-06-25      | Floating      | 4.82%                 | 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        |    828129 | PA      | $762047.56    | 0.06%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust 2006-2                                                           | LUM 2006-7 1A1            | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145238 | PA      | $142507.21    | 0.01%             | 2036-12-25      | Floating      | 4.21%                 | 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        |     13988 | PA      | $12475.46     | 0.00%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2003-11 6A16        | CUSIP: 55265K2D0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23865 | PA      | $23779.01     | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | 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        |     36668 | PA      | $35866.09     | 0.00%             | 2033-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                                                 | MBI 0 12/15/31            | CUSIP: 55266LCY0<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  10652561 | PA      | $5699120.03   | 0.44%             | 2031-12-15      | Fixed         | 0.00%                 | Yes           |                  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        |   3249184 | PA      | $2502378.73   | 0.19%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  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        |    281773 | PA      | $255367.50    | 0.02%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MSRW 2025-CC PASS-THROUGH TRUST                                                          | MSRW 2025-CC D            | CUSIP: 55361BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1770000 | PA      | $1787617.44   | 0.14%             | 2030-08-15      | Fixed         | 8.32%                 | Yes           |                  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        |   2827972 | PA      | $1418223.53   | 0.11%             | 2036-11-25      | Floating      | 0.00%                 | 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      | $344920.28    | 0.03%             | 2035-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust 2002-3                                             | MARM 2005-6 6A1           | CUSIP: 576433A89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1597784 | PA      | $1505146.85   | 0.12%             | 2035-07-25      | Floating      | 3.63%                 | 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      | $589652.32    | 0.05%             | 2035-07-25      | Floating      | 1.71%                 | 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        |    247543 | PA      | $245074.13    | 0.02%             | 2034-11-25      | Floating      | 6.10%                 | 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        |   2526586 | PA      | $2306254.96   | 0.18%             | 2035-01-25      | Floating      | 7.25%                 | 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        |    625620 | PA      | $555583.16    | 0.04%             | 2035-03-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2004-10 4A1          | CUSIP: 576434VX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9708 | PA      | $9264.85      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2005-6 3A1           | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88891 | PA      | $77571.70     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2004-13 9A2          | CUSIP: 576434ZZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531348 | PA      | $259032.19    | 0.02%             | 2035-01-25      | Fixed         | 1.78%                 | No            |                  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        |   1160536 | PA      | $836450.28    | 0.06%             | 2034-08-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2003-NC1 M4          | CUSIP: 57643LBR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139674 | PA      | $145622.49    | 0.01%             | 2033-04-25      | Floating      | 4.11%                 | 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        |   1142832 | PA      | $1211617.45   | 0.09%             | 2034-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                      | MABS 2005-NC1 M1          | CUSIP: 57643LGF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592564 | PA      | $556232.24    | 0.04%             | 2034-12-25      | Floating      | 4.57%                 | No            |                  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      | $2365913.65   | 0.18%             | 2035-06-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                        | MASTR 2004-9 3A7          | CUSIP: 57643MFP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72217 | PA      | $70239.00     | 0.01%             | 2034-07-25      | Fixed         | 5.25%                 | 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      | $711689.31    | 0.06%             | 2034-12-25      | Fixed         | 5.75%                 | 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      | $80525.23     | 0.01%             | 2034-12-25      | Fixed         | 5.75%                 | No            |                  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        |    272173 | PA      | $229810.22    | 0.02%             | 2047-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp.                                                         | MRFC 1999-TBC3 B4         | CUSIP: 585525DL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48046 | PA      | $46743.51     | 0.00%             | 2029-10-20      | Floating      | 0.00%                 | Yes           |                  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      | $25258.94     | 0.00%             | 2029-10-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLCC 2003-F B1            | CUSIP: 5899292T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59763 | PA      | $57034.83     | 0.00%             | 2028-10-25      | Floating      | 4.75%                 | 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        |   1707477 | PA      | $1359160.87   | 0.11%             | 2034-02-25      | Floating      | 8.12%                 | 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        |     70032 | PA      | $61074.73     | 0.00%             | 2033-03-25      | Floating      | 6.26%                 | 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        |     19716 | PA      | $17624.04     | 0.00%             | 2028-08-25      | Floating      | 4.79%                 | 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        |     18721 | PA      | $14216.09     | 0.00%             | 2028-08-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corp                                                                    | MESC 11PA B3              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090156 | PA      | $1040650.21   | 0.08%             | 2032-09-28      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-A7 2A1          | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1019959 | PA      | $796810.38    | 0.06%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2004-WMC5 M1         | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283199 | PA      | $283749.78    | 0.02%             | 2035-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-A1 M2           | CUSIP: 59020UQG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244865 | PA      | $227920.17    | 0.02%             | 2034-12-25      | Floating      | 6.01%                 | 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      | $869269.83    | 0.07%             | 2035-10-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2005-A3 M2           | CUSIP: 59020UVU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5653362 | PA      | $5698849.65   | 0.44%             | 2035-04-25      | Floating      | 4.82%                 | 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        |    153425 | PA      | $0.00         | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  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        |   1432185 | PA      | $1822889.88   | 0.14%             | 2036-08-25      | Floating      | 4.97%                 | 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        |    107854 | PA      | $104413.14    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | 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        |    216735 | PA      | $186420.85    | 0.01%             | 2037-04-25      | Floating      | 4.03%                 | 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        |     89185 | PA      | $88202.69     | 0.01%             | 2037-06-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Metropolitan Asset Funding Inc II                                                        | METRO 1999-A B1           | CUSIP: 591739CE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82495 | PA      | $80366.09     | 0.01%             | 2030-03-20      | Floating      | 8.00%                 | Yes           |                  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        |    504119 | PA      | $466053.82    | 0.04%             | 2049-09-12      | Floating      | 7.67%                 | 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        |    228575 | PA      | $211315.09    | 0.02%             | 2049-09-12      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2004-NC4 M1          | CUSIP: 61744CCH7<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    519878 | PA      | $534720.54    | 0.04%             | 2034-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2004-SD2 B1          | CUSIP: 61744CEC6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    710403 | PA      | $800764.21    | 0.06%             | 2034-04-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2004-SD3 B1          | CUSIP: 61744CGR1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    219969 | PA      | $256972.44    | 0.02%             | 2034-06-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2004-HE8 M2          | CUSIP: 61744CHB5<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    567078 | PA      | $606731.12    | 0.05%             | 2034-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2005-WMC2 M3         | CUSIP: 61744CNT9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    286945 | PA      | $285981.81    | 0.02%             | 2035-02-25      | Floating      | 4.55%                 | No            |                  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        |     59545 | PA      | $58307.20     | 0.00%             | 2044-06-15      | Floating      | 5.21%                 | Yes           |                  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      | $9803337.96   | 0.76%             | 2044-06-15      | Floating      | 5.21%                 | Yes           |                  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      | $532663.76    | 0.04%             | 2033-09-25      | Floating      | 9.47%                 | 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        |    560292 | PA      | $1531418.48   | 0.12%             | 2033-10-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                                         | MSAC 2004-HE1 A4          | CUSIP: 61746REV9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    353923 | PA      | $357062.52    | 0.03%             | 2034-01-25      | Floating      | 4.59%                 | 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      | $1794442.66   | 0.14%             | 2033-02-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2003-HYB1 A1        | CUSIP: 61746WB74<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73211 | PA      | $65560.05     | 0.01%             | 2033-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2002-AM1 M2         | CUSIP: 61746WMM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136028 | PA      | $387939.59    | 0.03%             | 2032-01-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2002-HE1 B1         | CUSIP: 61746WQA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $349170.00    | 0.03%             | 2032-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2002-AM3 B2         | CUSIP: 61746WWN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4232 | PA      | $558369.19    | 0.04%             | 2033-02-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                                          | MSDWC 2003-NC1 M3         | CUSIP: 61746WYW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184123 | PA      | $307938.66    | 0.02%             | 2032-11-25      | Floating      | 7.00%                 | 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        |    176356 | PA      | $169059.17    | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2005-5AR 1M6          | CUSIP: 61748HLN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $439127.26    | 0.03%             | 2035-09-25      | Floating      | 4.97%                 | 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        |     65947 | PA      | $247298.89    | 0.02%             | 2035-11-25      | Floating      | 4.58%                 | 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        |    386495 | PA      | $359139.19    | 0.03%             | 2035-12-25      | Floating      | 5.03%                 | 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        |    697550 | PA      | $379503.88    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |     67641 | PA      | $61650.90     | 0.00%             | 2052-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stan 07-Nc4                                                                       | MSAC 2007-NC4 A2D         | CUSIP: 61755EAE8<br>LEI: 549300WR9UEBBBRWD692 | Long             | ABS-O            | CORP              | US        |   1648009 | PA      | $1439907.85   | 0.11%             | 2037-05-25      | Floating      | 4.10%                 | 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        |     11569 | PA      | $10606.88     | 0.00%             | 2034-11-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Re Remic Trust                                                            | MSRR 2011-R1 1B           | CUSIP: 61759SAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2580455 | PA      | $3197538.02   | 0.25%             | 2037-02-26      | Floating      | 5.94%                 | 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        |    869564 | PA      | $858344.85    | 0.07%             | 2049-07-15      | Floating      | 4.94%                 | Yes           |                  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      | $1994187.88   | 0.15%             | 2049-07-15      | Floating      | 4.94%                 | 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        |   4341086 | PA      | $3922763.17   | 0.30%             | 2045-11-15      | Floating      | 4.54%                 | No            |                  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        |  10305615 | PA      | $8941928.62   | 0.69%             | 2045-11-15      | Floating      | 0.00%                 | Yes           |                  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        |   1429793 | PA      | $1300854.92   | 0.10%             | 2048-12-15      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                       | MSBAM 2013-C9 C           | CUSIP: 61762DBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $327520.20    | 0.03%             | 2046-05-15      | Floating      | 3.71%                 | No            |                  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      | $4133098.53   | 0.32%             | 2046-07-15      | Floating      | 3.95%                 | Yes           |                  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        |   7025614 | PA      | $6523144.90   | 0.51%             | 2046-07-15      | Floating      | 3.95%                 | 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        |   8538236 | PA      | $8261088.73   | 0.64%             | 2046-08-15      | Floating      | 4.08%                 | 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      | $3809444.01   | 0.30%             | 2046-10-15      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust 2014-R2                                            | MSRR 2014-R4 4B2          | CUSIP: 61763TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1049617 | PA      | $937804.25    | 0.07%             | 2035-11-21      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust                                       | MSBAM 2014-C18 E          | CUSIP: 61763XAV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4546817 | PA      | $4356591.00   | 0.34%             | 2047-10-15      | Fixed         | 3.00%                 | Yes           |                  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        |    498071 | PA      | $448718.22    | 0.03%             | 2029-02-26      | Floating      | 7.06%                 | 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        |    322815 | PA      | $312466.96    | 0.02%             | 2032-10-25      | Floating      | 7.00%                 | No            |                  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        |    190048 | PA      | $187610.80    | 0.01%             | 2034-11-25      | Floating      | 7.07%                 | 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        |   3407867 | PA      | $971250.00    | 0.08%             | 2035-10-25      | 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        |  12636200 | PA      | $9948100.19   | 0.77%             | 2036-04-16      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Mortgageit Mortgage Loan Trust 2006-1                                                    | MHL 2005-3 B2             | CUSIP: 61915RAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66296 | PA      | $76343.48     | 0.01%             | 2035-08-25      | Floating      | 6.40%                 | 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        |    208674 | PA      | $302225.19    | 0.02%             | 2035-08-25      | Floating      | 7.60%                 | 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        |    758141 | PA      | $2123187.15   | 0.16%             | 2035-12-25      | Floating      | 4.70%                 | No            |                  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        |   2117418 | PA      | $1545806.55   | 0.12%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| 61999A                                                                                   | MHL 2005-2 R              | CUSIP: 61999ADY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 338798775 | PA      | $3172498.18   | 0.25%             | 2035-05-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| National Colleg. Stud.                                                                   | NCT 2007-A B              | CUSIP: 63543YAB3<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |   1336863 | PA      | $1247887.40   | 0.10%             | 2034-11-25      | Floating      | 4.56%                 | Yes           |                  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        |    234927 | PA      | $518547.06    | 0.04%             | 2033-07-25      | Floating      | 7.42%                 | 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        |     71284 | PA      | $96490.90     | 0.01%             | 2033-10-25      | Floating      | 3.21%                 | Yes           |                  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        |      1070 | PA      | $1068.36      | 0.00%             | 2033-11-25      | Floating      | 4.85%                 | 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        |    853780 | PA      | $866030.20    | 0.07%             | 2034-01-25      | Floating      | 4.93%                 | 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        |     48456 | PA      | $103124.85    | 0.01%             | 2034-08-25      | Floating      | 4.78%                 | 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      | $3471909.04   | 0.27%             | 2026-11-02      | Fixed         | 7.65%                 | 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      | $1628855.28   | 0.13%             | 2028-02-15      | Fixed         | 6.90%                 | 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        |   9895455 | PA      | $154898.51    | 0.01%             | 2059-08-25      | Floating      | 0.50%                 | Yes           |                  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        |  13907556 | PA      | $322767.95    | 0.03%             | 2059-08-25      | Floating      | 0.75%                 | Yes           |                  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        |      6071 | PA      | $6026.03      | 0.00%             | 2034-03-25      | Floating      | 5.80%                 | 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        |   1963393 | PA      | $2081735.75   | 0.16%             | 2034-10-25      | Floating      | 5.55%                 | 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        |   1589264 | PA      | $1158268.63   | 0.09%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-Af1                      | NAA 2006-AF2 2A           | CUSIP: 65536XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630180 | PA      | $615522.34    | 0.05%             | 2036-08-25      | Floating      | 4.09%                 | 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        |    592310 | PA      | $571248.97    | 0.04%             | 2036-08-25      | Floating      | 5.78%                 | 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        |   3043431 | PA      | $0.00         | 0.00%             | 2042-05-21      | Floating      | 4.58%                 | Yes           |                  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        |   7322180 | PA      | $6736281.50   | 0.52%             | 2037-07-25      | Floating      | 4.11%                 | 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        |   3674640 | PA      | $3375841.63   | 0.26%             | 2037-07-25      | Floating      | 4.25%                 | 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        |   4741863 | PA      | $4371053.36   | 0.34%             | 2037-07-25      | Floating      | 4.49%                 | 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        |   2953986 | PA      | $2723164.78   | 0.21%             | 2037-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-1 1A3            | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1276829 | PA      | $1207767.34   | 0.09%             | 2047-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-Ap2                      | NAA 2007-1 1A6            | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191571 | PA      | $181231.26    | 0.01%             | 2047-03-25      | Floating      | 6.32%                 | 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        |    505877 | PA      | $512417.75    | 0.04%             | 2033-09-25      | Floating      | 6.62%                 | 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        |    500130 | PA      | $463738.23    | 0.04%             | 2046-09-25      | Floating      | 0.39%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2000-C M1             | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035773 | PA      | $1013912.88   | 0.08%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2001-D A2             | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1652081 | PA      | $523232.42    | 0.04%             | 2031-08-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2002-A M1             | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3151888 | PA      | $3211316.99   | 0.25%             | 2032-03-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| OWS CRE FDG III LLC 2025-MARG2                                                           | OWSCRE 2025-MARG2 A       | CUSIP: 67121XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5004624.50   | 0.39%             | 2027-08-15      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1996-B B1             | CUSIP: 674135BE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4176 | PA      | $4162.58      | 0.00%             | 2026-10-15      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1996-C B1             | CUSIP: 674135BN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60534 | PA      | $60209.31     | 0.00%             | 2027-04-15      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-A B1             | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136875 | PA      | $131696.72    | 0.01%             | 2027-05-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-B B1             | CUSIP: 674135CE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1677 | PA      | $1628.69      | 0.00%             | 2027-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-C B1             | CUSIP: 674135CP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415069 | PA      | $416642.99    | 0.03%             | 2027-11-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1997-D B1             | CUSIP: 674135CW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561520 | PA      | $566005.00    | 0.04%             | 2028-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC                                                           | OAK 1998-B M2             | CUSIP: 674135DQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631052 | PA      | $646740.67    | 0.05%             | 2028-05-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 1998-D M1             | CUSIP: 674135EB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444807 | PA      | $447962.00    | 0.03%             | 2029-01-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                                                       | OAK 2001-E A4             | CUSIP: 68213KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660007 | PA      | $664667.06    | 0.05%             | 2031-12-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp                                                          | OPMAC 2005-1 M9           | CUSIP: 68383NAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785841 | PA      | $941414.49    | 0.07%             | 2035-02-25      | Floating      | 6.62%                 | 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      | $152264.33    | 0.01%             | 2034-01-25      | Floating      | 6.32%                 | 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      | $137188.02    | 0.01%             | 2034-05-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| OPTION ONE WOODBRIDGE LOAN TRU                                                           | OOWLT 2004-1 M            | CUSIP: 68401NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    588930 | PA      | $584940.67    | 0.05%             | 2034-02-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                           | OOMLT 2007-FXD1 1A1       | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    799277 | PA      | $690070.81    | 0.05%             | 2037-01-25      | Floating      | 5.87%                 | 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      | $307997.83    | 0.02%             | 2037-03-25      | Floating      | 6.10%                 | 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        |    151288 | PA      | $132755.66    | 0.01%             | 2037-03-25      | Floating      | 5.68%                 | 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        |   2197867 | PA      | $1975110.80   | 0.15%             | 2037-10-15      | Floating      | 4.83%                 | 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        |    384622 | PA      | $357360.75    | 0.03%             | 2037-04-15      | Floating      | 5.97%                 | 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        |   4630476 | PA      | $4240867.83   | 0.33%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Phhmc Ser 2006 4T                                                                        | PHHMC 2006-4 B1           | CUSIP: 69335YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190382 | PA      | $191012.79    | 0.01%             | 2036-12-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| PHH Mortgage Capital Llc Series 2005 3                                                   | PHHMC 2005-4 A8           | CUSIP: 69336RBN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243017 | PA      | $239200.59    | 0.02%             | 2035-07-18      | Floating      | 5.84%                 | 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        |   1982034 | PA      | $1962843.55   | 0.15%             | 2026-03-01      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Park Place Securities Inc.                                                               | PPSI 2005-WHQ1 M5         | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2105699 | PA      | $2085408.71   | 0.16%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc.                                                               | PPSI 2005-WCW3 M2         | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913246 | PA      | $920353.38    | 0.07%             | 2035-08-25      | Floating      | 4.58%                 | 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        |   1398565 | PA      | $1299981.53   | 0.10%             | 2035-05-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust 2003 1                                                              | PRIME 2006-DR1 2A2        | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361637 | PA      | $309081.68    | 0.02%             | 2035-05-25      | Fixed         | 6.00%                 | 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        |     58530 | PA      | $58086.34     | 0.00%             | 2034-08-25      | Fixed         | 5.25%                 | 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        |    424171 | PA      | $413089.54    | 0.03%             | 2030-01-25      | Fixed         | 6.69%                 | 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        |    329000 | PA      | $315021.71    | 0.02%             | 2030-01-25      | Floating      | 7.35%                 | 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        |    167188 | PA      | $150126.75    | 0.01%             | 2031-01-25      | Floating      | 4.27%                 | 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        |    992535 | PA      | $933553.86    | 0.07%             | 2031-01-25      | Floating      | 4.24%                 | 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        |    306291 | PA      | $293767.02    | 0.02%             | 2031-08-25      | Floating      | 4.39%                 | No            |                  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      | $4033717.60   | 0.31%             | 2046-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| RAAC Series 2006 SP4 Trust                                                               | RAAC 2006-SP4 M3          | CUSIP: 74919VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25868 | PA      | $25853.41     | 0.00%             | 2036-11-25      | Floating      | 5.35%                 | No            |                  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      | $1873424.34   | 0.15%             | 2036-11-25      | Floating      | 6.25%                 | 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        |    249654 | PA      | $198669.84    | 0.02%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rali Ser 07-Q04 Tr                                                                       | RALI 2007-QO4 A1A         | CUSIP: 74923LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3564641 | PA      | $3346516.57   | 0.26%             | 2047-05-25      | Floating      | 4.23%                 | 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      | $430317.94    | 0.03%             | 2047-08-25      | Floating      | 0.73%                 | 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        |   2019784 | PA      | $1775173.23   | 0.14%             | 2035-04-25      | Fixed         | 6.00%                 | 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        |    428430 | PA      | $378699.07    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   1271844 | PA      | $353154.11    | 0.03%             | 2035-08-26      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                             | RBSSP 2010-1 3A2          | CUSIP: 74928YAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359761 | PA      | $358651.84    | 0.03%             | 2035-08-26      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Rfmsi Series 2006-SA3 Trust                                                              | RFMSI 2006-SA3 3A1        | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61507 | PA      | $53336.27     | 0.00%             | 2036-09-25      | Floating      | 5.57%                 | 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        |    984636 | PA      | $447575.75    | 0.03%             | 2037-10-25      | Fixed         | 2.27%                 | 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        |   7150696 | PA      | $2388569.73   | 0.19%             | 2036-08-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| RALI Series 2007 QO1 Trust                                                               | RALI 2007-QO1 A1          | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335122 | PA      | $2168022.70   | 0.17%             | 2047-02-25      | Floating      | 4.15%                 | 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        |    157090 | PA      | $129971.87    | 0.01%             | 2036-11-25      | Floating      | 4.39%                 | 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      | $47134.57     | 0.00%             | 2033-03-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                       | RAMC 2004-3 AF6           | CUSIP: 759950DN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58214 | PA      | $55503.38     | 0.00%             | 2034-11-25      | Floating      | 5.32%                 | 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        |     19038 | PA      | $18891.35     | 0.00%             | 2036-02-25      | Fixed         | 5.83%                 | 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        |   1636696 | PA      | $1462859.65   | 0.11%             | 2034-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2003-RS10 MII2       | CUSIP: 760985D81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357703 | PA      | $354408.00    | 0.03%             | 2033-11-25      | Floating      | 4.78%                 | No            |                  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      | $178817.27    | 0.01%             | 2031-04-25      | Fixed         | 8.00%                 | 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        |    274193 | PA      | $270294.45    | 0.02%             | 2033-03-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RFSC 2002-RP2 A1          | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845924 | PA      | $826149.12    | 0.06%             | 2032-10-25      | Floating      | 5.35%                 | 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        |    220555 | PA      | $194677.33    | 0.02%             | 2031-11-25      | Fixed         | 6.50%                 | 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      | $633128.08    | 0.05%             | 2033-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA3 NB1         | CUSIP: 76110H2H1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55663 | PA      | $30782.90     | 0.00%             | 2035-03-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA3 NB4         | CUSIP: 76110H2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161546 | PA      | $23511.13     | 0.00%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA6 NB23        | CUSIP: 76110H6P9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    669796 | PA      | $310533.88    | 0.02%             | 2035-05-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA6 NB2         | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313891 | PA      | $298229.37    | 0.02%             | 2034-12-26      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA6 NB4         | CUSIP: 76110HH85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822505 | PA      | $730655.26    | 0.06%             | 2034-12-26      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 A1I         | CUSIP: 76110HS34<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1758281 | PA      | $564050.80    | 0.04%             | 2035-02-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 A1II        | CUSIP: 76110HS42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1492934 | PA      | $816015.62    | 0.06%             | 2035-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161847 | PA      | $143005.03    | 0.01%             | 2035-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA4 NB1         | CUSIP: 76110HZF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299078 | PA      | $267078.17    | 0.02%             | 2034-09-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2004-QA4 NB21        | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186509 | PA      | $180346.73    | 0.01%             | 2034-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                                                       | RASC 2004-KS11 M2         | CUSIP: 76110WJ49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2564574 | PA      | $2774715.98   | 0.22%             | 2034-12-25      | 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        |     16406 | PA      | $15419.55     | 0.00%             | 2035-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA9 NB21        | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2606524 | PA      | $891070.51    | 0.07%             | 2035-08-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA9 CB3         | CUSIP: 761118FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1019026 | PA      | $924233.59    | 0.07%             | 2035-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA11 3A1        | CUSIP: 761118LL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4962804 | PA      | $1661486.62   | 0.13%             | 2035-10-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA12 NB2        | CUSIP: 761118MZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117362 | PA      | $114384.01    | 0.01%             | 2035-12-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2005-QA12 CB3        | CUSIP: 761118NA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975165 | PA      | $896418.33    | 0.07%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                           | RALI 2006-QA2 3A1         | CUSIP: 761118TU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94618 | PA      | $79772.20     | 0.01%             | 2036-02-25      | Floating      | 6.29%                 | 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        |     98543 | PA      | $90820.85     | 0.01%             | 2036-02-25      | Floating      | 5.94%                 | 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        |    502898 | PA      | $460350.57    | 0.04%             | 2035-03-25      | Floating      | 4.32%                 | No            |                  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        |    157085 | PA      | $136903.76    | 0.01%             | 2035-08-25      | Floating      | 5.56%                 | 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        |    563278 | PA      | $501313.35    | 0.04%             | 2035-11-25      | Floating      | 5.11%                 | 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        |   3511969 | PA      | $3510997.04   | 0.27%             | 2045-10-25      | Floating      | 5.70%                 | Yes           |                  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      | $2814529.80   | 0.22%             | 2045-10-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAAC 2006-SP1 M2          | CUSIP: 76112B3G3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1759721 | PA      | $1362997.04   | 0.11%             | 2045-09-25      | Floating      | 4.67%                 | 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        |    326844 | PA      | $146139.60    | 0.01%             | 2031-12-25      | Fixed         | 3.84%                 | 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        |    230052 | PA      | $62527.47     | 0.00%             | 2032-07-25      | Fixed         | 1.87%                 | 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        |    361299 | PA      | $47196.78     | 0.00%             | 2032-05-25      | Fixed         | 0.92%                 | 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        |    564540 | PA      | $360946.95    | 0.03%             | 2032-05-25      | Fixed         | 8.00%                 | 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        |   7225535 | PA      | $6024554.74   | 0.47%             | 2035-12-25      | Fixed         | 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        |   1574548 | PA      | $1353950.02   | 0.11%             | 2035-07-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                                | RAMP 2005-SL2 A5          | CUSIP: 76112BUZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366461 | PA      | $136677.28    | 0.01%             | 2031-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saco I Trust 2005-5                                                                      | SACO 2005-WM2 M1          | CUSIP: 785778JY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33567 | PA      | $38840.08     | 0.00%             | 2035-07-25      | Floating      | 4.67%                 | 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        |     15374 | PA      | $15657.64     | 0.00%             | 2037-02-25      | Floating      | 4.17%                 | 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        |    518567 | PA      | $447748.25    | 0.03%             | 2033-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                                            | SASCO 2003-5              | CUSIP: 80382QAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2257392 | PA      | $2255185.79   | 0.18%             | 2033-06-27      | Fixed         | 6.00%                 | Yes           |                  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        |    790457 | PA      | $803708.42    | 0.06%             | 2033-02-27      | Floating      | 6.84%                 | Yes           |                  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      | $1860387.49   | 0.14%             | 2033-07-27      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sasco Mortgage Loan Trust 2004 Gel3                                                      | SASC 2004-GEL3 M2         | CUSIP: 80382UAT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180319 | PA      | $181898.23    | 0.01%             | 2034-08-25      | Floating      | 4.52%                 | 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        |    801083 | PA      | $765754.00    | 0.06%             | 2028-08-25      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust 2006-Fr1                                  | SABR 2004-DO1 M2          | CUSIP: 81375WAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281808 | PA      | $345219.08    | 0.03%             | 2034-07-25      | Floating      | 5.80%                 | 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      | $277168.27    | 0.02%             | 2034-08-25      | Floating      | 4.55%                 | 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      | $17228.83     | 0.00%             | 2033-07-20      | Floating      | 0.00%                 | No            |                  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      | $26415.16     | 0.00%             | 2033-07-20      | Floating      | 0.00%                 | 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        |      9690 | PA      | $5620.48      | 0.00%             | 2033-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Tr 6                                                                         | SEMT 6 B2                 | CUSIP: 81743XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6644 | PA      | $6144.63      | 0.00%             | 2027-04-19      | Floating      | 0.00%                 | 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        |     88245 | PA      | $72043.66     | 0.01%             | 2034-02-20      | Floating      | 4.67%                 | 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      | $22500.16     | 0.00%             | 2034-07-25      | Floating      | 4.87%                 | 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      | $123240.77    | 0.01%             | 2034-07-25      | Floating      | 6.77%                 | 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      | $769173.70    | 0.06%             | 2034-07-25      | Floating      | 8.72%                 | 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        |  26874047 | PA      | $653430.79    | 0.05%             | 2037-09-25      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 1998-6 B2            | CUSIP: 863572UE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451554 | PA      | $381917.81    | 0.03%             | 2028-07-25      | Fixed         | 0.00%                 | 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        |   1245115 | PA      | $723750.54    | 0.06%             | 2035-07-25      | Floating      | 4.16%                 | 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      | $268399.19    | 0.02%             | 2033-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-Bnc3                                         | SAIL 2003-BC12 2A         | CUSIP: 86358EFK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3614591 | PA      | $3609562.39   | 0.28%             | 2033-11-25      | Floating      | 4.57%                 | 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        |    216781 | PA      | $207377.06    | 0.02%             | 2034-09-25      | Floating      | 4.40%                 | 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        |    750631 | PA      | $735036.82    | 0.06%             | 2034-09-25      | Floating      | 3.68%                 | 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        |    343730 | PA      | $354098.56    | 0.03%             | 2034-09-25      | Floating      | 4.85%                 | 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        |    189528 | PA      | $176408.53    | 0.01%             | 2033-05-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2001-SB1 A2          | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14022 | PA      | $13975.07     | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | ARC 2002-BC5 M2           | CUSIP: 86358RZ75<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139012 | PA      | $164233.54    | 0.01%             | 2032-07-25      | Floating      | 5.65%                 | 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        |    124475 | PA      | $118112.19    | 0.01%             | 2036-10-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SAIL 2003-BC10 M2         | CUSIP: 86359A2J1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264045 | PA      | $312859.59    | 0.02%             | 2033-10-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SAIL 2003-BC10 M3         | CUSIP: 86359A2K8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2398064 | PA      | $2674094.28   | 0.21%             | 2033-10-25      | Floating      | 7.15%                 | No            |                  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      | $583361.21    | 0.05%             | 2033-10-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-31A B1          | CUSIP: 86359A3K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    828165 | PA      | $757432.51    | 0.06%             | 2033-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-AL2 B1          | CUSIP: 86359AWU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56345 | PA      | $48907.21     | 0.00%             | 2031-01-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-39EX M3         | CUSIP: 86359BEA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109425 | PA      | $130679.99    | 0.01%             | 2033-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2003-40A B1          | CUSIP: 86359BER8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043093 | PA      | $823450.63    | 0.06%             | 2034-01-25      | Floating      | 5.05%                 | No            |                  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      | $989932.02    | 0.08%             | 2034-05-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2004-11XS 1A5A       | CUSIP: 86359BUE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315903 | PA      | $313632.92    | 0.02%             | 2034-06-25      | Floating      | 4.76%                 | 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      | $163497.74    | 0.01%             | 2035-05-25      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                                       | LXS 2005-5N 1A2           | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537837 | PA      | $537729.12    | 0.04%             | 2035-11-25      | Floating      | 4.21%                 | No            |                  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        |    144758 | PA      | $135281.94    | 0.01%             | 2034-10-19      | Floating      | 4.90%                 | 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        |    148482 | PA      | $151212.85    | 0.01%             | 2035-02-19      | Floating      | 4.25%                 | No            |                  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        |    408454 | PA      | $374501.01    | 0.03%             | 2045-09-25      | Floating      | 4.57%                 | 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        |   1182848 | PA      | $1194624.68   | 0.09%             | 2036-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mtg                                                                         | SAMI 2006-AR5 2A1         | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961973 | PA      | $687431.65    | 0.05%             | 2046-05-25      | Floating      | 4.27%                 | 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      | $567609.64    | 0.04%             | 2046-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2006-AR3 21A1        | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1074807 | PA      | $891457.58    | 0.07%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2006-AR3 22A1        | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103393 | PA      | $42960.02     | 0.00%             | 2036-05-25      | Floating      | 2.57%                 | 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      | $762340.79    | 0.06%             | 2036-05-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2007-AR2 1A1         | CUSIP: 86363DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47055 | PA      | $45833.68     | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                                                       | SAMI 2007-AR2 2A1         | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580542 | PA      | $221685.48    | 0.02%             | 2037-03-25      | Floating      | 1.68%                 | 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        |    125166 | PA      | $116254.12    | 0.01%             | 2047-04-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Tmsq 2014                                                                                | TMSQ 2014-1500 XA         | CUSIP: 87264JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38500000 | PA      | $145761.00    | 0.01%             | 2036-10-10      | Floating      | 0.15%                 | Yes           |                  2 | On Loan: No      |
| Taberna Preferred Funding I Ltd.                                                         | TBRNA 2005-1A A2          | CUSIP: 87330PAC6<br>LEI: 549300UVUFF52P87TF20 | Long             | ABS-CBDO         | CORP              | KY        |   7898391 | PA      | $5899482.21   | 0.46%             | 2035-07-05      | Floating      | 4.90%                 | Yes           |                  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      | $2117728.00   | 0.16%             | 2035-07-05      | Floating      | 5.30%                 | Yes           |                  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        |   7250000 | PA      | $5273816.75   | 0.41%             | 2035-11-05      | Floating      | 4.81%                 | Yes           |                  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      | $2599109.83   | 0.20%             | 2036-08-05      | Floating      | 0.00%                 | Yes           |                  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      | $143801.89    | 0.01%             | 2036-07-25      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2003-2HE A           | CUSIP: 881561AR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    383054 | PA      | $432647.00    | 0.03%             | 2034-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-1HE M1          | CUSIP: 881561DK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240679 | PA      | $228139.86    | 0.02%             | 2034-02-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-1HE M2          | CUSIP: 881561DL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283584 | PA      | $221173.07    | 0.02%             | 2034-02-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-3HE B2          | CUSIP: 881561FJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372885 | PA      | $437480.56    | 0.03%             | 2035-03-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2004-21HE 2M3        | CUSIP: 881561PC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2346558 | PA      | $2338816.43   | 0.18%             | 2034-12-25      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2006-17HE A2B1       | CUSIP: 88156EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128672 | PA      | $181860.85    | 0.01%             | 2038-01-25      | Floating      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                                    | TMTS 2006-8 1A2           | CUSIP: 88156UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $1406580.40   | 0.11%             | 2037-08-25      | Floating      | 0.05%                 | Yes           |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2002-2 M2           | CUSIP: 897896AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2967136 | PA      | $2606606.02   | 0.20%             | 2032-11-25      | Floating      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2005-1 M1           | CUSIP: 897896BE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185735 | PA      | $215561.61    | 0.02%             | 2037-03-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Truman Capital Securitization Llc                                                        | TRUMN 2006-1 M1           | CUSIP: 89789KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373359 | PA      | $351153.95    | 0.03%             | 2036-03-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| UCFC Funding Corp 1998-3                                                                 | UCFCM 1997-3 M            | CUSIP: 90263ABB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59196 | PA      | $58942.29     | 0.00%             | 2029-01-15      | Fixed         | 7.12%                 | 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        |    644149 | PA      | $642910.46    | 0.05%             | 2030-01-15      | Fixed         | 6.51%                 | 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        |    575750 | PA      | $726507.34    | 0.06%             | 2028-12-15      | Floating      | 7.11%                 | 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      | $4007450.18   | 0.31%             | 2045-01-10      | Floating      | 6.00%                 | Yes           |                  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      | $485353.32    | 0.04%             | 2046-03-10      | Floating      | 3.65%                 | Yes           |                  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        |   3771068 | PA      | $3524719.59   | 0.27%             | 2046-03-10      | Floating      | 3.72%                 | Yes           |                  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      | $1995160.30   | 0.15%             | 2046-03-10      | Floating      | 3.72%                 | Yes           |                  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        |    784539 | PA      | $713440.16    | 0.06%             | 2034-08-01      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                                      | VAGILB 12.9967 03/15/34   | CUSIP: 918470AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1046110 | PA      | $1247232.59   | 0.10%             | 2034-03-15      | Fixed         | 13.00%                | 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        |  10667262 | PA      | $10107100.60  | 0.78%             | 2046-06-15      | Floating      | 3.84%                 | 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      | $12833446.56  | 1.00%             | 2046-06-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                                                 | WFRBS 2013-C14 D          | CUSIP: 92890PBG8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-O            | CORP              | US        |   6956000 | PA      | $4396019.00   | 0.34%             | 2046-06-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VINAB 2009-1 UAA3         | CUSIP: 92906CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902750 | PA      | $870348.02    | 0.07%             | 2036-09-26      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AU0         | CUSIP: 92909FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692369 | PA      | $649976.35    | 0.05%             | 2036-02-16      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5DS2         | CUSIP: 92910AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4294638 | PA      | $4140586.84   | 0.32%             | 2036-05-16      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AX4         | CUSIP: 92910EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512544 | PA      | $481211.00    | 0.04%             | 2036-02-16      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VCWHE 2009-1 5AT3         | CUSIP: 92910JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619746 | PA      | $1549698.67   | 0.12%             | 2036-02-16      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                            | VOOML 2009-1 SAA7         | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2291306 | PA      | $497269.05    | 0.04%             | 2038-02-25      | Floating      | 1.00%                 | Yes           |                  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        |   1028439 | PA      | $457911.99    | 0.04%             | 2033-06-25      | Floating      | 2.98%                 | 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        |    162092 | PA      | $146003.80    | 0.01%             | 2041-11-25      | Floating      | 3.45%                 | 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        |    117093 | PA      | $107973.26    | 0.01%             | 2042-06-25      | Floating      | 5.43%                 | 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        |     58678 | PA      | $53675.72     | 0.00%             | 2042-06-25      | Floating      | 5.43%                 | 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        |     60525 | PA      | $54480.47     | 0.00%             | 2042-06-25      | Floating      | 5.43%                 | No            |                  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        |     47682 | PA      | $40111.14     | 0.00%             | 2042-06-25      | Floating      | 5.43%                 | 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        |     78375 | PA      | $75495.58     | 0.01%             | 2032-10-25      | Floating      | 6.50%                 | 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        |    321199 | PA      | $305009.73    | 0.02%             | 2033-02-25      | Floating      | 5.63%                 | 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        |     32365 | PA      | $29600.03     | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | 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        |    144328 | PA      | $132460.03    | 0.01%             | 2033-09-25      | Floating      | 5.67%                 | 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        |    137480 | PA      | $107881.75    | 0.01%             | 2033-09-25      | Floating      | 5.67%                 | 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        |    508426 | PA      | $492350.77    | 0.04%             | 2034-01-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                     | WAMU 2005-AR9 A1A         | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    993315 | PA      | $973824.29    | 0.08%             | 2045-07-25      | Floating      | 4.49%                 | 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        |   3342922 | PA      | $3321801.43   | 0.26%             | 2045-11-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                                                  | WFRBS 2012-C9 F           | CUSIP: 92930RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8901600 | PA      | $8766246.72   | 0.68%             | 2045-11-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                                                  | WFRBS 2012-C9 G           | CUSIP: 92930RAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9547065 | PA      | $9357022.53   | 0.73%             | 2045-11-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2013-C11 B          | CUSIP: 92937EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    669351 | PA      | $667503.99    | 0.05%             | 2045-03-15      | Floating      | 3.71%                 | 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        |   4444637 | PA      | $4363265.95   | 0.34%             | 2046-08-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2014-C21 B          | CUSIP: 92939FAX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3016064 | PA      | $2943376.78   | 0.23%             | 2047-08-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Wfld Mtg Tr 2014-Mont                                                                    | WFLD 2014-MONT A          | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12052740 | PA      | $11650548.46  | 0.90%             | 2031-08-10      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Wfld Mtg Tr 2014-Mont                                                                    | WFLD 2014-MONT B          | CUSIP: 92939GAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $801049.79    | 0.06%             | 2031-08-10      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2011-C2                                                  | WFRBS 2014-C23 AS         | CUSIP: 92939HBA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547388 | PA      | $532081.66    | 0.04%             | 2057-10-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2014-C25 D          | CUSIP: 92939LAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4927410 | PA      | $4774024.95   | 0.37%             | 2047-11-15      | Floating      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2014-C25 E          | CUSIP: 92939LAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6647000 | PA      | $6355441.97   | 0.49%             | 2047-11-15      | Fixed         | 3.32%                 | 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        |   1436119 | PA      | $1456908.19   | 0.11%             | 2044-10-15      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Tust LLC                                                          | WMLT 2006-A 1A1           | CUSIP: 92977TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30435 | PA      | $28677.00     | 0.00%             | 2036-05-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Tust LLC                                                          | WMLT 2005-A 2A1           | CUSIP: 92977YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    674548 | PA      | $624783.69    | 0.05%             | 2035-08-20      | Floating      | 3.92%                 | 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        |     34623 | PA      | $30640.90     | 0.00%             | 2036-10-25      | Floating      | 3.87%                 | 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        |     32192 | PA      | $31184.62     | 0.00%             | 2042-08-25      | Floating      | 5.43%                 | 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        |      5935 | PA      | $3657.08      | 0.00%             | 2042-08-25      | Floating      | 5.43%                 | 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        |   1172365 | PA      | $1023318.22   | 0.08%             | 2035-03-25      | Fixed         | 5.50%                 | 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        |    506868 | PA      | $497871.44    | 0.04%             | 2033-05-25      | Floating      | 4.95%                 | 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        |     19968 | PA      | $19499.67     | 0.00%             | 2033-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2003-AR1 B2         | CUSIP: 939336PT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368103 | PA      | $321367.87    | 0.02%             | 2033-02-25      | Floating      | 5.25%                 | 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        |    265376 | PA      | $894.77       | 0.00%             | 2033-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WAMMS 2004-RA2 CB1        | CUSIP: 939336S20<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439107 | PA      | $369267.72    | 0.03%             | 2033-07-25      | Floating      | 7.00%                 | 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        |     38702 | PA      | $36062.59     | 0.00%             | 2033-03-25      | Floating      | 5.75%                 | 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        |     30632 | PA      | $30535.76     | 0.00%             | 2033-03-25      | Fixed         | 5.75%                 | 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        |    399722 | PA      | $327657.80    | 0.03%             | 2035-09-25      | Floating      | 4.30%                 | 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        |    311221 | PA      | $306848.29    | 0.02%             | 2035-11-25      | Floating      | 7.73%                 | 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        |   1595496 | PA      | $1362094.25   | 0.11%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                              | WMALT 2006-2 1A1          | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554957 | PA      | $551365.01    | 0.04%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |    418058 | PA      | $385734.44    | 0.03%             | 2036-03-25      | Floating      | 4.55%                 | 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        |   2247490 | PA      | $1773595.16   | 0.14%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |   3543693 | PA      | $2732506.91   | 0.21%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  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        |    390902 | PA      | $242930.74    | 0.02%             | 2046-07-25      | Floating      | 4.97%                 | No            |                  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        |    771158 | PA      | $448392.92    | 0.03%             | 2046-08-25      | Floating      | 4.99%                 | 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      | $710979.05    | 0.06%             | 2035-04-25      | Floating      | 6.40%                 | 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      | $118305.35    | 0.01%             | 2035-04-25      | Floating      | 7.60%                 | 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        |     20730 | PA      | $19802.69     | 0.00%             | 2033-09-25      | Floating      | 6.39%                 | 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        |      6837 | PA      | $7014.42      | 0.00%             | 2034-04-25      | Floating      | 4.98%                 | 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        |    469665 | PA      | $493787.68    | 0.04%             | 2034-10-25      | Floating      | 8.35%                 | No            |                  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        |   1184815 | PA      | $1184265.24   | 0.09%             | 2034-09-25      | Fixed         | 4.90%                 | 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        |     20182 | PA      | $20562.74     | 0.00%             | 2034-07-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                         | WFRBS 2014-LC14 D         | CUSIP: 96221TAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1255026 | PA      | $1216930.69   | 0.09%             | 2047-03-15      | Floating      | 0.00%                 | Yes           |                  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      | $2991207.00   | 0.23%             | 2026-01-06      | Floating      | 6.99%                 | Yes           |                  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      | $3807661.20   | 0.30%             | 2026-10-15      | Fixed         | 0.00%                 | Yes           |                  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      | $1188192.01   | 0.09%             | 2026-10-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ACE SECURITIES CORP.                                                                     | ACE 2001-HE1 CE           | CUSIP: BCC05TGX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2304331 | PA      | $2096000.05   | 0.16%             | 2031-11-20      | Fixed         | 0.00%                 | 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      | $1124850.80   | 0.09%             | 2029-11-25      | Fixed         | 0.00%                 | 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        |      8586 | PA      | $0.00         | 0.00%             | 2033-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP.                                                                     | ACE 2003-MH1 B2           | CUSIP: BCC0BBNZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40822 | PA      | $40305.43     | 0.00%             | 2030-08-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BOND SECURITIZATION ASSET-BACK                                                           | BHLT 2003-1 X             | CUSIP: BCC0DFF06<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217153 | PA      | $199781.10    | 0.02%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity                                                                       | CXHE 2004-A XIO           | CUSIP: BCC0DS475<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14326524 | PA      | $2527327.85   | 0.20%             | 2034-01-25      | Fixed         | 0.00%                 | 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        |     26947 | PA      | $26500.00     | 0.00%             | 2038-04-25      | Fixed         | 0.00%                 | 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      | $2510000.00   | 0.19%             | 2030-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Farrel & Fuller Delay TL                                                                 | FARREL & FULLER DELAY TL  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1847522 | PA      | $1861378.49   | 0.14%             | 2029-03-13      | Fixed         | 18.00%                | No            |                  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      | $3424266.41   | 0.27%             | 2026-04-09      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Argos Private Investments, LLC                                                           | JURISCGCPC 8% 12/31/2027  | CUSIP: RFXDCSP01<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10000000.00  | 0.78%             | 2027-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                                              | ABK 5.1 PERP              | CUSIP: U02373AA3<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |   8499684 | PA      | $11101635.11  | 0.86%             | 2160-06-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                                                 | MBI 0 12/15/33            | CUSIP: U5777LAB6<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  62490325 | PA      | $23121420.25  | 1.80%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-28

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

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Treasurer