# EDGAR Filing Document

**Accession Number:** 0001970751
**File Stem:** 0001193125-26-251205
**Filing Date:** 2026-6
**Character Count:** 864596
**Document Hash:** e7c5855a7736a4748722745ea568a0ef
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-251205.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0001193125-26-251205

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23859
- **FILM NUMBER:** 261050110

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

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

  - **Telephone number:** 4142873700

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $2644283384.89

**Total Liabilities:** $350956334.51

**Net Assets:** $2293327050.38

**Delayed Delivery Securities:** $335899489.59

**Cash Not Reported:** $4256745.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 30432.111901000000 | **1-Year:** 56388.227871000000 | **5-Year:** 40280.839575000000 | **10-Year:** 179790.700476000000 | **30-Year:** 218364.356004000000

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

- **3-Month:** 333609.451027000000 | **1-Year:** 13296.369836000000 | **5-Year:** 17318.268138000000 | **10-Year:** 41440.070405000000 | **30-Year:** 31726.276123000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246397 | 0.37%                | 1.06%                | -0.77%               |
| Class ID C000246398 | 0.40%                | 1.08%                | -0.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $945112.94               | $-9269449.24                               |
| Month 2  | $111221.30               | $6459288.44                                |
| Month 3  | $-2901212.03             | $-33028761.23                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-RAMP1                  | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1545275 | PA      | $1440125.43   | 0.06%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-4                  | CUSIP: 251510FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56384 | PA      | $51116.97     | 0.00%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717272 | PA      | $536852.37    | 0.02%             | 2041-01-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137APJ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178372 | PA      | $141359.16    | 0.01%             | 2039-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASUW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258347 | PA      | $255313.02    | 0.01%             | 2042-08-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AV2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1095914 | PA      | $694104.35    | 0.03%             | 2042-10-15      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B93Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886477 | PA      | $876996.80    | 0.04%             | 2044-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJTM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2617784 | PA      | $2561424.44   | 0.11%             | 2045-06-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL2A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715479 | PA      | $697696.51    | 0.03%             | 2042-02-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2001-T9                                                 | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    320912 | PA      | $305995.45    | 0.01%             | 2031-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2002-W8                                                         | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105613 | PA      | $109879.13    | 0.00%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62939 | PA      | $63930.63     | 0.00%             | 2042-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396L4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173441 | PA      | $171477.94    | 0.01%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LD31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252034 | PA      | $249673.02    | 0.01%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527924 | PA      | $525950.95    | 0.02%             | 2037-09-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397QBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269710 | PA      | $268707.00    | 0.01%             | 2040-11-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509562 | PA      | $506670.84    | 0.02%             | 2041-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA11                    | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372701 | PA      | $176720.60    | 0.01%             | 2036-01-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA8                     | CUSIP: 32052AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219428 | PA      | $148430.05    | 0.01%             | 2037-02-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-4                                 | CUSIP: 32056CAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3176538 | PA      | $738330.41    | 0.03%             | 2037-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBN6<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |     20378 | PA      | $19623.73     | 0.00%             | 2048-10-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381102 | PA      | $1188148.02   | 0.05%             | 2037-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66177 | PA      | $43546.48     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212666 | PA      | $102766.79    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326150 | PA      | $294061.44    | 0.01%             | 2046-12-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR1                                           | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360594 | PA      | $350653.14    | 0.02%             | 2035-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GJX7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     73942 | PA      | $67179.05     | 0.00%             | 2034-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-4                                 | CUSIP: 17310DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900235 | PA      | $825723.51    | 0.04%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFZ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196980 | PA      | $146206.74    | 0.01%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193261 | PA      | $188367.45    | 0.01%             | 2048-08-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1043682 | PA      | $1026741.42   | 0.04%             | 2049-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208759 | PA      | $174706.78    | 0.01%             | 2049-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1686426 | PA      | $1416064.84   | 0.06%             | 2053-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FRHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184009 | PA      | $156189.27    | 0.01%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FUA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89568 | PA      | $51221.04     | 0.00%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1468153 | PA      | $1159874.56   | 0.05%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYL53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393744 | PA      | $320573.48    | 0.01%             | 2050-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8SJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29965932 | PA      | $29615594.24  | 1.29%             | 2052-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676402 | PA      | $483820.80    | 0.02%             | 2050-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434475 | PA      | $435803.06    | 0.02%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348494 | PA      | $349512.55    | 0.02%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BDF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379996 | PA      | $377050.83    | 0.02%             | 2036-09-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BP39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84335 | PA      | $83785.02     | 0.00%             | 2036-10-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122876 | PA      | $121503.98    | 0.01%             | 2036-11-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640201 | PA      | $569767.00    | 0.02%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2353105 | PA      | $731596.22    | 0.03%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212229 | PA      | $19794.92     | 0.00%             | 2037-10-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-17CB                                                 | CUSIP: 02151HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681557 | PA      | $571921.67    | 0.02%             | 2037-08-25      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS 2007-CB5 Trust                                                            | CUSIP: 12464YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108828 | PA      | $64757.72     | 0.00%             | 2037-04-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954845 | PA      | $402360.38    | 0.02%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3909803 | PA      | $921161.20    | 0.04%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844656 | PA      | $669152.19    | 0.03%             | 2036-08-27      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1445 | PA      | $1439.48      | 0.00%             | 2035-12-27      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS Mortgage Loan Trust 2007-CB3                                              | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326564 | PA      | $116946.62    | 0.01%             | 2037-03-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3173283 | PA      | $832883.92    | 0.04%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216421 | PA      | $74158.08     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470M75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537309 | PA      | $112829.07    | 0.00%             | 2036-04-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1785109 | PA      | $758885.69    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-8                                                | CUSIP: 22942MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179955 | PA      | $32296.16     | 0.00%             | 2021-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA22                                                 | CUSIP: 23245PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291916 | PA      | $256886.29    | 0.01%             | 2047-02-25      | Floating      | 4.21%                 | No            |                  3 | On Loan: No      |
| FEDERAL FARM CREDIT BANK       | Federal Farm Credit Banks Funding Corp                                           | CUSIP: 3133EWGN4<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  19523000 | PA      | $19291345.35  | 0.84%             | 2039-03-10      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725831 | PA      | $717919.59    | 0.03%             | 2055-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1BM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293834 | PA      | $285072.42    | 0.01%             | 2048-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4DB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5024614 | PA      | $4945467.91   | 0.22%             | 2049-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3272405 | PA      | $2671825.13   | 0.12%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDQS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013003 | PA      | $735537.24    | 0.03%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BMPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69000 | PA      | $62260.61     | 0.00%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BN6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16970 | PA      | $16255.14     | 0.00%             | 2052-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25270 | PA      | $25385.40     | 0.00%             | 2032-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393Y3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231465 | PA      | $205271.05    | 0.01%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394E7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205156 | PA      | $203665.33    | 0.01%             | 2035-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165804 | PA      | $164556.26    | 0.01%             | 2035-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395B4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297979 | PA      | $262101.31    | 0.01%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301118 | PA      | $275131.18    | 0.01%             | 2037-10-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-8 Trust                                             | CUSIP: 05946XX57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191724 | PA      | $157183.05    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-I Trust                                            | CUSIP: 05949CHV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461233 | PA      | $374915.90    | 0.02%             | 2035-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-4 Trust                                             | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154264 | PA      | $122744.99    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan  | Finance America Mortgage Loan Trust 2004-2                                       | CUSIP: 317350BK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545523 | PA      | $486268.08    | 0.02%             | 2034-08-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 79549ARX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83096 | PA      | $82861.27     | 0.00%             | 2033-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2011-1                                                | CUSIP: 00190VDR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3222000 | PA      | $1006875.00   | 0.04%             | 2036-09-28      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |   1941473 | PA      | $1950700.64   | 0.09%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-1                                                  | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |    568314 | PA      | $571382.37    | 0.02%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2              | CUSIP: 04541GQE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199370 | PA      | $197281.89    | 0.01%             | 2035-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2005-AQ1 Trust                                                              | CUSIP: 04542BNC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14522169 | PA      | $14013893.49  | 0.61%             | 2035-06-25      | Variable      | 4.81%                 | No            |                  3 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-A Trust                                            | CUSIP: 05949AH52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102811 | PA      | $89317.27     | 0.00%             | 2035-02-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202857 | PA      | $190878.91    | 0.01%             | 2047-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646212 | PA      | $1082779.35   | 0.05%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM2                                        | CUSIP: 10569KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208509 | PA      | $210302.05    | 0.01%             | 2064-02-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1020 | PA      | $1023.81      | 0.00%             | 2037-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4               | CUSIP: 16678RAL1<br>LEI: 549300YJP2VT3ZPGT715 | Long             | ABS-MBS          | CORP              | US        |    212591 | PA      | $203967.02    | 0.01%             | 2034-10-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3               | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |     36679 | PA      | $36122.67     | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-2               | CUSIP: 16678RDL8<br>LEI: 549300QD5ZVFK417DY24 | Long             | ABS-MBS          | CORP              | US        |    215419 | PA      | $209181.61    | 0.01%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJKN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1293600 | PA      | $1265687.97   | 0.06%             | 2048-11-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510133 | PA      | $513300.85    | 0.02%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384BPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103184 | PA      | $103340.23    | 0.00%             | 2053-06-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-21                                          | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172139 | PA      | $89186.83     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4S7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431596 | PA      | $364119.41    | 0.02%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595754 | PA      | $591019.68    | 0.03%             | 2042-02-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99751 | PA      | $99075.66     | 0.00%             | 2042-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7LX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69673 | PA      | $68924.18     | 0.00%             | 2042-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9CU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520000 | PA      | $411869.80    | 0.02%             | 2042-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165006 | PA      | $142668.24    | 0.01%             | 2042-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160197 | PA      | $111509.99    | 0.00%             | 2043-08-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1536487 | PA      | $1189277.91   | 0.05%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717154 | PA      | $609155.89    | 0.03%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga | New Century Alternative Mortgage Loan Trust 2006-ALT2                            | CUSIP: 643529AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1494625 | PA      | $260032.18    | 0.01%             | 2036-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936323 | PA      | $831871.75    | 0.04%             | 2037-06-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1                | CUSIP: 65538PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683229 | PA      | $623328.91    | 0.03%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2011-4R                                            | CUSIP: 65539CBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512540 | PA      | $794614.97    | 0.03%             | 2035-12-26      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM2 Trust                                                              | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |  15691216 | PA      | $15743497.95  | 0.69%             | 2063-12-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1711272 | PA      | $1299684.14   | 0.06%             | 2037-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1761652 | PA      | $1218854.19   | 0.05%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust 2006-5                                                 | CUSIP: 872225AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9215000 | PA      | $1523506.74   | 0.07%             | 2036-11-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-2                                          | CUSIP: 878048AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558028 | PA      | $60862.92     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2004-2                                       | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264254 | PA      | $255509.21    | 0.01%             | 2044-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-2R                                  | CUSIP: 021482AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127380 | PA      | $489365.61    | 0.02%             | 2037-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-J1                                                   | CUSIP: 02149MAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772025 | PA      | $509463.17    | 0.02%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-14T2                                                 | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6832508 | PA      | $3411303.69   | 0.15%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156955 | PA      | $110693.25    | 0.00%             | 2037-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6738391 | PA      | $687138.66    | 0.03%             | 2037-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1767468 | PA      | $570768.93    | 0.02%             | 2037-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4571718 | PA      | $890257.14    | 0.04%             | 2037-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2008-RR3 Trust                                                          | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2676023 | PA      | $775561.41    | 0.03%             | 2036-10-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2010-RR9 Trust                                                          | CUSIP: 05533GCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5701009 | PA      | $4863530.49   | 0.21%             | 2035-10-26      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1783046 | PA      | $998505.59    | 0.04%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203027 | PA      | $437173.55    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2012-RR4 Trust                                                          | CUSIP: 05540XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801086 | PA      | $952984.45    | 0.04%             | 2036-02-26      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-AC6                            | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2639704 | PA      | $2346930.51   | 0.10%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Resi Finance Limited Partnersh | RESI Finance LP 2003-D                                                           | CUSIP: 74951PCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     18151 | PA      | $7732.27      | 0.00%             | 2035-12-10      | Floating      | 5.08%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-ST1                            | CUSIP: 073886AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206456 | PA      | $149371.21    | 0.01%             | 2036-10-25      | Floating      | 4.74%                 | No            |                  3 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM3                                        | CUSIP: 10568EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2045066 | PA      | $2041972.67   | 0.09%             | 2062-09-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570492 | PA      | $1452086.79   | 0.06%             | 2033-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-2                                        | CUSIP: 759950CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311711 | PA      | $278854.47    | 0.01%             | 2034-07-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1654487 | PA      | $1664317.85   | 0.07%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629ECG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8236942 | PA      | $979958.88    | 0.04%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608495 | PA      | $831750.73    | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3534745 | PA      | $1838355.05   | 0.08%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA8 Trust                                                       | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717930 | PA      | $355688.42    | 0.02%             | 2035-07-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2004-6                                                    | CUSIP: 81744FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74972 | PA      | $70186.09     | 0.00%             | 2034-07-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6206063 | PA      | $1879786.77   | 0.08%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506235 | PA      | $1406069.99   | 0.06%             | 2036-05-27      | Variable      | 2.00%                 | No            |                  3 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT4                                              | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290224 | PA      | $248911.15    | 0.01%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 86359BRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419410 | PA      | $406636.98    | 0.02%             | 2034-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-17                                    | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613890 | PA      | $1334178.87   | 0.06%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93726 | PA      | $85511.69     | 0.00%             | 2035-12-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR1                          | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265649 | PA      | $224074.83    | 0.01%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  3 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-7                     | CUSIP: 86364DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723794 | PA      | $734679.54    | 0.03%             | 2037-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust                    | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358634 | PA      | $324260.33    | 0.01%             | 2046-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR9 Trust                    | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9258 | PA      | $9079.12      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2003-R4                                            | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165632 | PA      | $143685.77    | 0.01%             | 2034-01-25      | Variable      | 4.72%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-9                                           | CUSIP: 12669FUC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156177 | PA      | $152476.15    | 0.01%             | 2034-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4L2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140876 | PA      | $753970.30    | 0.03%             | 2035-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624298 | PA      | $494139.31    | 0.02%             | 2035-03-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102098 | PA      | $33433.36     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A3                                      | CUSIP: 161639AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107908 | PA      | $88712.99     | 0.00%             | 2037-12-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GPH5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    335777 | PA      | $295183.93    | 0.01%             | 2034-11-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17310CAA0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   5295369 | PA      | $2305288.18   | 0.10%             | 2035-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4                     | CUSIP: 22541STR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214915 | PA      | $197751.24    | 0.01%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36092 | PA      | $17327.04     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2458719 | PA      | $1045250.68   | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9WY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3034385 | PA      | $2302317.73   | 0.10%             | 2050-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3121451 | PA      | $2482951.48   | 0.11%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    587568 | PA      | $365699.57    | 0.02%             | 2050-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-13                                             | CUSIP: 576434A53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1677491 | PA      | $1402820.95   | 0.06%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-1                                              | CUSIP: 576434Y40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864499 | PA      | $543175.60    | 0.02%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-FRE2                                    | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215198 | PA      | $127002.83    | 0.01%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451961 | PA      | $370458.56    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500909 | PA      | $339556.42    | 0.01%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741010 | PA      | $612021.83    | 0.03%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413070 | PA      | $415380.25    | 0.02%             | 2053-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | Mellon Residential Funding Cor Mor Pas Thr Tr Ser 1999-tbc3                      | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299455 | PA      | $292013.68    | 0.01%             | 2029-10-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation   | MERIT Securities Corp                                                            | CUSIP: 589962CV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13147 | PA      | $13127.24     | 0.00%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2                        | CUSIP: 590219AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22807 | PA      | $22671.85     | 0.00%             | 2036-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-3                        | CUSIP: 59023PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572561 | PA      | $480854.81    | 0.02%             | 2036-10-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347485 | PA      | $133813.05    | 0.01%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R3                                            | CUSIP: 61759DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5644936 | PA      | $4943316.88   | 0.22%             | 2036-06-26      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM8                         | CUSIP: 61779QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3416882 | PA      | $3409731.90   | 0.15%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Trust 2005-3                                                          | CUSIP: 61915RAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51102 | PA      | $51366.75     | 0.00%             | 2035-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2004-2                                        | CUSIP: 64352VFZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277422 | PA      | $277806.89    | 0.01%             | 2034-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4Y6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375355 | PA      | $319857.82    | 0.01%             | 2035-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR2                                                 | CUSIP: 36242DJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180604 | PA      | $178142.95    | 0.01%             | 2035-04-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6177216 | PA      | $5760233.15   | 0.25%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-7F                                                  | CUSIP: 36298NAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626746 | PA      | $367501.98    | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81717 | PA      | $65301.03     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO6 Trust                                                       | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9630290 | PA      | $1921613.57   | 0.08%             | 2046-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054099 | PA      | $776298.71    | 0.03%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602126 | PA      | $1370149.15   | 0.06%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1407206 | PA      | $1052450.93   | 0.05%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9XQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130334 | PA      | $106652.28    | 0.00%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502864 | PA      | $375726.14    | 0.02%             | 2051-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFCH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2985011 | PA      | $2335429.61   | 0.10%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5802824 | PA      | $3687483.72   | 0.16%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326257 | PA      | $328493.89    | 0.01%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69679 | PA      | $70049.70     | 0.00%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    968518 | PA      | $966202.22    | 0.04%             | 2055-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394TZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4397 | PA      | $3666.50      | 0.00%             | 2034-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396F4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300549 | PA      | $298140.08    | 0.01%             | 2035-11-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396RKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317610 | PA      | $315921.17    | 0.01%             | 2036-05-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397BVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172338 | PA      | $171059.49    | 0.01%             | 2036-10-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CV89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110334 | PA      | $109301.69    | 0.00%             | 2036-11-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236555 | PA      | $233867.23    | 0.01%             | 2037-03-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397GZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322988 | PA      | $320561.85    | 0.01%             | 2036-07-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1149294 | PA      | $1143387.78   | 0.05%             | 2037-08-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220671 | PA      | $220180.57    | 0.01%             | 2037-11-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42349 | PA      | $42631.07     | 0.00%             | 2038-01-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159927 | PA      | $160147.83    | 0.01%             | 2040-05-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2004-J2                                                | CUSIP: 36185N2F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102730 | PA      | $88436.73     | 0.00%             | 2034-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118678 | PA      | $115757.53    | 0.01%             | 2037-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    292889 | PA      | $285013.75    | 0.01%             | 2032-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374HRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29394 | PA      | $29205.96     | 0.00%             | 2034-08-16      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375GGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44103 | PA      | $38918.97     | 0.00%             | 2042-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482715 | PA      | $480742.85    | 0.02%             | 2040-04-16      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376MK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97046 | PA      | $94970.11     | 0.00%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377EFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995646 | PA      | $810060.07    | 0.04%             | 2040-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377MH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16493 | PA      | $16398.59     | 0.00%             | 2040-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153500 | PA      | $135559.69    | 0.01%             | 2041-06-16      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1614723 | PA      | $1601065.18   | 0.07%             | 2041-06-16      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378C6K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811080 | PA      | $805012.76    | 0.04%             | 2042-02-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378KQP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $96337.79     | 0.00%             | 2047-11-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378WH22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393333 | PA      | $389375.34    | 0.02%             | 2043-09-16      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379CA71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45389 | PA      | $42076.50     | 0.00%             | 2044-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379JAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768546 | PA      | $697362.90    | 0.03%             | 2044-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379YXV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398807 | PA      | $360394.05    | 0.02%             | 2045-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672644 | PA      | $587826.48    | 0.03%             | 2047-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380HPP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328119 | PA      | $307966.37    | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ABZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79715 | PA      | $73115.88     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381X3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709102 | PA      | $696182.13    | 0.03%             | 2049-04-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2788026 | PA      | $2734268.95   | 0.12%             | 2049-08-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1768522 | PA      | $1531290.16   | 0.07%             | 2036-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-11                                  | CUSIP: 466300AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4619316 | PA      | $3669469.45   | 0.16%             | 2037-01-26      | Variable      | 5.95%                 | No            |                  3 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-8                                                    | CUSIP: 525221EE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26702 | PA      | $30281.73     | 0.00%             | 2035-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-10N                                                  | CUSIP: 525229AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483586 | PA      | $383023.41    | 0.02%             | 2046-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-10N                                                  | CUSIP: 525229BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239329 | PA      | $244470.82    | 0.01%             | 2046-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-4                                                     | CUSIP: 52524UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7685379 | PA      | $2025984.14   | 0.09%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-3                                                   | CUSIP: 55027AAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73353 | PA      | $66424.90     | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164259 | PA      | $148751.13    | 0.01%             | 2035-07-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-6                                              | CUSIP: 576434GQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263476 | PA      | $249259.20    | 0.01%             | 2033-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-4                                              | CUSIP: 576434Q80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526725 | PA      | $465247.09    | 0.02%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-3                                              | CUSIP: 57645DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065125 | PA      | $388612.94    | 0.02%             | 2036-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2006-3                                       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5277789 | PA      | $2173698.39   | 0.09%             | 2046-06-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797TQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39519380.00  | 1.72%             | 2026-07-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CMJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25008399.75  | 1.09%             | 2027-01-31      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879924 | PA      | $736576.78    | 0.03%             | 2046-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2003-RS9 Trust                                                       | CUSIP: 760985B42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405915 | PA      | $396172.53    | 0.02%             | 2033-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359486 | PA      | $127281.08    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                                | CUSIP: 76116RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3049139 | PA      | $1095653.66   | 0.05%             | 2036-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu | Citigroup Global Markets Mortgage Securities VII Inc                             | CUSIP: 79548KUQ9<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |    205451 | PA      | $90603.82     | 0.00%             | 2030-12-25      | Variable      | 2.58%                 | No            |                  3 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-HE1                          | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660712 | PA      | $210705.78    | 0.01%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                                    | CUSIP: 81745DAN1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    345287 | PA      | $245891.38    | 0.01%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FMF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876047 | PA      | $863810.74    | 0.04%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | NRZT 2025-NQM6                                                                   | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700096 | PA      | $1695864.71   | 0.07%             | 2065-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-10R                                           | CUSIP: 65541BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347990 | PA      | $1097915.31   | 0.05%             | 2036-12-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust   | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340291 | PA      | $600777.18    | 0.03%             | 2036-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-7 Trust                              | CUSIP: 94982XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467901 | PA      | $382185.01    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR12 Trust                           | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75301 | PA      | $72865.13     | 0.00%             | 2036-09-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR14 Trust                           | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160722 | PA      | $148567.30    | 0.01%             | 2036-10-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM9 Trust                                                              | CUSIP: 67119DAA6<br>LEI: 2549004KB8X0K1PPTU08 | Long             | ABS-MBS          | CORP              | US        |   2270387 | PA      | $2286918.83   | 0.10%             | 2064-01-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM1 Trust                                                              | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    612412 | PA      | $614241.21    | 0.03%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR16 Trust                           | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200384 | PA      | $190816.82    | 0.01%             | 2036-10-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust       | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75092 | PA      | $22822.76     | 0.00%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6644852 | PA      | $6159660.45   | 0.27%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104441 | PA      | $87390.80     | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1637213 | PA      | $1211614.77   | 0.05%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179922 | PA      | $145315.14    | 0.01%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825952 | PA      | $1390747.21   | 0.06%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2672968 | PA      | $1976537.49   | 0.09%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA6 Trust                                                       | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219906 | PA      | $206571.09    | 0.01%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2033792 | PA      | $425662.65    | 0.02%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO5 Trust                                                       | CUSIP: 75114HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407924 | PA      | $380907.45    | 0.02%             | 2046-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO6 Trust                                                       | CUSIP: 75114NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2769454 | PA      | $565882.17    | 0.02%             | 2046-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3008714 | PA      | $2750744.47   | 0.12%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167725 | PA      | $904719.28    | 0.04%             | 2036-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4411735 | PA      | $1367007.99   | 0.06%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177084 | PA      | $262183.16    | 0.01%             | 2037-04-25      | Floating      | 23.97%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49609 | PA      | $74005.36     | 0.00%             | 2037-04-25      | Floating      | 24.22%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    906184 | PA      | $216418.87    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508090 | PA      | $157473.34    | 0.01%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939044 | PA      | $638047.42    | 0.03%             | 2037-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17261148 | PA      | $3090313.32   | 0.13%             | 2037-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20253496 | PA      | $1184005.18   | 0.05%             | 2037-05-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust   | CUSIP: 93936HAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3276617 | PA      | $591294.13    | 0.03%             | 2037-04-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668151 | PA      | $123537.12    | 0.01%             | 2037-04-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554141 | PA      | $227355.00    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34521 | PA      | $33619.73     | 0.00%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-9                                           | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205367 | PA      | $183073.06    | 0.01%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541NTQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75886 | PA      | $77960.81     | 0.00%             | 2032-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82619 | PA      | $70214.17     | 0.00%             | 2037-03-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3                    | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178745 | PA      | $160805.33    | 0.01%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9PU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83511 | PA      | $59715.79     | 0.00%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10731 | PA      | $11224.76     | 0.00%             | 2035-11-25      | Floating      | 8.12%                 | No            |                  3 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546165 | PA      | $475090.44    | 0.02%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2009-RS6        | CUSIP: 25158HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3672394 | PA      | $3396895.59   | 0.15%             | 2037-08-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27390 | PA      | $25101.77     | 0.00%             | 2044-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632322 | PA      | $471155.95    | 0.02%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534232 | PA      | $395534.94    | 0.02%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634378 | PA      | $484908.97    | 0.02%             | 2051-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5467976 | PA      | $5357716.61   | 0.23%             | 2049-09-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DCP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18462143 | PA      | $18082899.26  | 0.79%             | 2050-01-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JWH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    853591 | PA      | $625854.89    | 0.03%             | 2050-09-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KEA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151103 | PA      | $84924.04     | 0.00%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MNP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3407396 | PA      | $2733697.96   | 0.12%             | 2050-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382P3K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195993 | PA      | $95639.86     | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                                  | CUSIP: 46591TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872366 | PA      | $758673.51    | 0.03%             | 2050-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298104 | PA      | $162008.81    | 0.01%             | 2036-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-10                                  | CUSIP: 46634AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3868498 | PA      | $1123914.81   | 0.05%             | 2037-08-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-4                                                  | CUSIP: 46648UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3666 | PA      | $3362.67      | 0.00%             | 2048-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1643417 | PA      | $1580308.17   | 0.07%             | 2050-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PHHMC Mortgage Pass Through Ce | PHHMC Series 2007-3 Trust                                                        | CUSIP: 69337NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6591 | PA      | $6514.61      | 0.00%             | 2037-06-18      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-9                                              | CUSIP: 74927TAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999171 | PA      | $378866.38    | 0.02%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287020 | PA      | $107914.74    | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407085 | PA      | $33107.70     | 0.00%             | 2037-03-25      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283844 | PA      | $8493.07      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8679690 | PA      | $778057.79    | 0.03%             | 2047-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1710047 | PA      | $625399.59    | 0.03%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213570 | PA      | $93107.01     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-8                                                  | CUSIP: 03466UAA2<br>LEI: 254900WZRTR935QJJ709 | Long             | ABS-MBS          | CORP              | US        |   5791557 | PA      | $5802812.09   | 0.25%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W4                                                  | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265880 | PA      | $62066.59     | 0.00%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage Trust 2005-3                                            | CUSIP: 05949A3Q1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397427 | PA      | $362884.61    | 0.02%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156754 | PA      | $115537.92    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715403 | PA      | $605965.34    | 0.03%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 073324AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6810588 | PA      | $6145289.86   | 0.27%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-4                                                  | CUSIP: 07386HHU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927921 | PA      | $1024740.02   | 0.04%             | 2034-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HQ53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2911375 | PA      | $1144721.36   | 0.05%             | 2036-05-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE10                           | CUSIP: 073879MR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215159 | PA      | $216508.92    | 0.01%             | 2034-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396042 | PA      | $368137.36    | 0.02%             | 2036-02-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-1                                                    | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78054 | PA      | $75702.17     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM8                                        | CUSIP: 10567MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651095 | PA      | $1658156.40   | 0.07%             | 2063-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |    716670 | PA      | $720468.01    | 0.03%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM4                                        | CUSIP: 10569YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100970 | PA      | $100914.70    | 0.00%             | 2063-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-2                                           | CUSIP: 12544CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275866 | PA      | $503199.49    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-14                                          | CUSIP: 12544DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32280 | PA      | $15122.08     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV1                                                              | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201210 | PA      | $195373.44    | 0.01%             | 2049-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101540 | PA      | $89878.67     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195706 | PA      | $195792.03    | 0.01%             | 2034-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-30CB                                                 | CUSIP: 12667FJ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1843175 | PA      | $1196705.49   | 0.05%             | 2035-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-43                                                   | CUSIP: 12667G5X7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696638 | PA      | $662196.82    | 0.03%             | 2035-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883555 | PA      | $829229.87    | 0.04%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2258160 | PA      | $1105742.16   | 0.05%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-53T2                                                 | CUSIP: 12668AKV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2258160 | PA      | $216544.18    | 0.01%             | 2035-11-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-10                                          | CUSIP: 1266942H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159372 | PA      | $58676.48     | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-8                                           | CUSIP: 1266943B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985497 | PA      | $1122722.37   | 0.05%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164953 | PA      | $54015.96     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                                      | CUSIP: 16158RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62525 | PA      | $61956.95     | 0.00%             | 2049-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR7                                           | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787332 | PA      | $751578.91    | 0.03%             | 2046-07-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295974 | PA      | $1012030.11   | 0.04%             | 2035-09-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GT57<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    112060 | PA      | $68702.00     | 0.00%             | 2035-12-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | Colt 2025-1 Mortgage Loan Trust                                                  | CUSIP: 196920AC6<br>LEI: 21380069FFOP8RZNF423 | Long             | ABS-MBS          | CORP              | US        |    854996 | PA      | $859579.92    | 0.04%             | 2070-01-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363720 | PA      | $328357.39    | 0.01%             | 2047-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4LD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146447 | PA      | $145347.66    | 0.01%             | 2042-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A63M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248068 | PA      | $246212.40    | 0.01%             | 2042-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333993 | PA      | $331658.07    | 0.01%             | 2042-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213163 | PA      | $210968.63    | 0.01%             | 2049-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119937 | PA      | $100447.53    | 0.00%             | 2046-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F1FL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339756 | PA      | $332762.75    | 0.01%             | 2047-06-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFMK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1164461 | PA      | $867790.82    | 0.04%             | 2051-03-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3464549 | PA      | $3386311.16   | 0.15%             | 2048-06-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T16                                                | CUSIP: 31392FDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14727 | PA      | $14602.21     | 0.00%             | 2042-05-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169483 | PA      | $169208.51    | 0.01%             | 2037-10-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380810 | PA      | $381953.81    | 0.02%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240325 | PA      | $242985.14    | 0.01%             | 2040-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM1                                        | CUSIP: 46593QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4326089 | PA      | $4343634.76   | 0.19%             | 2065-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A8                                                 | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343379 | PA      | $277527.27    | 0.01%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-1                                   | CUSIP: 46641TAL8<br>LEI: 549300L90VVKXEKB0M74 | Long             | ABS-MBS          | CORP              | US        |    325511 | PA      | $318890.57    | 0.01%             | 2037-05-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-3                                   | CUSIP: 46642BAE2<br>LEI: 549300RKVQ1H0V3JB665 | Long             | ABS-MBS          | CORP              | US        |   1006660 | PA      | $1040383.25   | 0.05%             | 2036-06-26      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| KORTH DIRECT MORTGAGE          | Korth Direct Mortgage Inc                                                        | CUSIP: 50067HDB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $0.00         | 0.00%             | 2027-01-25      | None          | 12.50%                | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49260 | PA      | $43632.94     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433B21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148 | PA      | $147.75       | 0.00%             | 2035-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167376 | PA      | $166833.05    | 0.01%             | 2034-11-21      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-9AR                                      | CUSIP: 61748HQY0<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |    523406 | PA      | $488762.27    | 0.02%             | 2035-12-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-1AR                                      | CUSIP: 61748HUF6<br>LEI: 549300DSKZQ19XGD5F44 | Long             | ABS-MBS          | CORP              | US        |   2222885 | PA      | $1258163.21   | 0.05%             | 2036-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1536632 | PA      | $1511684.01   | 0.07%             | 2049-04-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107212 | PA      | $131127.10    | 0.01%             | 2036-01-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188113 | PA      | $110169.28    | 0.00%             | 2036-04-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466067 | PA      | $261041.33    | 0.01%             | 2036-04-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-6                                              | CUSIP: 74928XCC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140722 | PA      | $456380.92    | 0.02%             | 2036-11-26      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QO1 Trust                                                       | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520752 | PA      | $1035639.20   | 0.05%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3345530 | PA      | $959232.41    | 0.04%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170661 | PA      | $1635067.58   | 0.07%             | 2045-10-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-11                                           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1593598 | PA      | $1450934.63   | 0.06%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR19                                       | CUSIP: 45660GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943612 | PA      | $805367.03    | 0.04%             | 2036-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR31                                       | CUSIP: 45660LW96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260129 | PA      | $1521829.51   | 0.07%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A1                                                 | CUSIP: 466247BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50552 | PA      | $51548.89     | 0.00%             | 2034-02-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A3                                                 | CUSIP: 466247QM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118291 | PA      | $119026.29    | 0.01%             | 2035-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A1                                         | CUSIP: 46627MCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182694 | PA      | $1613470.77   | 0.07%             | 2036-03-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2007-HE1                                    | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547189 | PA      | $369024.44    | 0.02%             | 2047-03-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| AFC Home Equity Loan Trust     | AFC Trust Series 2000-1                                                          | CUSIP: 00105HEH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98371 | PA      | $95236.44     | 0.00%             | 2030-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1                      | CUSIP: 00442AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262033 | PA      | $16846.09     | 0.00%             | 2036-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91581 | PA      | $87792.38     | 0.00%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-8                                            | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171933 | PA      | $157667.37    | 0.01%             | 2034-11-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| INDIANA ST HSG & CMNTY DEV AUT | Indiana Housing & Community Development Authority                                | CUSIP: 45505WCX0<br>LEI: 549300QRKDYVNHT1OE86 | Long             | DBT              | MUN               | US        |   3535000 | PA      | $3548483.55   | 0.15%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606FZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293558 | PA      | $241980.11    | 0.01%             | 2035-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58832 | PA      | $51487.13     | 0.00%             | 2046-12-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-14CB                                                 | CUSIP: 021468AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7050522 | PA      | $2903899.96   | 0.13%             | 2036-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404530 | PA      | $201892.59    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5596435 | PA      | $1987120.65   | 0.09%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8800088 | PA      | $1585380.72   | 0.07%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-33CB                                                 | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247537 | PA      | $120758.63    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1574462 | PA      | $1232655.17   | 0.05%             | 2037-06-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328049 | PA      | $185114.93    | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAS5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |    858156 | PA      | $222929.65    | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                    | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342765 | PA      | $341745.95    | 0.01%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5597587 | PA      | $1349028.50   | 0.06%             | 2036-10-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S12 Trust                                                      | CUSIP: 74958EAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96057 | PA      | $81963.26     | 0.00%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS7 Trust                                                       | CUSIP: 761118AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177594 | PA      | $1000336.15   | 0.04%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA9 Trust                                                       | CUSIP: 761118FG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85621 | PA      | $77091.70     | 0.00%             | 2035-08-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781751 | PA      | $647837.72    | 0.03%             | 2035-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2726284 | PA      | $314601.98    | 0.01%             | 2036-12-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-A                                   | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109975 | PA      | $20197.06     | 0.00%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |   1449208 | PA      | $1456407.27   | 0.06%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-8                                                  | CUSIP: 03465QAA2<br>LEI: 254900BM1HTLL3SKQ481 | Long             | ABS-MBS          | CORP              | US        |   1528195 | PA      | $1528927.84   | 0.07%             | 2069-05-27      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-6 Trust                                             | CUSIP: 05946XM83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266333 | PA      | $224131.66    | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139432 | PA      | $128382.38    | 0.01%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY5                                         | CUSIP: 12544BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384723 | PA      | $361263.94    | 0.02%             | 2037-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1785169 | PA      | $690008.85    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J2                                          | CUSIP: 126694H68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    679356 | PA      | $298185.49    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                                | CUSIP: 76116RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5583898 | PA      | $2006385.19   | 0.09%             | 2036-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2004-6                                                    | CUSIP: 81744FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9667 | PA      | $9717.18      | 0.00%             | 2034-07-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123509 | PA      | $112150.72    | 0.00%             | 2034-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA2 Trust   | CUSIP: 939336S20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15077 | PA      | $12389.09     | 0.00%             | 2033-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3499740 | PA      | $344971.46    | 0.02%             | 2037-06-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915801 | PA      | $805189.71    | 0.04%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                           | CUSIP: 126694W20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40432 | PA      | $17819.52     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GXF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219991 | PA      | $288846.96    | 0.01%             | 2035-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A3                                      | CUSIP: 161639BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275505 | PA      | $241627.98    | 0.01%             | 2037-12-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT5A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5197199 | PA      | $4014660.86   | 0.18%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3LJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    853443 | PA      | $860449.00    | 0.04%             | 2054-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17803 | PA      | $17229.89     | 0.00%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AP7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198408 | PA      | $128620.06    | 0.01%             | 2045-10-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATCN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582130 | PA      | $471940.86    | 0.02%             | 2046-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739500 | PA      | $720437.64    | 0.03%             | 2048-06-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B45C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131978 | PA      | $129530.86    | 0.01%             | 2049-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4TJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10641873 | PA      | $8611757.68   | 0.38%             | 2050-05-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHEL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156822 | PA      | $157422.51    | 0.01%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375231 | PA      | $377679.96    | 0.02%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HLH47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394888 | PA      | $1410285.21   | 0.06%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394NT81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35404 | PA      | $35437.93     | 0.00%             | 2033-10-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402591 | PA      | $402163.53    | 0.02%             | 2036-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-C                 | CUSIP: 43709BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52518 | PA      | $50081.72     | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549245 | PA      | $372573.28    | 0.02%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395VC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282136 | PA      | $279528.23    | 0.01%             | 2035-06-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396HKV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114640 | PA      | $113826.59    | 0.00%             | 2036-02-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3710580 | PA      | $1547176.42   | 0.07%             | 2037-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2006-HE2                                     | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458358 | PA      | $108489.46    | 0.00%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2022-NQM2                                           | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140349 | PA      | $128156.45    | 0.01%             | 2067-03-25      | Variable      | 4.64%                 | No            |                  3 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606GA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184628 | PA      | $154821.95    | 0.01%             | 2035-03-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396K4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111667 | PA      | $110651.41    | 0.00%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396RBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128467 | PA      | $127316.63    | 0.01%             | 2036-05-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501815 | PA      | $458151.93    | 0.02%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3812620 | PA      | $387682.80    | 0.02%             | 2037-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR23                                       | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631715 | PA      | $1581173.89   | 0.07%             | 2035-11-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065111 | PA      | $1049770.65   | 0.05%             | 2049-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AGV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574648 | PA      | $459812.79    | 0.02%             | 2039-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1894017 | PA      | $1858568.77   | 0.08%             | 2047-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425700 | PA      | $423754.17    | 0.02%             | 2032-09-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KQS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5882 | PA      | $5873.90      | 0.00%             | 2037-06-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A5                                                 | CUSIP: 466247SE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49633 | PA      | $45860.97     | 0.00%             | 2035-08-25      | Variable      | 4.72%                 | No            |                  3 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2007-A2                                         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124381 | PA      | $109149.25    | 0.00%             | 2037-05-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3WF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547141 | PA      | $536786.03    | 0.02%             | 2049-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3ZV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2006565 | PA      | $1975009.06   | 0.09%             | 2049-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398J4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139444 | PA      | $126908.71    | 0.01%             | 2038-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-SEA1                                                            | CUSIP: 3622MLAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1893179.40   | 0.08%             | 2036-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S1                                         | CUSIP: 46627MFW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26635 | PA      | $29984.76     | 0.00%             | 2036-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651082 | PA      | $345780.92    | 0.02%             | 2036-05-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7CH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390563 | PA      | $334233.82    | 0.01%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754903 | PA      | $558533.40    | 0.02%             | 2050-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A4                                                 | CUSIP: 46628LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104717 | PA      | $69958.95     | 0.00%             | 2036-06-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401325 | PA      | $336001.69    | 0.01%             | 2037-05-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266065 | PA      | $69246.82     | 0.00%             | 2036-09-25      | Variable      | 13.15%                | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744928 | PA      | $634137.47    | 0.03%             | 2035-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18296 | PA      | $7348.58      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2329446 | PA      | $1709029.65   | 0.07%             | 2035-05-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-2F                                                  | CUSIP: 36242DYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397496 | PA      | $74074.00     | 0.00%             | 2035-03-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747014 | PA      | $425051.67    | 0.02%             | 2037-04-26      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-10F                                                 | CUSIP: 36266WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1654845 | PA      | $190851.95    | 0.01%             | 2037-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380KAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216622 | PA      | $208914.16    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381BFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2760472 | PA      | $2706526.34   | 0.12%             | 2048-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381YUM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6184912 | PA      | $6060441.19   | 0.26%             | 2049-09-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382AG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460714 | PA      | $418965.21    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BZ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205705 | PA      | $184091.64    | 0.01%             | 2050-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382K4S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603707 | PA      | $461719.94    | 0.02%             | 2050-11-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72235 | PA      | $64603.71     | 0.00%             | 2045-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967127 | PA      | $1839979.71   | 0.08%             | 2045-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3971950 | PA      | $2623847.74   | 0.11%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424307 | PA      | $194456.74    | 0.01%             | 2035-10-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-6                                            | CUSIP: 41161UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421669 | PA      | $269005.08    | 0.01%             | 2036-08-19      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3128535 | PA      | $2537396.11   | 0.11%             | 2038-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6583094 | PA      | $2141678.49   | 0.09%             | 2035-10-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193053 | PA      | $128372.52    | 0.01%             | 2035-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2004-AR9                                        | CUSIP: 45660N3U7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420475 | PA      | $353595.47    | 0.02%             | 2034-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116447 | PA      | $109373.70    | 0.00%             | 2036-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279813 | PA      | $204156.79    | 0.01%             | 2037-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2569307 | PA      | $1728369.16   | 0.08%             | 2047-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-NQM1                                        | CUSIP: 465983AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693475 | PA      | $3706957.99   | 0.16%             | 2064-02-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-2                                   | CUSIP: 46642AAF1<br>LEI: 5493004EDOTOJ5TDDQ63 | Long             | ABS-MBS          | CORP              | US        |    292389 | PA      | $272688.25    | 0.01%             | 2037-03-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2015-1                                   | CUSIP: 46644BAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6252358 | PA      | $2309464.74   | 0.10%             | 2036-07-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5406136 | PA      | $1158632.69   | 0.05%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599221 | PA      | $270794.17    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159523 | PA      | $122997.14    | 0.01%             | 2036-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144900 | PA      | $92673.57     | 0.00%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization  | MASTR Seasoned Securitization Trust 2005-1                                       | CUSIP: 55265WCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188931 | PA      | $184080.15    | 0.01%             | 2032-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2576539 | PA      | $524827.70    | 0.02%             | 2036-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578404 | PA      | $493030.15    | 0.02%             | 2047-10-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385931 | PA      | $256161.74    | 0.01%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180836 | PA      | $1755949.00   | 0.08%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2004-4                                          | CUSIP: 57643MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160382 | PA      | $157151.77    | 0.01%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | MRFC Mortgage Pass-Through Trust Series 1999-TBC2                                | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104305 | PA      | $102699.27    | 0.00%             | 2030-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-HE1                                  | CUSIP: 61744CKY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488286 | PA      | $468029.42    | 0.02%             | 2034-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-NC1                                  | CUSIP: 61744CMP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57900 | PA      | $54715.81     | 0.00%             | 2035-01-25      | Floating      | 4.89%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2003-NC8                                  | CUSIP: 61746RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88205 | PA      | $104547.24    | 0.00%             | 2033-09-25      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2006-HE6                                  | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152871 | PA      | $52094.50     | 0.00%             | 2036-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1652832 | PA      | $1416587.15   | 0.06%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2007-1                                                      | CUSIP: 74162FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1849623 | PA      | $1658237.98   | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2394529 | PA      | $982534.02    | 0.04%             | 2037-08-26      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS13 Trust                                                      | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445674 | PA      | $356570.84    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-7                                              | CUSIP: 75524MCG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4390569 | PA      | $1163500.76   | 0.05%             | 2046-01-26      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-1                                        | CUSIP: 759950CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506564 | PA      | $1364673.66   | 0.06%             | 2034-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175160 | PA      | $848091.82    | 0.04%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2482780 | PA      | $1996464.01   | 0.09%             | 2035-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1597103 | PA      | $1418280.28   | 0.06%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP2 Trust                                                       | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559436 | PA      | $519547.79    | 0.02%             | 2044-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2003-BC2                                  | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43235 | PA      | $43321.04     | 0.00%             | 2033-04-25      | Floating      | 4.51%                 | No            |                  3 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR4                          | CUSIP: 86359LDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158813 | PA      | $159081.56    | 0.01%             | 2034-12-19      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964587 | PA      | $68835.46     | 0.00%             | 2037-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-4 Mortgage Loan Trust                                                  | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |   2207144 | PA      | $2222784.99   | 0.10%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-4                     | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3724547 | PA      | $2044181.00   | 0.09%             | 2036-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2999629 | PA      | $2124362.87   | 0.09%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    608119 | PA      | $559806.10    | 0.02%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust   | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445981 | PA      | $1218535.85   | 0.05%             | 2035-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281763 | PA      | $263221.48    | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust   | CUSIP: 93934FLR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765001 | PA      | $755412.20    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166094 | PA      | $128039.21    | 0.01%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA4 Trust                                      | CUSIP: 94984UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369991 | PA      | $351085.67    | 0.02%             | 2037-07-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-NC3                                   | CUSIP: 144528AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2995630 | PA      | $2565713.06   | 0.11%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483349 | PA      | $2832899.75   | 0.12%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244015 | PA      | $117862.51    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J2                                                   | CUSIP: 12668BTE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010847 | PA      | $201305.47    | 0.01%             | 2036-04-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902367 | PA      | $436051.36    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ANYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260323 | PA      | $246075.42    | 0.01%             | 2041-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AXAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519273 | PA      | $506737.22    | 0.02%             | 2037-09-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B5X65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2745352 | PA      | $2194204.22   | 0.10%             | 2041-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BRYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925636 | PA      | $715239.34    | 0.03%             | 2042-10-15      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2004-S2                                      | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152518 | PA      | $151474.26    | 0.01%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648949 | PA      | $46333.25     | 0.00%             | 2036-12-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR2                                           | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411316 | PA      | $304102.17    | 0.01%             | 2036-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15391 | PA      | $15167.89     | 0.00%             | 2037-09-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2012-7                                             | CUSIP: 17319NAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603893 | PA      | $544486.12    | 0.02%             | 2035-09-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2357487 | PA      | $1752881.43   | 0.08%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    935623 | PA      | $709445.25    | 0.03%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BH7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275704 | PA      | $209549.78    | 0.01%             | 2051-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390092 | PA      | $296304.00    | 0.01%             | 2051-06-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409262 | PA      | $401455.54    | 0.02%             | 2055-01-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7YT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564388 | PA      | $408277.31    | 0.02%             | 2050-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FF3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421148 | PA      | $200265.46    | 0.01%             | 2051-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771991 | PA      | $752297.69    | 0.03%             | 2048-10-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1955 | PA      | $1952.01      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2001-T13                                                | CUSIP: 31392A5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1523543 | PA      | $1471223.61   | 0.06%             | 2032-03-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W1                                                   | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    980624 | PA      | $976987.40    | 0.04%             | 2042-12-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111003 | PA      | $118335.27    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95964 | PA      | $96605.17     | 0.00%             | 2042-10-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538577 | PA      | $536191.04    | 0.02%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75732 | PA      | $75877.43     | 0.00%             | 2038-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714319 | PA      | $713086.77    | 0.03%             | 2041-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425774 | PA      | $424118.75    | 0.02%             | 2041-07-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2004-FF5                                      | CUSIP: 32027NKU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111966 | PA      | $105570.92    | 0.00%             | 2034-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2005-AR3                               | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577829 | PA      | $378810.90    | 0.02%             | 2035-08-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WSQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4354135 | PA      | $4280724.18   | 0.19%             | 2049-06-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61000 | PA      | $36294.26     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428487 | PA      | $1172764.82   | 0.05%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595495 | PA      | $600827.85    | 0.03%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722373 | PA      | $724395.08    | 0.03%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192143 | PA      | $174568.38    | 0.01%             | 2041-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1382055 | PA      | $1367717.61   | 0.06%             | 2042-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79233 | PA      | $70584.13     | 0.00%             | 2042-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B4UR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227702 | PA      | $226314.32    | 0.01%             | 2041-05-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2415987 | PA      | $2382600.57   | 0.10%             | 2043-11-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233893 | PA      | $229096.18    | 0.01%             | 2049-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393YDZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242994 | PA      | $241969.28    | 0.01%             | 2034-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101558 | PA      | $100694.50    | 0.00%             | 2035-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270432 | PA      | $268424.55    | 0.01%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394UFG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450715 | PA      | $446328.63    | 0.02%             | 2035-11-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354463 | PA      | $320644.96    | 0.01%             | 2044-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NQL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144306 | PA      | $143655.99    | 0.01%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277935 | PA      | $274996.21    | 0.01%             | 2037-03-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF5                                      | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5517739 | PA      | $5138287.40   | 0.22%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2003-FF5                                      | CUSIP: 32027NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278613 | PA      | $270086.66    | 0.01%             | 2034-03-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust Series 2007-FF1                               | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308730 | PA      | $168640.34    | 0.01%             | 2038-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GS48<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   3018174 | PA      | $907024.29    | 0.04%             | 2036-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA6                     | CUSIP: 32051GTG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727465 | PA      | $352233.11    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-AR3                               | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285791 | PA      | $204823.63    | 0.01%             | 2037-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379FWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208043 | PA      | $135318.97    | 0.01%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379LD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58513 | PA      | $44103.29     | 0.00%             | 2045-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379QFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357665 | PA      | $228997.67    | 0.01%             | 2045-09-20      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381NCG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538104 | PA      | $437464.97    | 0.02%             | 2055-06-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TRK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2864837 | PA      | $2813732.42   | 0.12%             | 2049-04-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TW27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10648999 | PA      | $10453256.65  | 0.46%             | 2049-04-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-INV1                                             | CUSIP: 92540FAA8<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |   1160807 | PA      | $1167606.11   | 0.05%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust                    | CUSIP: 92922FWM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111272 | PA      | $105010.38    | 0.00%             | 2034-08-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                    | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62777 | PA      | $57598.38     | 0.00%             | 2037-07-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY2 Trust | CUSIP: 939348AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7712996 | PA      | $3930794.14   | 0.17%             | 2037-04-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77682 | PA      | $62078.66     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636700 | PA      | $16.37        | 0.00%             | 2021-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314671 | PA      | $136446.73    | 0.01%             | 2036-10-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195822 | PA      | $187247.79    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382FPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11945436 | PA      | $11621102.77  | 0.51%             | 2050-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2160691 | PA      | $1751694.41   | 0.08%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-7                                                     | CUSIP: 52519BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1936561 | PA      | $818558.44    | 0.04%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-3                                                | CUSIP: 12628KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578440 | PA      | $68301.30     | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8085114 | PA      | $1878186.57   | 0.08%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     16102 | PA      | $15744.78     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2184311 | PA      | $275804.46    | 0.01%             | 2037-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3356597 | PA      | $1604585.26   | 0.07%             | 2037-01-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973N47<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |    183182 | PA      | $170511.64    | 0.01%             | 2035-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152399 | PA      | $139016.47    | 0.01%             | 2035-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329373 | PA      | $269976.77    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225863 | PA      | $182990.93    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH8 Trust                                                       | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895673 | PA      | $712857.88    | 0.03%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA3 Trust                                                       | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626204 | PA      | $1460734.98   | 0.06%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632714 | PA      | $463288.23    | 0.02%             | 2036-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44520 | PA      | $22050.01     | 0.00%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194595 | PA      | $32536.55     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3272511 | PA      | $2560370.18   | 0.11%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2584383 | PA      | $694365.99    | 0.03%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2005-SA2 Trust                                                      | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365046 | PA      | $348543.13    | 0.02%             | 2035-06-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321961 | PA      | $316966.07    | 0.01%             | 2035-10-25      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470UJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23318 | PA      | $22583.62     | 0.00%             | 2036-02-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558515 | PA      | $156992.90    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965448 | PA      | $271377.89    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust   | Saxon Asset Securities Trust 2004-1                                              | CUSIP: 805564PL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1933481 | PA      | $1731808.38   | 0.08%             | 2035-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-3                                                    | CUSIP: 81743PAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936304 | PA      | $878276.14    | 0.04%             | 2033-07-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2003-BC2               | CUSIP: 84751PAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393968 | PA      | $393033.62    | 0.02%             | 2034-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC4               | CUSIP: 84751YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614589 | PA      | $534617.67    | 0.02%             | 2037-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-12                    | CUSIP: 863579SS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190894 | PA      | $139845.43    | 0.01%             | 2035-06-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2008-1                     | CUSIP: 86358DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417955 | PA      | $332153.33    | 0.01%             | 2037-10-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-11                    | CUSIP: 86362HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818164 | PA      | $1833396.70   | 0.08%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-12                                    | CUSIP: 23242EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130539 | PA      | $123946.15    | 0.01%             | 2037-01-25      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7YU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606626 | PA      | $598685.18    | 0.03%             | 2049-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-SL4                       | CUSIP: 00441WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070239 | PA      | $107172.51    | 0.00%             | 2036-09-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167744 | PA      | $927577.94    | 0.04%             | 2040-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702804 | PA      | $1726807.74   | 0.08%             | 2036-08-27      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-6A                                           | CUSIP: 007036PG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114967 | PA      | $30159.93     | 0.00%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181067 | PA      | $173320.20    | 0.01%             | 2036-01-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181180 | PA      | $150920.63    | 0.01%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569870 | PA      | $556547.52    | 0.02%             | 2048-11-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432945 | PA      | $427092.34    | 0.02%             | 2036-07-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397HFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9764 | PA      | $9722.53      | 0.00%             | 2037-05-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397YSC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748692 | PA      | $762041.81    | 0.03%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107740 | PA      | $87562.80     | 0.00%             | 2040-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan         | Freddie Mac Securities REMIC Trust 2005-S001                                     | CUSIP: 35562QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7155106 | PA      | $7003969.10   | 0.31%             | 2045-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ACN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2217628 | PA      | $2161516.61   | 0.09%             | 2048-10-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381WEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4837895 | PA      | $4724617.00   | 0.21%             | 2049-06-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361474 | PA      | $353743.94    | 0.02%             | 2049-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    556005 | PA      | $469921.48    | 0.02%             | 2050-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HHN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65190 | PA      | $48077.32     | 0.00%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NDE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263136 | PA      | $192689.86    | 0.01%             | 2051-02-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NFY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472965 | PA      | $374814.97    | 0.02%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RYV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40732 | PA      | $23880.55     | 0.00%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4796671 | PA      | $4309355.30   | 0.19%             | 2051-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-12N                                                  | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47713 | PA      | $51560.50     | 0.00%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-15N                                                  | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22416 | PA      | $22150.65     | 0.00%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2023-NQM4 Trust                                                              | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642714 | PA      | $645867.13    | 0.03%             | 2068-12-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-6                                              | CUSIP: 576434W34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3482811 | PA      | $546778.01    | 0.02%             | 2035-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A6                                   | CUSIP: 76113FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3666348 | PA      | $823765.96    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618371 | PA      | $616178.24    | 0.03%             | 2037-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324957 | PA      | $326163.54    | 0.01%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8158548 | PA      | $2183903.82   | 0.10%             | 2036-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1                | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223831 | PA      | $209766.15    | 0.01%             | 2047-03-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808449 | PA      | $560035.20    | 0.02%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM3 Trust                                                              | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16766614 | PA      | $16711092.71  | 0.73%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM6 Trust                                                              | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |    772823 | PA      | $780016.06    | 0.03%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |    299162 | PA      | $300794.14    | 0.01%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6128820 | PA      | $5939244.39   | 0.26%             | 2036-07-25      | Floating      | 13.43%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J8                                                   | CUSIP: 12667GJ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284686 | PA      | $191527.39    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QC88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429322 | PA      | $427909.58    | 0.02%             | 2036-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1296266 | PA      | $1284672.80   | 0.06%             | 2040-10-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-E                                                   | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346522 | PA      | $690444.86    | 0.03%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-B                                                   | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73861 | PA      | $22560.75     | 0.00%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947512 | PA      | $818546.42    | 0.04%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE3                                            | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78599 | PA      | $77742.90     | 0.00%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374JGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222413 | PA      | $221185.58    | 0.01%             | 2034-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374T3U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    691184 | PA      | $691740.18    | 0.03%             | 2038-09-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374VAT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416217 | PA      | $327988.37    | 0.01%             | 2039-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915324 | PA      | $907594.76    | 0.04%             | 2035-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152964 | PA      | $137567.94    | 0.01%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377XQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663016 | PA      | $668633.09    | 0.03%             | 2041-08-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                                | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70828 | PA      | $69468.21     | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-AR1                           | CUSIP: 59020VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458626 | PA      | $143800.92    | 0.01%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-RM3                           | CUSIP: 590217AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5939596 | PA      | $157514.52    | 0.01%             | 2037-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192912 | PA      | $436138.11    | 0.02%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                      | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086662 | PA      | $799532.73    | 0.03%             | 2036-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-4                                        | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161474 | PA      | $147284.24    | 0.01%             | 2034-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-1                                        | CUSIP: 759950CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239243 | PA      | $184744.75    | 0.01%             | 2034-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 9                                                         | CUSIP: 81743SAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51030 | PA      | $50474.17     | 0.00%             | 2032-09-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $28025669.00  | 1.22%             | 2027-07-31      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST     | APS Resecuritization Trust 2015-1                                                | CUSIP: 00191TAJ4<br>LEI: 549300JGPGDSI7HKBH87 | Long             | ABS-MBS          | CORP              | US        |   2123123 | PA      | $1926700.04   | 0.08%             | 2054-08-28      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Alliance Bancorp Trust         | Alliance Bancorp Trust 2007-OA1                                                  | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553750 | PA      | $496980.68    | 0.02%             | 2037-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863907 | PA      | $817455.11    | 0.04%             | 2046-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2007-3                                       | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134745 | PA      | $131805.08    | 0.01%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-5                                                  | CUSIP: 03465YAA5<br>LEI: 25490045FDNHIWZ12934 | Long             | ABS-MBS          | CORP              | US        |   5126773 | PA      | $5104474.59   | 0.22%             | 2068-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-4                                                  | CUSIP: 034935AA4<br>LEI: 254900VBIBOATGC48K85 | Long             | ABS-MBS          | CORP              | US        |    734570 | PA      | $740008.43    | 0.03%             | 2070-04-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-4                                                  | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-MBS          | CORP              | US        |    410916 | PA      | $413883.96    | 0.02%             | 2069-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2008-QR1 Trust                                                       | CUSIP: 74925FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040303 | PA      | $790304.12    | 0.03%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184780 | PA      | $103403.76    | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A6                                   | CUSIP: 76113FAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4929266 | PA      | $517527.13    | 0.02%             | 2036-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23613703 | PA      | $2663365.92   | 0.12%             | 2037-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | AOMT 2024-6                                                                      | CUSIP: 034944AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83288 | PA      | $82864.30     | 0.00%             | 2067-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2005-WF1 Trust                                                              | CUSIP: 04542BMF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324122 | PA      | $332263.94    | 0.01%             | 2034-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR9 Trust                                                          | CUSIP: 05536KCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251414 | PA      | $1355433.42   | 0.06%             | 2036-01-26      | Variable      | 4.13%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-H Trust                                             | CUSIP: 05946XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77577 | PA      | $70181.92     | 0.00%             | 2035-11-20      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-3 Trust                                             | CUSIP: 05946XVS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244212 | PA      | $225413.29    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116129 | PA      | $84416.94     | 0.00%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470305 | PA      | $362358.83    | 0.02%             | 2046-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-G Trust                                            | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338521 | PA      | $327752.14    | 0.01%             | 2035-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage Trust 2005-8                                            | CUSIP: 05949CGZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677255 | PA      | $589815.19    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-5                                    | CUSIP: 05950BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737312 | PA      | $644827.67    | 0.03%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust             | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   1682194 | PA      | $1688297.84   | 0.07%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332797 | PA      | $290734.24    | 0.01%             | 2046-09-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214191 | PA      | $24057.80     | 0.00%             | 2036-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTR32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    573737 | PA      | $443755.88    | 0.02%             | 2043-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AMQU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467555 | PA      | $456961.38    | 0.02%             | 2045-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2004-C                                                   | CUSIP: 35729PEU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98284 | PA      | $86109.17     | 0.00%             | 2034-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167819 | PA      | $163905.49    | 0.01%             | 2037-12-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GD50<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10005006.70  | 0.44%             | 2029-10-21      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375D4S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261579 | PA      | $262150.00    | 0.01%             | 2039-07-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-2 Trust                                             | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    797470 | PA      | $775797.48    | 0.03%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606BAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $27211.62     | 0.00%             | 2021-06-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243882 | PA      | $98922.69     | 0.00%             | 2035-09-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE7                            | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3109 | PA      | $3077.70      | 0.00%             | 2034-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE8                            | CUSIP: 073879HG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379405 | PA      | $375007.92    | 0.02%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267766 | PA      | $254916.51    | 0.01%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC3                            | CUSIP: 07387NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666665 | PA      | $601252.96    | 0.03%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-20                                          | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627251 | PA      | $265064.88    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249985 | PA      | $100188.65    | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-20                                          | CUSIP: 12544QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217191 | PA      | $89760.62     | 0.00%             | 2038-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-10                                          | CUSIP: 12545CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393960 | PA      | $113718.19    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12667G7H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234106 | PA      | $159175.73    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-70CB                                                 | CUSIP: 12668A2N4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356708 | PA      | $219542.04    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-72                                                   | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240739 | PA      | $1154786.91   | 0.05%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-HE3                       | CUSIP: 00441TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733825 | PA      | $543518.50    | 0.02%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    869939 | PA      | $771343.36    | 0.03%             | 2035-10-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-46                                                   | CUSIP: 02147JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7021057 | PA      | $2439577.22   | 0.11%             | 2047-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284811 | PA      | $137567.66    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-HY13                                                 | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347729 | PA      | $312362.99    | 0.01%             | 2037-02-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3837074 | PA      | $1192973.32   | 0.05%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102081 | PA      | $50912.36     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757567 | PA      | $643670.98    | 0.03%             | 2036-03-27      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349888 | PA      | $203886.85    | 0.01%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097248 | PA      | $693157.61    | 0.03%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-AB4                                   | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254288 | PA      | $233245.51    | 0.01%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-1                                     | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16477 | PA      | $16209.89     | 0.00%             | 2036-07-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673EZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498381 | PA      | $450967.85    | 0.02%             | 2034-10-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                                 | CUSIP: 12667FYM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89832 | PA      | $76744.16     | 0.00%             | 2035-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As | Chase Funding Trust Series 2003-5                                                | CUSIP: 161546GN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72328 | PA      | $66305.19     | 0.00%             | 2032-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440315 | PA      | $156404.43    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S1                                      | CUSIP: 16163FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6455759 | PA      | $1854154.77   | 0.08%             | 2037-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-3                                                    | CUSIP: 16165AAB0<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |  10687610 | PA      | $3040479.80   | 0.13%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683985 | PA      | $408820.65    | 0.02%             | 2035-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1               | CUSIP: 16678RAT4<br>LEI: 5493000I2UKXKSXK3222 | Long             | ABS-MBS          | CORP              | US        |    365933 | PA      | $363790.08    | 0.02%             | 2035-01-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |    311859 | PA      | $279914.35    | 0.01%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAA2<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |    720838 | PA      | $780849.10    | 0.03%             | 2047-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8 | CUSIP: 1729734E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693954 | PA      | $3575052.65   | 0.16%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS Mortgage Loan Trust 2007-CB3                                              | CUSIP: 17311YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8731892 | PA      | $3126746.43   | 0.14%             | 2037-03-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2006-1                                            | CUSIP: 225470A78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55970 | PA      | $52409.17     | 0.00%             | 2036-03-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Pass-Through Certificates Series 2006-1                      | CUSIP: 225470T37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1568843 | PA      | $404684.76    | 0.02%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203845 | PA      | $97729.57     | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43901 | PA      | $31307.53     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7PQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9224627 | PA      | $9113768.20   | 0.40%             | 2042-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222113 | PA      | $221166.88    | 0.01%             | 2034-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314232 | PA      | $311817.96    | 0.01%             | 2035-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220449 | PA      | $218515.73    | 0.01%             | 2035-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-6                                           | CUSIP: 126694L30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2132263 | PA      | $1006936.57   | 0.04%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-2                                             | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490775 | PA      | $1185119.72   | 0.05%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990651 | PA      | $121998.21    | 0.01%             | 2036-10-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584390 | PA      | $311338.16    | 0.01%             | 2031-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4135917 | PA      | $2423767.81   | 0.11%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046854 | PA      | $414389.90    | 0.02%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195149 | PA      | $508173.24    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2005-AR5                                                | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4554636 | PA      | $2381301.79   | 0.10%             | 2045-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394RQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17814 | PA      | $17718.89     | 0.00%             | 2034-03-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395ABZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26177 | PA      | $26097.89     | 0.00%             | 2034-06-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396FLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334840 | PA      | $333608.12    | 0.01%             | 2035-11-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396JHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99853 | PA      | $99192.52     | 0.00%             | 2036-03-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396JWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234540 | PA      | $232675.87    | 0.01%             | 2036-04-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396REA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174428 | PA      | $173356.52    | 0.01%             | 2036-05-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7330068 | PA      | $6533626.76   | 0.28%             | 2036-04-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0J65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151197 | PA      | $150696.38    | 0.01%             | 2041-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227817 | PA      | $222990.23    | 0.01%             | 2045-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ARDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2876626 | PA      | $2844248.06   | 0.12%             | 2046-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414771 | PA      | $411292.88    | 0.02%             | 2042-07-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282211 | PA      | $987990.08    | 0.04%             | 2044-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135201 | PA      | $133843.24    | 0.01%             | 2042-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612624 | PA      | $606561.89    | 0.03%             | 2042-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524655 | PA      | $1501877.79   | 0.07%             | 2042-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ABV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88613 | PA      | $77826.88     | 0.00%             | 2043-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AJXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334750 | PA      | $1314267.21   | 0.06%             | 2044-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A3CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    879306 | PA      | $871901.66    | 0.04%             | 2040-11-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQMT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561849 | PA      | $557474.82    | 0.02%             | 2042-05-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4891941 | PA      | $4826284.57   | 0.21%             | 2047-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B0E44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770190 | PA      | $749473.03    | 0.03%             | 2048-02-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44323 | PA      | $20806.82     | 0.00%             | 2042-06-15      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AYM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142056 | PA      | $134950.88    | 0.01%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196820 | PA      | $1170479.72   | 0.05%             | 2039-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BR4Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311713 | PA      | $313020.30    | 0.01%             | 2054-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B1W99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58125 | PA      | $45867.72     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80904 | PA      | $81069.92     | 0.00%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238105 | PA      | $239225.31    | 0.01%             | 2055-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6JW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382954 | PA      | $287902.91    | 0.01%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12696 | PA      | $12714.12     | 0.00%             | 2038-03-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242721 | PA      | $238489.22    | 0.01%             | 2049-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030062 | PA      | $1028427.98   | 0.04%             | 2037-10-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348551 | PA      | $353072.01    | 0.02%             | 2038-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330250 | PA      | $286073.92    | 0.01%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429750 | PA      | $331533.61    | 0.01%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA4                                                          | CUSIP: 05530WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487965 | PA      | $925039.74    | 0.04%             | 2047-06-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-4                                                    | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270422 | PA      | $228772.60    | 0.01%             | 2036-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-2                                                    | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163016 | PA      | $140488.63    | 0.01%             | 2036-07-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178179 | PA      | $176993.25    | 0.01%             | 2042-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1269971 | PA      | $1244174.50   | 0.05%             | 2049-03-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQG64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1444490 | PA      | $1425159.79   | 0.06%             | 2049-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1803050 | PA      | $1556048.48   | 0.07%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9607382 | PA      | $6948523.62   | 0.30%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1160695 | PA      | $842513.40    | 0.04%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FQNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291880 | PA      | $254693.83    | 0.01%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707890 | PA      | $1711802.39   | 0.07%             | 2038-03-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mortgage Corp         | ABN Amro Mortgage Corp                                                           | CUSIP: 00077B5C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74367 | PA      | $74071.81     | 0.00%             | 2032-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624960 | PA      | $472820.12    | 0.02%             | 2051-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577629 | PA      | $571186.85    | 0.02%             | 2037-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-HE5                       | CUSIP: 000797AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6371252 | PA      | $1943035.69   | 0.08%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-SL3                       | CUSIP: 004423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9088293 | PA      | $68519.37     | 0.00%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121498 | PA      | $75645.08     | 0.00%             | 2035-10-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748135 | PA      | $1254665.08   | 0.05%             | 2035-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust       | Ajax Mortgage Loan Trust 2020-B                                                  | CUSIP: 00969YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364287 | PA      | $343970.93    | 0.01%             | 2059-05-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166647 | PA      | $582725.47    | 0.03%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214485 | PA      | $195693.43    | 0.01%             | 2047-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1218898 | PA      | $331190.32    | 0.01%             | 2037-08-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937749 | PA      | $1240809.42   | 0.05%             | 2037-08-25      | Floating      | 22.97%                | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-2                                   | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962690 | PA      | $328553.71    | 0.01%             | 2037-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2004-3                                   | CUSIP: 02660TBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82945 | PA      | $81410.20     | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221538 | PA      | $210683.83    | 0.01%             | 2046-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-1 Trust                                             | CUSIP: 05946XQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23152 | PA      | $22797.87     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-10                                   | CUSIP: 05948KQ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380760 | PA      | $331117.58    | 0.01%             | 2035-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396W3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308502 | PA      | $307112.55    | 0.01%             | 2037-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-9                                                    | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1444429 | PA      | $779723.99    | 0.03%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA HSG FIN CORP REVENUE   | Florida Housing Finance Corp                                                     | CUSIP: 34074NFS3<br>LEI: 549300W0PCIJCI0JCF10 | Long             | DBT              | MUN               | US        |   5915000 | PA      | $5938815.56   | 0.26%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-NQM5 Trust                                                             | CUSIP: 36168WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634727 | PA      | $632789.97    | 0.03%             | 2067-08-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-3F                                                  | CUSIP: 3622MWAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4340151 | PA      | $657554.51    | 0.03%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2095645 | PA      | $708625.75    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904479 | PA      | $781370.67    | 0.03%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE2                                            | CUSIP: 36186LAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403504 | PA      | $393534.16    | 0.02%             | 2037-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-AR1                                                             | CUSIP: 36228F6P6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1228720 | PA      | $1373060.41   | 0.06%             | 2034-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2004-2F                                                  | CUSIP: 36229RKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19926 | PA      | $20269.93     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-OA1                                                 | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659067 | PA      | $363831.35    | 0.02%             | 2037-05-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2019-2                                             | CUSIP: 36418AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35572 | PA      | $33275.33     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DYV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120628 | PA      | $117973.97    | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-BU1                                          | CUSIP: 41161PG80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457401 | PA      | $337683.23    | 0.01%             | 2046-02-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-16                                           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967388 | PA      | $1253768.48   | 0.05%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-16                                           | CUSIP: 41161PZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962267 | PA      | $343709.90    | 0.01%             | 2036-01-19      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738898 | PA      | $277540.71    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294985 | PA      | $612730.64    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029748 | PA      | $485659.17    | 0.02%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134720 | PA      | $558894.77    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-3                                                    | CUSIP: 362334BT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4832103 | PA      | $310538.96    | 0.01%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334KT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374548 | PA      | $29435.02     | 0.00%             | 2036-03-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377389 | PA      | $324208.69    | 0.01%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10817333 | PA      | $375091.02    | 0.02%             | 2046-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-8                                                  | CUSIP: 46652TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580767 | PA      | $548044.61    | 0.02%             | 2051-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2421583 | PA      | $973211.30    | 0.04%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-8                                                     | CUSIP: 52520SAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20366090 | PA      | $2203702.54   | 0.10%             | 2036-12-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18142934 | PA      | $1506199.17   | 0.07%             | 2036-09-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921586 | PA      | $260657.69    | 0.01%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-9HE                                                   | CUSIP: 881561JY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724789 | PA      | $692725.39    | 0.03%             | 2034-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-19HE                                                  | CUSIP: 881561LR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250963 | PA      | $248320.26    | 0.01%             | 2034-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $16962246.74  | 0.74%             | 2026-04-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107479 | PA      | $89706.91     | 0.00%             | 2035-12-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2169823 | PA      | $1524221.65   | 0.07%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015470 | PA      | $652296.55    | 0.03%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13302456 | PA      | $1375745.30   | 0.06%             | 2037-02-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-12                                                   | CUSIP: 362381AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3061915 | PA      | $672331.30    | 0.03%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2015-3R                                             | CUSIP: 36250FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485426 | PA      | $441936.20    | 0.02%             | 2037-01-26      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42394 | PA      | $32026.88     | 0.00%             | 2040-11-25      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398149 | PA      | $396868.36    | 0.02%             | 2041-07-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380UEE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308420 | PA      | $300052.00    | 0.01%             | 2047-12-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380Y4Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $883260.00    | 0.04%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6229785 | PA      | $1441749.83   | 0.06%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L3G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180899 | PA      | $4264542.14   | 0.19%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937721 | PA      | $332173.74    | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM18 Trust                                                             | CUSIP: 673913AA7<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |   3255659 | PA      | $3263381.80   | 0.14%             | 2064-10-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-GR2                                     | CUSIP: 36262JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468276 | PA      | $1369920.37   | 0.06%             | 2052-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42015 | PA      | $36741.08     | 0.00%             | 2035-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11314 | PA      | $10885.61     | 0.00%             | 2027-05-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| OHIO ST HSG FIN AGY RSDL MTGE  | Ohio Housing Finance Agency                                                      | CUSIP: 67756UFY9<br>LEI: 549300K10X7VPG6JVX38 | Long             | DBT              | MUN               | US        |   1215000 | PA      | $1184308.61   | 0.05%             | 2055-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KU80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150416 | PA      | $136735.34    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196467 | PA      | $171723.68    | 0.01%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CPX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9996141.20   | 0.44%             | 2028-01-31      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237226 | PA      | $213134.08    | 0.01%             | 2037-02-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                   | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459509 | PA      | $421815.36    | 0.02%             | 2036-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568854 | PA      | $501723.48    | 0.02%             | 2036-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2937268 | PA      | $1404130.34   | 0.06%             | 2037-01-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1106927 | PA      | $554323.42    | 0.02%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44042 | PA      | $50075.78     | 0.00%             | 2037-03-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341520 | PA      | $259075.34    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WZE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292201 | PA      | $224493.05    | 0.01%             | 2051-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AED2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230628 | PA      | $200655.17    | 0.01%             | 2051-09-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                       | CUSIP: 748940AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355952 | PA      | $96759.75     | 0.00%             | 2036-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1143139 | PA      | $876373.33    | 0.04%             | 2036-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust   | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714765 | PA      | $704474.66    | 0.03%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104061 | PA      | $103118.84    | 0.00%             | 2035-10-25      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415840 | PA      | $599197.93    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5445245 | PA      | $1044072.94   | 0.05%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346932 | PA      | $213706.31    | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3105131 | PA      | $676522.24    | 0.03%             | 2037-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2004-3                                          | CUSIP: 55265K8A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373996 | PA      | $287225.53    | 0.01%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979487 | PA      | $264857.04    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust   | Mastr Specialized Loan Trust                                                     | CUSIP: 576436CH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901537 | PA      | $1001784.91   | 0.04%             | 2035-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM3 Trust                                                              | CUSIP: 58004LAA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    137900 | PA      | $137747.43    | 0.01%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                        | CUSIP: 59020UAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51704 | PA      | $31042.97     | 0.00%             | 2029-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245067 | PA      | $241418.27    | 0.01%             | 2035-06-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10                      | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823029 | PA      | $1806242.42   | 0.08%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2023-INV2 Trust                                                              | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237757 | PA      | $239144.65    | 0.01%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2004-5AR                                      | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129362 | PA      | $120963.67    | 0.01%             | 2034-07-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-10XS                                     | CUSIP: 61751MAV6<br>LEI: 549300CG0N64R5CUIN87 | Long             | ABS-MBS          | CORP              | US        |    549283 | PA      | $182736.33    | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $158827.10    | 0.01%             | 2037-01-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S8 Trust                                                       | CUSIP: 74957XAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819711 | PA      | $573173.33    | 0.02%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO4 Trust                                                       | CUSIP: 75114GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010864 | PA      | $967782.98    | 0.04%             | 2046-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354190 | PA      | $359703.39    | 0.02%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76671 | PA      | $111586.82    | 0.00%             | 2037-04-25      | Floating      | 23.39%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431540 | PA      | $342221.61    | 0.01%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QO2 Trust                                                       | CUSIP: 761118VY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7163433 | PA      | $1160779.13   | 0.05%             | 2046-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76892 | PA      | $45493.14     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YSN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35254989 | PA      | $34813889.12  | 1.52%             | 2052-09-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417987 | PA      | $208577.86    | 0.01%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR4                                               | CUSIP: 76112BUF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79875 | PA      | $57595.79     | 0.00%             | 2035-07-19      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A1                                   | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299839 | PA      | $90015.21     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       967 | PA      | $771.30       | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-I Trust                                             | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1166286 | PA      | $1060299.87   | 0.05%             | 2046-12-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | C-BASS 2007-CB4 Trust                                                            | CUSIP: 1248MEAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $569710.72    | 0.02%             | 2037-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385D3T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286627 | PA      | $287568.49    | 0.01%             | 2055-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385GGZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359689 | PA      | $299955.27    | 0.01%             | 2055-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59217 | PA      | $54868.83     | 0.00%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HYB2                                        | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260022 | PA      | $239814.15    | 0.01%             | 2047-02-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1607236 | PA      | $344892.80    | 0.02%             | 2037-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-7R                                                               | CUSIP: 12647DBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4357347 | PA      | $836065.88    | 0.04%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  3 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517575 | PA      | $443094.48    | 0.02%             | 2045-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192162 | PA      | $189694.15    | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2014-6R                                                              | CUSIP: 12648PCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246581 | PA      | $232722.69    | 0.01%             | 2036-08-27      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-1R                                                              | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26275 | PA      | $25297.17     | 0.00%             | 2037-05-27      | Floating      | 4.35%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-19CB                                                 | CUSIP: 12667GGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240072 | PA      | $187729.57    | 0.01%             | 2035-06-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174370 | PA      | $157804.52    | 0.01%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-25                                          | CUSIP: 126694JQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394258 | PA      | $174709.09    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2003-J3                                                   | CUSIP: 12669FEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83377 | PA      | $82756.56     | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-3 Mortgage Loan Trust                                                  | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |   6631532 | PA      | $6669656.53   | 0.29%             | 2068-09-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950424 | PA      | $403160.29    | 0.02%             | 2035-09-25      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458UK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32511 | PA      | $31936.71     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470R21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193599 | PA      | $443386.91    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1                                | CUSIP: 251563CA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26402 | PA      | $26137.94     | 0.00%             | 2033-12-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6292459 | PA      | $28321.73     | 0.00%             | 2036-04-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1545981 | PA      | $1425604.21   | 0.06%             | 2036-04-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2092485 | PA      | $237550.38    | 0.01%             | 2036-04-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-6                                            | CUSIP: 41161PQR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218946 | PA      | $186915.32    | 0.01%             | 2045-07-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-NQM4 Trust                                                             | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822672 | PA      | $825576.46    | 0.04%             | 2069-12-26      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169401 | PA      | $148940.82    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO 2024-NQM6                                                                  | CUSIP: 05613JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322597 | PA      | $323067.33    | 0.01%             | 2064-08-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961248 | PA      | $823642.62    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2023-NQM2 Trust                                                             | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705391 | PA      | $706404.16    | 0.03%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6784644 | PA      | $1171158.42   | 0.05%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2008-QR1 Trust                                                       | CUSIP: 74925FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195787 | PA      | $158878.02    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-A                                                    | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401832 | PA      | $331390.46    | 0.01%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774161 | PA      | $1312533.95   | 0.06%             | 2037-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-B                                                    | CUSIP: 74928BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10424981 | PA      | $9552773.61   | 0.42%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009BB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054370 | PA      | $831245.81    | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2004-OP2                          | CUSIP: 81375WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405084 | PA      | $412080.23    | 0.02%             | 2034-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2005-EC1                          | CUSIP: 81375WDF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175931 | PA      | $239529.74    | 0.01%             | 2035-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-3                                                 | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2239573 | PA      | $2145186.75   | 0.09%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT2                                              | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4845706 | PA      | $4456705.49   | 0.19%             | 2037-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT5                                              | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6009070 | PA      | $4734957.04   | 0.21%             | 2037-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-R1                                               | CUSIP: 924926AA6<br>LEI: 213800A8V9BALJ9WKP38 | Long             | ABS-MBS          | CORP              | US        |    381957 | PA      | $382905.48    | 0.02%             | 2069-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-4                                                | CUSIP: 92540UAC1<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |    202015 | PA      | $202744.06    | 0.01%             | 2070-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290146 | PA      | $192214.34    | 0.01%             | 2036-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2013-4                                              | CUSIP: 74932FAB0<br>LEI: 549300WI4CNLL8T7Q274 | Long             | ABS-MBS          | CORP              | US        |    685504 | PA      | $593038.02    | 0.03%             | 2037-12-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C | RASC Series 2005-EMX1 Trust                                                      | CUSIP: 76110WQ90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189397 | PA      | $178688.63    | 0.01%             | 2035-03-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54922 | PA      | $58455.62     | 0.00%             | 2036-01-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 10                                                        | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21818 | PA      | $20515.06     | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-OPT3                                              | CUSIP: 83611MPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10641 | PA      | $10611.60     | 0.00%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2006-OPT5                                              | CUSIP: 83612CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300688 | PA      | $3083820.22   | 0.13%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456286 | PA      | $425336.73    | 0.02%             | 2035-10-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R8 Trust                                            | CUSIP: 05956GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263562 | PA      | $146603.21    | 0.01%             | 2036-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2025-NQM3                                           | CUSIP: 06745VAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24826437 | PA      | $24934389.41  | 1.09%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37096 | PA      | $31679.83     | 0.00%             | 2036-12-25      | Variable      | 4.26%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust                    | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122482 | PA      | $101553.88    | 0.00%             | 2037-05-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12526 | PA      | $11901.01     | 0.00%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                    | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98768 | PA      | $85064.19     | 0.00%             | 2037-04-25      | Variable      | 3.65%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                   | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89857 | PA      | $78712.72     | 0.00%             | 2037-01-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85909 | PA      | $68512.10     | 0.00%             | 2046-06-25      | Floating      | 4.85%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Home Equity Trust  | Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust                     | CUSIP: 9497EAAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $196303.68    | 0.01%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2005-1 Trust                                        | CUSIP: 94981FAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    676418 | PA      | $637218.94    | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107579 | PA      | $103174.42    | 0.00%             | 2034-03-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust                            | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165532 | PA      | $163416.90    | 0.01%             | 2036-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-2                                              | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410670 | PA      | $392458.12    | 0.02%             | 2036-12-26      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2624150 | PA      | $2155264.55   | 0.09%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWU44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99173 | PA      | $85140.38     | 0.00%             | 2047-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6EY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510494 | PA      | $254203.30    | 0.01%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-4                                                 | CUSIP: 78473WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110656 | PA      | $81711.04     | 0.00%             | 2037-10-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                   | SACO I Inc                                                                       | CUSIP: 785778DH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120198 | PA      | $119259.29    | 0.01%             | 2035-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283108 | PA      | $118134.39    | 0.01%             | 2036-05-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR6                          | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737724 | PA      | $1235134.78   | 0.05%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-8                     | CUSIP: 86361JAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3759337 | PA      | $3501972.41   | 0.15%             | 2036-09-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                     | CUSIP: 86363GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185084 | PA      | $175906.79    | 0.01%             | 2047-04-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2004-4                                       | CUSIP: 885220GB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131188 | PA      | $123783.94    | 0.01%             | 2044-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| STRIPS                         | United States Treasury Strip Coupon                                              | CUSIP: 912834KB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $18792755.00  | 0.82%             | 2045-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-6                                                    | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78479 | PA      | $77693.74     | 0.00%             | 2033-08-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-ST1                            | CUSIP: 073886AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2833803 | PA      | $201908.45    | 0.01%             | 2036-10-25      | Floating      | 3.26%                 | No            |                  3 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HX5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920957 | PA      | $908898.20    | 0.04%             | 2042-09-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3133Q3L66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856231 | PA      | $860269.76    | 0.04%             | 2054-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1MQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179026 | PA      | $174171.40    | 0.01%             | 2048-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2CF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641379 | PA      | $634560.90    | 0.03%             | 2033-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4SP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957124 | PA      | $826450.18    | 0.04%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4ZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176302 | PA      | $173482.42    | 0.01%             | 2049-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8J25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225682 | PA      | $225056.21    | 0.01%             | 2033-02-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A9WQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2831519 | PA      | $2232535.76   | 0.10%             | 2041-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ABET4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720561 | PA      | $593572.72    | 0.03%             | 2041-05-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AMAF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1540449 | PA      | $1527641.32   | 0.07%             | 2042-02-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASEM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173613 | PA      | $171056.97    | 0.01%             | 2042-07-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BBQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1007794 | PA      | $771577.11    | 0.03%             | 2044-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FHEB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592935 | PA      | $577385.31    | 0.03%             | 2048-07-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1902536 | PA      | $1864499.36   | 0.08%             | 2049-05-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FU6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2426004 | PA      | $2369354.36   | 0.10%             | 2050-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FWXN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689781 | PA      | $534375.27    | 0.02%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4256551 | PA      | $3238884.06   | 0.14%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1U46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289617 | PA      | $218529.35    | 0.01%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2R22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280327 | PA      | $220375.72    | 0.01%             | 2048-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891766 | PA      | $714307.55    | 0.03%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HJAV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579196 | PA      | $584521.19    | 0.03%             | 2054-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687200 | PA      | $688172.16    | 0.03%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T4                                                 | CUSIP: 31392B6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    702429 | PA      | $746586.11    | 0.03%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2004-W14                                                  | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |   1356933 | PA      | $1319204.69   | 0.06%             | 2044-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396R3N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20591 | PA      | $20510.24     | 0.00%             | 2034-02-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15524 | PA      | $15358.84     | 0.00%             | 2036-11-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2047032 | PA      | $1506925.63   | 0.07%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7SD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785075 | PA      | $625228.41    | 0.03%             | 2050-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397EWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200636 | PA      | $198356.15    | 0.01%             | 2037-02-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486446 | PA      | $486733.61    | 0.02%             | 2040-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA2                     | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258642 | PA      | $213113.61    | 0.01%             | 2036-05-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2025-NQM3 Trust                                                             | CUSIP: 36171MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12074469 | PA      | $12119419.38  | 0.53%             | 2070-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8P80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306068 | PA      | $244923.53    | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-AR1                                                 | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248090 | PA      | $129582.45    | 0.01%             | 2047-03-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374XAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702748 | PA      | $705400.51    | 0.03%             | 2039-03-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375KAD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1538995 | PA      | $1520321.81   | 0.07%             | 2037-05-16      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55797 | PA      | $55787.73     | 0.00%             | 2064-04-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375X8F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416761 | PA      | $416761.78    | 0.02%             | 2038-08-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376V4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388670 | PA      | $389256.50    | 0.02%             | 2040-02-16      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378FWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109301 | PA      | $103083.57    | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178503 | PA      | $143449.59    | 0.01%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-AC5                            | CUSIP: 07388BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3770009 | PA      | $1266229.90   | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1408468 | PA      | $444457.78    | 0.02%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61274 | PA      | $57505.00     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM2                                        | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3038409 | PA      | $3055512.65   | 0.13%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2023-NQM5                                        | CUSIP: 10569UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007142 | PA      | $1007977.36   | 0.04%             | 2063-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1204068 | PA      | $999220.04    | 0.04%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301485 | PA      | $241850.12    | 0.01%             | 2035-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-50CB                                                 | CUSIP: 12668ALJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918593 | PA      | $381895.18    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239090 | PA      | $25090.66     | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-1                                                    | CUSIP: 362341Z36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4378097 | PA      | $1154477.02   | 0.05%             | 2036-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Charlie Mac                    | Charlie Mac Trust 2004-1                                                         | CUSIP: 160762AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25061 | PA      | $23528.03     | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271852 | PA      | $259992.96    | 0.01%             | 2035-12-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAA0<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |    254606 | PA      | $228666.85    | 0.01%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12705992 | PA      | $2891976.54   | 0.13%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QHE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    993348 | PA      | $1000437.52   | 0.04%             | 2031-03-01      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505HL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3859471 | PA      | $38.59        | 0.00%             | 2026-09-15      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2024780 | PA      | $1548032.45   | 0.07%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48000 | PA      | $24326.40     | 0.00%             | 2049-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290582 | PA      | $149278.31    | 0.01%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YWM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2441391 | PA      | $2406415.20   | 0.10%             | 2052-09-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKAN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8392846 | PA      | $8198384.31   | 0.36%             | 2057-08-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FL2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159686 | PA      | $158264.20    | 0.01%             | 2049-03-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNGY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431191 | PA      | $290198.71    | 0.01%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693802 | PA      | $679320.55    | 0.03%             | 2049-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492262 | PA      | $481943.26    | 0.02%             | 2049-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FY3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1124779 | PA      | $848413.73    | 0.04%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-RE1                     | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42176 | PA      | $24973.33     | 0.00%             | 2035-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Mortgage Trust        | FirstKey Mortgage Trust 2015-1                                                   | CUSIP: 33767CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42870 | PA      | $40137.60     | 0.00%             | 2045-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ABSC MANUFACTURED HOUSING CONT | ABSC Manufactured Housing Contract Resecuritization Trust 2004-CNF1              | CUSIP: 00081WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994170 | PA      | $999365.07    | 0.04%             | 2030-12-02      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184635 | PA      | $184877.18    | 0.01%             | 2054-03-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust Series 2007-AR2                                | CUSIP: 39539LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400652 | PA      | $400843.34    | 0.02%             | 2037-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6486065 | PA      | $877819.55    | 0.04%             | 2037-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372644 | PA      | $426764.47    | 0.02%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-5                                            | CUSIP: 41161MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9906772 | PA      | $5100782.04   | 0.22%             | 2046-07-19      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-5                                            | CUSIP: 41161PFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202149 | PA      | $1132238.19   | 0.05%             | 2034-06-19      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439012 | PA      | $399576.51    | 0.02%             | 2034-11-19      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523540 | PA      | $615984.72    | 0.03%             | 2036-02-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4J65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60941 | PA      | $59891.63     | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4482454 | PA      | $4037262.57   | 0.18%             | 2037-08-19      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-4                                                    | CUSIP: 45254NJB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344266 | PA      | $352134.68    | 0.02%             | 2034-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2023-1                                                  | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165813 | PA      | $165322.32    | 0.01%             | 2067-09-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702121 | PA      | $464625.16    | 0.02%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295997 | PA      | $77967.29     | 0.00%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                            | CUSIP: 04685A4M0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4995371.15   | 0.22%             | 2028-03-06      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119310 | PA      | $1071862.59   | 0.05%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105088 | PA      | $94581.20     | 0.00%             | 2037-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578724 | PA      | $506986.53    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A95L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608821 | PA      | $599638.94    | 0.03%             | 2042-11-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9PC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148366 | PA      | $106345.09    | 0.00%             | 2042-11-25      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60786 | PA      | $52757.76     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156955 | PA      | $392664.83    | 0.02%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377770 | PA      | $276547.08    | 0.01%             | 2037-08-25      | Floating      | 16.24%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247669 | PA      | $176593.40    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-4 Trust                                             | CUSIP: 05950FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240509 | PA      | $1782730.27   | 0.08%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009697 | PA      | $995225.54    | 0.04%             | 2043-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813801 | PA      | $799997.03    | 0.03%             | 2043-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2022-NQM4                                           | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073268 | PA      | $1069554.73   | 0.05%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C                  | CUSIP: 456606FY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579288 | PA      | $490252.38    | 0.02%             | 2035-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245854 | PA      | $177349.44    | 0.01%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581257 | PA      | $453266.93    | 0.02%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ANPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190503 | PA      | $186363.13    | 0.01%             | 2045-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334285 | PA      | $1146418.11   | 0.05%             | 2051-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR9                                        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67860 | PA      | $58892.33     | 0.00%             | 2036-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2648172 | PA      | $913614.61    | 0.04%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149034 | PA      | $91189.92     | 0.00%             | 2051-10-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BK5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2084453 | PA      | $1791031.52   | 0.08%             | 2047-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR37                                       | CUSIP: 45668LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39591 | PA      | $31350.49     | 0.00%             | 2037-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1                        | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218714 | PA      | $214806.19    | 0.01%             | 2036-02-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474315 | PA      | $287950.29    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757896 | PA      | $549750.66    | 0.02%             | 2050-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2748478 | PA      | $409388.76    | 0.02%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-6AR                                      | CUSIP: 61748HML2<br>LEI: 5493009TSYV65TPO7151 | Long             | ABS-MBS          | CORP              | US        |    521979 | PA      | $457929.97    | 0.02%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AHA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177888 | PA      | $163962.28    | 0.01%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AMK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403225 | PA      | $399848.90    | 0.02%             | 2042-02-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQ7B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396505 | PA      | $396282.35    | 0.02%             | 2032-05-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AS4Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75289 | PA      | $74513.95     | 0.00%             | 2042-07-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737836 | PA      | $697654.24    | 0.03%             | 2047-02-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75640 | PA      | $60857.89     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-4 Trust                                             | CUSIP: 05953YBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148744 | PA      | $114498.86    | 0.00%             | 2037-06-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2009-R14 Trust                                           | CUSIP: 05955MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404039 | PA      | $340788.22    | 0.01%             | 2035-07-26      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition  | Bayview Financial Mortgage Pass-Through Trust 2006-C                             | CUSIP: 07325DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665295 | PA      | $637587.78    | 0.03%             | 2036-11-28      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 126673CE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616461 | PA      | $567011.98    | 0.02%             | 2034-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328108 | PA      | $290280.68    | 0.01%             | 2035-08-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089922 | PA      | $1031589.04   | 0.04%             | 2046-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-1T1                                                  | CUSIP: 23246KAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3079562 | PA      | $1092863.62   | 0.05%             | 2037-03-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2006-AR1                                                | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010762 | PA      | $1626481.03   | 0.07%             | 2046-04-19      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378983 | PA      | $330082.67    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2008-RS1        | CUSIP: 25156BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023213 | PA      | $957486.94    | 0.04%             | 2037-05-28      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc             | Equity One Mortgage Pass-Through Trust 2004-3                                    | CUSIP: 294751FA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667699 | PA      | $566908.20    | 0.02%             | 2034-07-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2D59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99434 | PA      | $71372.91     | 0.00%             | 2041-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2WJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163937 | PA      | $143539.57    | 0.01%             | 2041-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9P28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $41775.90     | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156779 | PA      | $128818.66    | 0.01%             | 2043-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599436 | PA      | $593108.67    | 0.03%             | 2044-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ASFJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18732 | PA      | $18595.33     | 0.00%             | 2041-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BFXK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1205112 | PA      | $1185279.12   | 0.05%             | 2045-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FCP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433334 | PA      | $378703.37    | 0.02%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394461 | PA      | $397018.48    | 0.02%             | 2041-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2154974 | PA      | $2101963.60   | 0.09%             | 2043-10-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2898257 | PA      | $2199011.27   | 0.10%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655476 | PA      | $523791.79    | 0.02%             | 2036-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305508 | PA      | $1094533.58   | 0.05%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1CS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    968522 | PA      | $854131.36    | 0.04%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3GA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3396798 | PA      | $3314735.32   | 0.14%             | 2048-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4345 | PA      | $4323.46      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77780 | PA      | $77034.80     | 0.00%             | 2036-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240422 | PA      | $238528.93    | 0.01%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169375 | PA      | $168457.45    | 0.01%             | 2037-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476870 | PA      | $403292.72    | 0.02%             | 2051-02-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RGV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448231 | PA      | $344109.43    | 0.02%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476174 | PA      | $365546.40    | 0.02%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AUP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391521 | PA      | $304183.88    | 0.01%             | 2050-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384CBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1462153 | PA      | $966481.51    | 0.04%             | 2051-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200955 | PA      | $176465.34    | 0.01%             | 2037-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2583200 | PA      | $1959083.27   | 0.09%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8F65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96630 | PA      | $46176.13     | 0.00%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F9WS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196923 | PA      | $145496.73    | 0.01%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FAWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1736977 | PA      | $1683990.83   | 0.07%             | 2038-05-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496970 | PA      | $416214.64    | 0.02%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-5                     | CUSIP: 86363XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973728 | PA      | $1647344.15   | 0.07%             | 2037-06-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75990 | PA      | $51849.11     | 0.00%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBE81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4093890 | PA      | $3817123.36   | 0.17%             | 2050-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3122163 | PA      | $2304124.33   | 0.10%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547169 | PA      | $1489890.03   | 0.06%             | 2050-11-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430240 | PA      | $372426.67    | 0.02%             | 2051-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354045 | PA      | $1172079.61   | 0.05%             | 2051-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384972 | PA      | $1192617.41   | 0.05%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYA30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8029530 | PA      | $6458741.59   | 0.28%             | 2050-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394FG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143223 | PA      | $142919.38    | 0.01%             | 2035-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394V4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190377 | PA      | $188917.93    | 0.01%             | 2036-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394VZ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144312 | PA      | $143139.31    | 0.01%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220737 | PA      | $219367.26    | 0.01%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19572 | PA      | $19524.51     | 0.00%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508603 | PA      | $506799.70    | 0.02%             | 2037-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2009-4R                                                 | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2391760 | PA      | $1739714.35   | 0.08%             | 2036-12-26      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-19                                                   | CUSIP: 362244AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73765 | PA      | $18635.72     | 0.00%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-NC1                                                             | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226789 | PA      | $1097137.48   | 0.05%             | 2046-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-OPT                                                             | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36860 | PA      | $36013.87     | 0.00%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP1                                               | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25234 | PA      | $21853.05     | 0.00%             | 2035-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377YXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211442 | PA      | $209475.59    | 0.01%             | 2041-10-16      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378DAB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    906960 | PA      | $861015.49    | 0.04%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379WFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1266804 | PA      | $1257846.01   | 0.05%             | 2046-04-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2013-2                                                | CUSIP: 00214CAV7<br>LEI: 549300U5XN3K6DTLD558 | Long             | ABS-MBS          | CORP              | US        |   2078223 | PA      | $1879493.18   | 0.08%             | 2035-12-28      | Variable      | 4.70%                 | No            |                  3 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2004-RM1                       | CUSIP: 004421FU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176647 | PA      | $172327.24    | 0.01%             | 2034-07-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380WRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827652 | PA      | $804939.35    | 0.04%             | 2048-04-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888241 | PA      | $159038.05    | 0.01%             | 2049-04-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381XAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6102400 | PA      | $5632259.81   | 0.25%             | 2049-07-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176073 | PA      | $163982.87    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331319 | PA      | $165354.14    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400545 | PA      | $191676.99    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44132 | PA      | $22219.07     | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2002-NC1 Trust                                                              | CUSIP: 04542BBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284082 | PA      | $289597.45    | 0.01%             | 2032-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1928221 | PA      | $2004792.44   | 0.09%             | 2033-05-01      | Variable      | 13.01%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-5 Trust                                             | CUSIP: 05946XF57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120330 | PA      | $118280.73    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-E Trust                                             | CUSIP: 05946XXW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985833 | PA      | $766309.19    | 0.03%             | 2035-06-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419392 | PA      | $354130.98    | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust 2007-2                                                 | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506473 | PA      | $545221.60    | 0.02%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR3 Trust   | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93179 | PA      | $82687.16     | 0.00%             | 2033-06-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    617527 | PA      | $499447.41    | 0.02%             | 2051-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HADW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634735 | PA      | $441588.15    | 0.02%             | 2050-09-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H46S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634528 | PA      | $512956.86    | 0.02%             | 2050-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779383 | PA      | $781681.45    | 0.03%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-AR3 Trust                            | CUSIP: 94983UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571563 | PA      | $1404305.81   | 0.06%             | 2037-04-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-1                                    | CUSIP: 059496AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204582 | PA      | $186542.97    | 0.01%             | 2022-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899551 | PA      | $851778.42    | 0.04%             | 2047-05-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298095 | PA      | $300457.05    | 0.01%             | 2055-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKL85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    916589 | PA      | $923058.02    | 0.04%             | 2055-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R6 Trust                                            | CUSIP: 05969KAG8<br>LEI: 549300R28UJ0IF8WGK39 | Long             | ABS-MBS          | CORP              | US        |    749657 | PA      | $683125.23    | 0.03%             | 2036-10-26      | Variable      | 4.06%                 | No            |                  3 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2023-NQM1                                           | CUSIP: 066940AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155217 | PA      | $155809.72    | 0.01%             | 2063-01-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-IM1                            | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2332303 | PA      | $2548090.33   | 0.11%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2025-NQM4                                        | CUSIP: 10570QAE1<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-MBS          | CORP              | US        |    934002 | PA      | $938504.27    | 0.04%             | 2065-02-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395LUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135887 | PA      | $123833.17    | 0.01%             | 2035-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395WT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179806 | PA      | $177915.16    | 0.01%             | 2035-07-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383P6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10461890 | PA      | $10019783.89  | 0.44%             | 2052-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust Series 2007-AR2                                | CUSIP: 39539LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243385 | PA      | $216863.52    | 0.01%             | 2047-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY1                                         | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1062752 | PA      | $997509.60    | 0.04%             | 2037-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363824 | PA      | $321037.74    | 0.01%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396EUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560477 | PA      | $556561.79    | 0.02%             | 2035-11-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2004-FF7                                      | CUSIP: 32027NLG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735271 | PA      | $816625.19    | 0.04%             | 2034-09-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2X2<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   1812071 | PA      | $646311.56    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W1                                                   | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11579 | PA      | $11556.80     | 0.00%             | 2042-12-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72278 | PA      | $71622.09     | 0.00%             | 2035-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395DVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62052 | PA      | $61778.58     | 0.00%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307901 | PA      | $303885.23    | 0.01%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396XD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579475 | PA      | $577319.43    | 0.03%             | 2037-11-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432436 | PA      | $428285.65    | 0.02%             | 2036-11-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-NQM3 Trust                                                             | CUSIP: 36168MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487685 | PA      | $486012.65    | 0.02%             | 2067-04-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-17                                                   | CUSIP: 362257AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3798561 | PA      | $1163805.55   | 0.05%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289647 | PA      | $259313.98    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-4 Mortgage Loan Trust                                                  | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |   1744647 | PA      | $1756934.50   | 0.08%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6A8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5946618 | PA      | $4675032.24   | 0.20%             | 2035-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-36                                                   | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187194 | PA      | $176135.08    | 0.01%             | 2035-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523800 | PA      | $489409.00    | 0.02%             | 2047-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3261869 | PA      | $1558234.93   | 0.07%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362341AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225826 | PA      | $214812.92    | 0.01%             | 2035-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770008 | PA      | $342366.38    | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715562 | PA      | $1393420.84   | 0.06%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                   | CUSIP: 929227XE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60135 | PA      | $57345.35     | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227776 | PA      | $207032.24    | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398638 | PA      | $194641.28    | 0.01%             | 2046-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-11                                                   | CUSIP: 362367AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600735 | PA      | $823226.10    | 0.04%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460808 | PA      | $311099.76    | 0.01%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GEORGIA ST HSG & FIN AUTH REVE | Georgia Housing & Finance Authority                                              | CUSIP: 37353PSR1<br>LEI: 549300I628IMF9PWV724 | Long             | DBT              | MUN               | US        |   5175000 | PA      | $5243869.42   | 0.23%             | 2050-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376CAC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702463 | PA      | $706787.08    | 0.03%             | 2039-08-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376LLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936095 | PA      | $926732.48    | 0.04%             | 2041-06-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378GG85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113415 | PA      | $100057.98    | 0.00%             | 2042-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380XSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349042 | PA      | $318788.98    | 0.01%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382C2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357061 | PA      | $303444.79    | 0.01%             | 2050-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382DZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9393727 | PA      | $9205607.89   | 0.40%             | 2050-03-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429998 | PA      | $193678.12    | 0.01%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2700863 | PA      | $2189618.01   | 0.10%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6144481 | PA      | $1734185.22   | 0.08%             | 2031-06-20      | Variable      | 8.35%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274153 | PA      | $262839.77    | 0.01%             | 2045-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2006-AR1                                       | CUSIP: 39538WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90333 | PA      | $83080.24     | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660590 | PA      | $317078.44    | 0.01%             | 2036-07-21      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-7                                            | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434836 | PA      | $166520.18    | 0.01%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314531 | PA      | $183049.61    | 0.01%             | 2035-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-9                                            | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262159 | PA      | $242829.26    | 0.01%             | 2035-06-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-7                                            | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208381 | PA      | $197636.83    | 0.01%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274714 | PA      | $268077.30    | 0.01%             | 2037-07-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST HSG DEV AUTH REVEN | Illinois Housing Development Authority                                           | CUSIP: 45203MW31<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | DBT              | MUN               | US        |   6000000 | PA      | $6010900.80   | 0.26%             | 2051-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-8                                                    | CUSIP: 45254NRH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816086 | PA      | $774570.18    | 0.03%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2001-C                  | CUSIP: 456606DD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381687 | PA      | $398258.86    | 0.02%             | 2032-12-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR13                                       | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161154 | PA      | $100520.10    | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770959 | PA      | $36551.85     | 0.00%             | 2035-05-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241063 | PA      | $176062.77    | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409013 | PA      | $365919.38    | 0.02%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237059 | PA      | $232195.53    | 0.01%             | 2050-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2005-S1                                         | CUSIP: 46627MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10097 | PA      | $6545.37      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952335 | PA      | $554518.86    | 0.02%             | 2036-05-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-CH2                                    | CUSIP: 46629QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528557 | PA      | $309938.23    | 0.01%             | 2036-10-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835136 | PA      | $245303.40    | 0.01%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR11 Trust                   | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92437 | PA      | $86645.33     | 0.00%             | 2034-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311237 | PA      | $286494.38    | 0.01%             | 2035-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1404680 | PA      | $1223051.70   | 0.05%             | 2035-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255161 | PA      | $218283.98    | 0.01%             | 2035-07-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656095 | PA      | $1291792.98   | 0.06%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537001 | PA      | $254728.20    | 0.01%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-34CB                                                 | CUSIP: 12667GW58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287145 | PA      | $18534.29     | 0.00%             | 2035-09-25      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2003-AC4                              | CUSIP: 07384YKF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69680 | PA      | $62009.21     | 0.00%             | 2033-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2003-6                                                  | CUSIP: 07386HED9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112911 | PA      | $107095.14    | 0.00%             | 2034-01-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-3                                                  | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100857 | PA      | $100393.14    | 0.00%             | 2034-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-FR2                            | CUSIP: 073879FK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334034 | PA      | $414416.18    | 0.02%             | 2034-06-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2986405 | PA      | $878240.03    | 0.04%             | 2037-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-3                                                  | CUSIP: 46647EAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826384 | PA      | $738085.71    | 0.03%             | 2046-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-4                                                  | CUSIP: 46647JAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878125 | PA      | $752999.47    | 0.03%             | 2046-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-7N                                                   | CUSIP: 525221EN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174531 | PA      | $145384.15    | 0.01%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-10                                                   | CUSIP: 525221FM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996630 | PA      | $865431.39    | 0.04%             | 2036-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260084 | PA      | $248983.86    | 0.01%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-3                                                           | CUSIP: 525245AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227598 | PA      | $237867.84    | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-6                                                           | CUSIP: 52524PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460015 | PA      | $382115.93    | 0.02%             | 2037-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-16N                                                  | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6758408 | PA      | $6257148.39   | 0.27%             | 2047-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2004-4                                            | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20340 | PA      | $19865.88     | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4752645 | PA      | $1873567.45   | 0.08%             | 2035-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust        | Home Equity Asset Trust                                                          | CUSIP: 2254W0AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144559 | PA      | $140567.57    | 0.01%             | 2033-05-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2006-2                                           | CUSIP: 40431HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283550 | PA      | $71493.79     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S | HOMES 2023-NQM1 Trust                                                            | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124828 | PA      | $124252.13    | 0.01%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-11                                                   | CUSIP: 45254NMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230309 | PA      | $212722.13    | 0.01%             | 2035-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22784 | PA      | $14103.08     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102134 | PA      | $37479.39     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319311 | PA      | $307019.35    | 0.01%             | 2035-11-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AY33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807492 | PA      | $1139452.32   | 0.05%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-HYB2                                        | CUSIP: 126694C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198527 | PA      | $177065.25    | 0.01%             | 2036-04-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                           | CUSIP: 126694Y28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075663 | PA      | $361429.79    | 0.02%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-48                                          | CUSIP: 12669EV29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222660 | PA      | $205306.44    | 0.01%             | 2033-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-15                                          | CUSIP: 12669FL68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112424 | PA      | $106481.63    | 0.00%             | 2034-10-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-9                                           | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93580 | PA      | $82908.93     | 0.00%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59706 | PA      | $19551.42     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                                      | CUSIP: 16158RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144000 | PA      | $111933.98    | 0.00%             | 2049-04-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2412348 | PA      | $712921.78    | 0.03%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4               | CUSIP: 16678RCE5<br>LEI: 549300BO65N44G8TZI31 | Long             | ABS-MBS          | CORP              | US        |   2236576 | PA      | $1901035.58   | 0.08%             | 2035-10-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAB2<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   3115046 | PA      | $2429222.86   | 0.11%             | 2047-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707284 | PA      | $518683.33    | 0.02%             | 2035-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GQY7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    154095 | PA      | $148231.49    | 0.01%             | 2035-05-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GVL9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    728369 | PA      | $674251.35    | 0.03%             | 2035-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A1                               | CUSIP: 17309AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164301 | PA      | $150549.90    | 0.01%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A2                               | CUSIP: 17309CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2441817 | PA      | $2317408.63   | 0.10%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage  | Citicorp Residential Mortgage Trust Series 2006-3                                | CUSIP: 17310NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339793 | PA      | $325688.11    | 0.01%             | 2036-11-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR1                                           | CUSIP: 17310UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929947 | PA      | $1064692.92   | 0.05%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376100 | PA      | $996682.98    | 0.04%             | 2037-01-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2014-12                                            | CUSIP: 17323HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2022230 | PA      | $1531640.41   | 0.07%             | 2037-02-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-A                                            | CUSIP: 542515AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    971811 | PA      | $15469.09     | 0.00%             | 2036-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544943 | PA      | $287255.43    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2006-2                                     | CUSIP: 576438AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57792 | PA      | $25472.67     | 0.00%             | 2036-04-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E                        | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72419 | PA      | $68156.88     | 0.00%             | 2028-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust   | Meritage Mortgage Loan Trust 2004-1                                              | CUSIP: 59001FAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240956 | PA      | $226950.71    | 0.01%             | 2034-07-25      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| Merrill Lynch First Franklin M | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5                   | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2612346 | PA      | $1591047.08   | 0.07%             | 2037-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-HE6                                  | CUSIP: 61744CFC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90207 | PA      | $90190.61     | 0.00%             | 2034-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAG1<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   2874284 | PA      | $928177.45    | 0.04%             | 2036-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517881 | PA      | $371858.59    | 0.02%             | 2036-06-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11089 | PA      | $7851.40      | 0.00%             | 2036-06-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192833 | PA      | $50259.13     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228019 | PA      | $220405.07    | 0.01%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295268 | PA      | $2301368.33   | 0.10%             | 2033-09-01      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5282906 | PA      | $5388493.39   | 0.23%             | 2033-12-01      | Variable      | 9.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-6XS                                      | CUSIP: 61751JAL5<br>LEI: 54930082QRSQQM7E0E88 | Long             | ABS-MBS          | CORP              | US        |   1655815 | PA      | $515942.22    | 0.02%             | 2047-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5348588 | PA      | $1318316.11   | 0.06%             | 2046-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2007-HE7                                  | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105000 | PA      | $1878259.29   | 0.08%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2006-S1                                       | CUSIP: 64352VQC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10268381 | PA      | $203577.84    | 0.01%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | New York Mortgage Trust 2006-1                                                   | CUSIP: 649603AP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24811 | PA      | $20162.24     | 0.00%             | 2036-05-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                       | CUSIP: 748940AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205686 | PA      | $163836.42    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203752 | PA      | $919437.22    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699890 | PA      | $295171.70    | 0.01%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH9 Trust                                                       | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303974 | PA      | $256369.06    | 0.01%             | 2037-11-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S7 Trust                                                       | CUSIP: 74958AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254460 | PA      | $217236.14    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S3 Trust                                                       | CUSIP: 74958BAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269218 | PA      | $184733.77    | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA1 Trust                                                      | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118148 | PA      | $76508.28     | 0.00%             | 2037-02-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209378 | PA      | $167472.72    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25467 | PA      | $7928.21      | 0.00%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70396 | PA      | $68543.74     | 0.00%             | 2035-08-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781616 | PA      | $27682.16     | 0.00%             | 2035-11-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9137255 | PA      | $682488.97    | 0.03%             | 2036-08-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1546630 | PA      | $737444.37    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204431 | PA      | $90855.02     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12958277 | PA      | $2840670.72   | 0.12%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84298 | PA      | $60951.24     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A6                                   | CUSIP: 76114CAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428943 | PA      | $697577.89    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC8                            | CUSIP: 073879Z43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3019571 | PA      | $721551.63    | 0.03%             | 2035-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515021 | PA      | $227061.21    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354627 | PA      | $288919.61    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1351480 | PA      | $152144.21    | 0.01%             | 2036-12-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93300 | PA      | $81674.99     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2488965 | PA      | $1949760.78   | 0.09%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust   | Saxon Asset Securities Trust 2007-2                                              | CUSIP: 80556YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29955 | PA      | $22170.35     | 0.00%             | 2047-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | SunTrust Alternative Loan Trust 2006-1F                                          | CUSIP: 86800RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174721 | PA      | $392768.97    | 0.02%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-5        | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137653 | PA      | $126865.34    | 0.01%             | 2034-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TEXAS ST DEPT OF HSG & CMNTY A | Texas Department of Housing & Community Affairs                                  | CUSIP: 882750G55<br>LEI: 549300J3RRLLZZN4WP77 | Long             | DBT              | MUN               | US        |   7025000 | PA      | $7060239.51   | 0.31%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2007-3                                       | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179915 | PA      | $177286.65    | 0.01%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529860 | PA      | $264441.89    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880610 | PA      | $322793.97    | 0.01%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                      | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40500000 | PA      | $40275084.47  | 1.76%             | 2026-05-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CPG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $50059257.50  | 2.18%             | 2027-10-31      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575155 | PA      | $270731.33    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212229 | PA      | $45890.34     | 0.00%             | 2037-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-4                                                | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   2295033 | PA      | $2289500.18   | 0.10%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-INV3                                             | CUSIP: 92540CAA5<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   4275825 | PA      | $4308987.28   | 0.19%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-2                                   | CUSIP: 02660TFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479799 | PA      | $390730.89    | 0.02%             | 2045-09-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425184 | PA      | $405619.19    | 0.02%             | 2046-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20892928 | PA      | $3209519.42   | 0.14%             | 2047-05-25      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217917 | PA      | $217193.72    | 0.01%             | 2037-03-26      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J2                                          | CUSIP: 12545EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163041 | PA      | $51524.87     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-6CB                                                  | CUSIP: 12667F5H4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656954 | PA      | $554114.41    | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234489 | PA      | $217709.18    | 0.01%             | 2046-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-HY8C                                                 | CUSIP: 02150XAA9<br>LEI: 549300WVYUN6JZ4UKU34 | Long             | ABS-MBS          | CORP              | US        |    820409 | PA      | $771562.24    | 0.03%             | 2047-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-8                                                | CUSIP: 92540DAA3<br>LEI: 213800DTJD5UKJR53O34 | Long             | ABS-MBS          | CORP              | US        |   5251478 | PA      | $5276922.82   | 0.23%             | 2068-12-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-1                                                | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    693104 | PA      | $694560.39    | 0.03%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-6 Trust                                             | CUSIP: 05946XM34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930831 | PA      | $768019.89    | 0.03%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-B Trust                                             | CUSIP: 05946XRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253342 | PA      | $239750.12    | 0.01%             | 2035-04-20      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-7 Trust                                             | CUSIP: 05946XU92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65252 | PA      | $63604.15     | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding Corp                                                     | CUSIP: 05953AAD5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1375681 | PA      | $947213.01    | 0.04%             | 2037-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467750 | PA      | $323624.72    | 0.01%             | 2037-09-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R6 Trust                                            | CUSIP: 05956EAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583902 | PA      | $188129.33    | 0.01%             | 2037-09-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE5                            | CUSIP: 073859AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272407 | PA      | $271533.53    | 0.01%             | 2047-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165163 | PA      | $157250.91    | 0.01%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668108 | PA      | $605434.95    | 0.03%             | 2035-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-60T1                                                 | CUSIP: 12668AUW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102500 | PA      | $59583.37     | 0.00%             | 2035-12-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-5                                                | CUSIP: 92540HAA4<br>LEI: 213800YE6HC7EZSFHW30 | Long             | ABS-MBS          | CORP              | US        |  12013626 | PA      | $12116959.51  | 0.53%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                        | CUSIP: 93363XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546202 | PA      | $318163.02    | 0.01%             | 2047-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR3 Trust | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43370 | PA      | $38939.99     | 0.00%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783073 | PA      | $428664.24    | 0.02%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828677 | PA      | $345071.36    | 0.02%             | 2036-10-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75472 | PA      | $72845.72     | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR5                                     | CUSIP: 07400NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1152973 | PA      | $1026715.26   | 0.04%             | 2047-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198342 | PA      | $175615.65    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449995 | PA      | $398843.16    | 0.02%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-J5                                                   | CUSIP: 12667FLM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131453 | PA      | $129980.00    | 0.01%             | 2034-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J7                                                   | CUSIP: 12667GF81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000753 | PA      | $412481.25    | 0.02%             | 2035-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388567 | PA      | $303091.10    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GWY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1876737 | PA      | $1477417.58   | 0.06%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362612 | PA      | $706449.25    | 0.03%             | 2035-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-48T1                                                 | CUSIP: 12668AFJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7434665 | PA      | $3402115.23   | 0.15%             | 2035-11-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9807238 | PA      | $8763921.70   | 0.38%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    644566 | PA      | $467310.47    | 0.02%             | 2036-01-26      | Variable      | 4.79%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184619 | PA      | $177862.51    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165270 | PA      | $138448.26    | 0.01%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2003-J2                                                   | CUSIP: 12669E4E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122782 | PA      | $123253.18    | 0.01%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-2                                           | CUSIP: 12669FKT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236387 | PA      | $237075.99    | 0.01%             | 2034-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458F52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935936 | PA      | $315288.51    | 0.01%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317477 | PA      | $285061.91    | 0.01%             | 2036-04-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340657 | PA      | $145817.23    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AZ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037069 | PA      | $682719.79    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432072 | PA      | $29595.80     | 0.00%             | 2036-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-21                    | CUSIP: 863579B23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333168 | PA      | $214344.19    | 0.01%             | 2035-11-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40340 | PA      | $38190.35     | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130344 | PA      | $108361.11    | 0.00%             | 2035-02-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418598 | PA      | $397642.97    | 0.02%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953242 | PA      | $726659.77    | 0.03%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262860 | PA      | $106152.66    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364104 | PA      | $224930.72    | 0.01%             | 2035-09-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | Countrywide Asset-Backed Certificates                                            | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5140746 | PA      | $4781922.88   | 0.21%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE1                                  | CUSIP: 144538AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1348752.59   | 0.06%             | 2036-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200301 | PA      | $142213.54    | 0.01%             | 2046-12-26      | Variable      | 3.92%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669297 | PA      | $216846.84    | 0.01%             | 2037-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752031 | PA      | $649335.55    | 0.03%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17396522 | PA      | $14644064.80  | 0.64%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR3                          | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354470 | PA      | $330512.03    | 0.01%             | 2047-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust 2006-6                                                 | CUSIP: 87222PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566563 | PA      | $118475.44    | 0.01%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11080423 | PA      | $299869.50    | 0.01%             | 2036-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2004-7HE                                                   | CUSIP: 881561FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672974 | PA      | $662248.56    | 0.03%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust  | TIAA Bank Mortgage Loan Trust 2018-3                                             | CUSIP: 88632AAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89754 | PA      | $85112.32     | 0.00%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-7                                                | CUSIP: 92539YAA0<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |   8680957 | PA      | $8740055.64   | 0.38%             | 2068-10-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0NR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140643 | PA      | $140583.21    | 0.01%             | 2036-12-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277479 | PA      | $276550.64    | 0.01%             | 2041-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4KY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69708 | PA      | $65012.39     | 0.00%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203214 | PA      | $124304.11    | 0.01%             | 2042-04-25      | Floating      | 0.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72182 | PA      | $75946.75     | 0.00%             | 2046-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-34T1                                                 | CUSIP: 12667FK87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659248 | PA      | $588944.18    | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-45                                                   | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476179 | PA      | $340947.61    | 0.01%             | 2035-10-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89046 | PA      | $86785.32     | 0.00%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535601 | PA      | $217928.57    | 0.01%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR5                                        | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095532 | PA      | $1063521.74   | 0.05%             | 2036-05-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust Series 2025-2                                  | CUSIP: 16159VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128721 | PA      | $128999.17    | 0.01%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S1                                      | CUSIP: 16162WRB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4064543 | PA      | $1663876.21   | 0.07%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J9                                                   | CUSIP: 12667GT37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3402998 | PA      | $1586276.22   | 0.07%             | 2035-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA7                                                  | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |   1812603 | PA      | $1690811.27   | 0.07%             | 2047-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7VK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164443 | PA      | $150741.56    | 0.01%             | 2042-06-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AD5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639553 | PA      | $325297.74    | 0.01%             | 2043-05-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR7                                           | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184517 | PA      | $160922.49    | 0.01%             | 2036-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR1                                           | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4127 | PA      | $4186.92      | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-WF1                                           | CUSIP: 17307G4H8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561393 | PA      | $251249.33    | 0.01%             | 2036-03-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2009-8                                             | CUSIP: 17315NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1957278 | PA      | $1074056.28   | 0.05%             | 2037-04-25      | Variable      | 6.10%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2024-1                                             | CUSIP: 17332CAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4583286 | PA      | $4608479.83   | 0.20%             | 2054-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA12                                                 | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277745 | PA      | $252475.68    | 0.01%             | 2046-09-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59157 | PA      | $49626.23     | 0.00%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6K36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241620 | PA      | $207130.21    | 0.01%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287850 | PA      | $218233.54    | 0.01%             | 2050-06-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3187105 | PA      | $2748641.33   | 0.12%             | 2051-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166156 | PA      | $80234.02     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3409731 | PA      | $1210689.77   | 0.05%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2622337 | PA      | $748044.38    | 0.03%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F3                                         | CUSIP: 45671BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26566 | PA      | $13386.91     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A3                                                 | CUSIP: 466247CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150605 | PA      | $145117.97    | 0.01%             | 2034-07-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297290 | PA      | $67539.58     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6734024 | PA      | $1529861.82   | 0.07%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2004-2                                            | CUSIP: 542514FT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149057 | PA      | $2100394.10   | 0.09%             | 2034-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-4                                     | CUSIP: 576433MA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172337 | PA      | $165631.65    | 0.01%             | 2034-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237700 | PA      | $18906.08     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-4                                              | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15400 | PA      | $15104.52     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97533 | PA      | $55535.27     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182202 | PA      | $184094.54    | 0.01%             | 2055-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392BE93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26093 | PA      | $25629.11     | 0.00%             | 2032-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394EB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333264 | PA      | $330334.58    | 0.01%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87737 | PA      | $86996.84     | 0.00%             | 2036-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395DQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359787 | PA      | $356114.70    | 0.02%             | 2036-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-50CB                                                 | CUSIP: 12668ALK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127839 | PA      | $404617.14    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-19                                          | CUSIP: 126694AM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330988 | PA      | $55078.61     | 0.00%             | 2035-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AWY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108703 | PA      | $1086352.67   | 0.05%             | 2047-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1C93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2404027 | PA      | $2339130.32   | 0.10%             | 2048-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2007-3                                     | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3218162 | PA      | $2702115.71   | 0.12%             | 2047-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H                        | CUSIP: 5899296M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184790 | PA      | $161783.42    | 0.01%             | 2029-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396KU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374466 | PA      | $330595.77    | 0.01%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397G6L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734064 | PA      | $726034.59    | 0.03%             | 2037-03-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254642 | PA      | $251563.24    | 0.01%             | 2037-05-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488049 | PA      | $482737.99    | 0.02%             | 2037-05-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397JV68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163192 | PA      | $162319.24    | 0.01%             | 2037-07-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2544934 | PA      | $2524085.64   | 0.11%             | 2041-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505XW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222638 | PA      | $225466.82    | 0.01%             | 2028-07-15      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LTB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158780 | PA      | $504115.47    | 0.02%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2004-A4                                   | CUSIP: 45660NK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71419 | PA      | $68891.08     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2003-A9                                   | CUSIP: 45660NSX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307631 | PA      | $270964.48    | 0.01%             | 2033-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-18                                          | CUSIP: 12669F4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104826 | PA      | $103186.32    | 0.00%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-17                                          | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443955 | PA      | $435980.91    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378878 | PA      | $310535.44    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4560035 | PA      | $342253.88    | 0.01%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A                        | CUSIP: 589929G28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11877 | PA      | $10900.68     | 0.00%             | 2028-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G                        | CUSIP: 59020UNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20536 | PA      | $19451.27     | 0.00%             | 2030-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7210651 | PA      | $5230394.92   | 0.23%             | 2048-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200274 | PA      | $175801.18    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS18 Trust                                                      | CUSIP: 74922RAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14494895 | PA      | $10653070.70  | 0.46%             | 2036-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6218628 | PA      | $4533493.16   | 0.20%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178277 | PA      | $62764.75     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0PH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244460 | PA      | $175598.65    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3714739 | PA      | $653615.31    | 0.03%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B9S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831918 | PA      | $824171.11    | 0.04%             | 2050-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FJK81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26833508 | PA      | $17076715.58  | 0.74%             | 2056-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469133 | PA      | $461360.57    | 0.02%             | 2049-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86528 | PA      | $41948.46     | 0.00%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997608 | PA      | $724441.08    | 0.03%             | 2051-04-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FYY83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430604 | PA      | $257077.06    | 0.01%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1T55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1101194 | PA      | $906341.22    | 0.04%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJ3X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122009 | PA      | $121596.89    | 0.01%             | 2041-07-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G3A1<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |    770156 | PA      | $274691.57    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA8                     | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956026 | PA      | $329043.77    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180977 | PA      | $684211.86    | 0.03%             | 2037-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408914 | PA      | $408076.08    | 0.02%             | 2055-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-17                                                   | CUSIP: 362257AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6133908 | PA      | $1405762.89   | 0.06%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-15                                                   | CUSIP: 3622E8AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1972268 | PA      | $488819.21    | 0.02%             | 2036-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1639518 | PA      | $442533.27    | 0.02%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334JV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215966 | PA      | $194610.71    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4179227 | PA      | $892850.13    | 0.04%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed  | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                     | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410789 | PA      | $353391.95    | 0.02%             | 2036-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4669019 | PA      | $1270512.52   | 0.06%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-4                                        | CUSIP: 61748HKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34437 | PA      | $14968.66     | 0.00%             | 2035-08-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-8AR                                      | CUSIP: 61749LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8496 | PA      | $7668.44      | 0.00%             | 2036-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9786208 | PA      | $2539809.66   | 0.11%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-14AR                                     | CUSIP: 61756VAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314431 | PA      | $299168.97    | 0.01%             | 2037-10-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2024-3                            | CUSIP: 61776QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147896 | PA      | $147904.48    | 0.01%             | 2054-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust                                               | CUSIP: 64352VDR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349397 | PA      | $360515.33    | 0.02%             | 2033-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1               | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392865 | PA      | $233432.43    | 0.01%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-5                                    | CUSIP: 66988YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910200 | PA      | $272612.12    | 0.01%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM13 Trust                                                             | CUSIP: 67119PAP6<br>LEI: 254900W2SY2Z6X7UAX78 | Long             | ABS-MBS          | CORP              | US        |    119226 | PA      | $119112.80    | 0.01%             | 2064-06-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM14 Trust                                                             | CUSIP: 67119XAC8<br>LEI: 254900C7ZCEHM7Y5MX79 | Long             | ABS-MBS          | CORP              | US        |    418681 | PA      | $417729.21    | 0.02%             | 2064-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS2 Trust                                                       | CUSIP: 74923CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284644 | PA      | $228913.41    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431860 | PA      | $331373.17    | 0.01%             | 2037-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759563 | PA      | $273332.74    | 0.01%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA3 Trust                                                      | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942233 | PA      | $644256.19    | 0.03%             | 2037-07-27      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21078 | PA      | $19089.02     | 0.00%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2002-HE1                                            | CUSIP: 361856BU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101955 | PA      | $73513.76     | 0.00%             | 2029-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR2                                                 | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428827 | PA      | $378746.69    | 0.02%             | 2035-04-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377GZN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225580 | PA      | $225304.96    | 0.01%             | 2039-12-16      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1562643 | PA      | $1297678.46   | 0.06%             | 2036-04-19      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2024-NQM2 Trust                                                             | CUSIP: 36831CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49218 | PA      | $49579.29     | 0.00%             | 2059-06-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ACY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396395 | PA      | $392154.68    | 0.02%             | 2041-11-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444272 | PA      | $441605.56    | 0.02%             | 2042-08-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950522 | PA      | $977254.35    | 0.04%             | 2030-03-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505T51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6998891 | PA      | $7212132.04   | 0.31%             | 2028-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211062 | PA      | $337725.82    | 0.01%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-8                                                    | CUSIP: 45254NRG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380814 | PA      | $361944.48    | 0.02%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216952 | PA      | $122468.19    | 0.01%             | 2037-04-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308195 | PA      | $97041.93     | 0.00%             | 2046-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29572269 | PA      | $2032951.57   | 0.09%             | 2036-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2006-9HGA                                                  | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882756 | PA      | $254010.92    | 0.01%             | 2037-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust                    | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312275 | PA      | $305262.35    | 0.01%             | 2034-02-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR12 Trust                   | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38440 | PA      | $35361.98     | 0.00%             | 2035-10-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                   | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180003 | PA      | $166256.13    | 0.01%             | 2045-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                    | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248154 | PA      | $249564.52    | 0.01%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR12 Trust                   | CUSIP: 92922FZK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335691 | PA      | $334382.45    | 0.01%             | 2044-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust                    | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899646 | PA      | $822278.57    | 0.04%             | 2036-03-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,  | Wachovia Mortgage Loan Trust LLC Series 2005-A Trust                             | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313053 | PA      | $311725.06    | 0.01%             | 2035-08-20      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back | Ownit Mortgage Loan Trust Series 2006-5                                          | CUSIP: 69121EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716699 | PA      | $667683.91    | 0.03%             | 2037-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630077 | PA      | $572042.67    | 0.02%             | 2037-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177855 | PA      | $142878.03    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244841 | PA      | $975161.26    | 0.04%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2006-NC3 Trust                                                       | CUSIP: 76112B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181992 | PA      | $180326.03    | 0.01%             | 2036-03-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A1                                   | CUSIP: 761136AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2853059 | PA      | $420776.77    | 0.02%             | 2037-03-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ML37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272953 | PA      | $270157.72    | 0.01%             | 2043-04-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379PLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65976 | PA      | $59366.90     | 0.00%             | 2045-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7952148 | PA      | $2235267.67   | 0.10%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A7CB                                 | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428758 | PA      | $65158.80     | 0.00%             | 2036-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5640407 | PA      | $1081090.01   | 0.05%             | 2036-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust   | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196877 | PA      | $193728.22    | 0.01%             | 2035-08-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385GHC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637933 | PA      | $545935.30    | 0.02%             | 2055-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385LDM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28969391 | PA      | $3029717.37   | 0.13%             | 2056-01-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-12                                           | CUSIP: 41162DAD1<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   1043103 | PA      | $1023549.24   | 0.04%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR6                                        | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430842 | PA      | $341711.78    | 0.01%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  3 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR5                                        | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283858 | PA      | $190192.35    | 0.01%             | 2035-05-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR11                                       | CUSIP: 45660LQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135744 | PA      | $98263.84     | 0.00%             | 2035-08-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524689 | PA      | $1338173.26   | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM3 Trust                                                             | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2129801 | PA      | $2137291.09   | 0.09%             | 2070-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loa | Security National Mortgage Loan Trust 2006-3                                     | CUSIP: 81441WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282070 | PA      | $102865.64    | 0.00%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3224 | PA      | $3242.62      | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR18                                       | CUSIP: 45660LWA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605625 | PA      | $242757.54    | 0.01%             | 2036-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3885451 | PA      | $1829402.43   | 0.08%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3360846 | PA      | $804583.74    | 0.04%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                     | CUSIP: 52521FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9741835 | PA      | $1159942.78   | 0.05%             | 2037-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2007-3                                                    | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84 | PA      | $66.24        | 0.00%             | 2037-07-20      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37076 | PA      | $33674.12     | 0.00%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C                        | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196229 | PA      | $181606.35    | 0.01%             | 2028-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CLT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50500000 | PA      | $50547619.48  | 2.20%             | 2026-10-31      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| US TREASURY FRN                | United States Treasury Floating Rate Note                                        | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $50052679.50  | 2.18%             | 2027-04-30      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                    | CUSIP: 92922FD96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440481 | PA      | $403500.88    | 0.02%             | 2045-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust                     | CUSIP: 92922FMB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16734 | PA      | $16896.12     | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808253 | PA      | $769066.24    | 0.03%             | 2044-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                    | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2990664 | PA      | $2772045.92   | 0.12%             | 2046-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167467 | PA      | $147443.42    | 0.01%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458642 | PA      | $375232.36    | 0.02%             | 2035-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835993 | PA      | $801161.66    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715594 | PA      | $542623.33    | 0.02%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FLA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2494233 | PA      | $2365895.96   | 0.10%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319108 | PA      | $254404.91    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust   | CUSIP: 93935YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296243 | PA      | $246652.05    | 0.01%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Encore Credit Receivables Trus | Encore Credit Receivables Trust 2005-1                                           | CUSIP: 126673VS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626282 | PA      | $566259.01    | 0.02%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust        | EMC Mortgage Loan Trust 2001-A                                                   | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398011 | PA      | $394148.24    | 0.02%             | 2040-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-INV2                                                                   | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |    260065 | PA      | $260629.20    | 0.01%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A6YV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181374 | PA      | $179851.30    | 0.01%             | 2042-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353175 | PA      | $107900.02    | 0.00%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681101 | PA      | $672071.68    | 0.03%             | 2042-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AD6C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145083 | PA      | $131699.37    | 0.01%             | 2043-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1A20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3585035 | PA      | $3487300.64   | 0.15%             | 2048-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust | IXIS Real Estate Capital Trust 2007-HE1                                          | CUSIP: 45073DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    442787 | PA      | $88264.30     | 0.00%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645842 | PA      | $577791.03    | 0.03%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A1                                                 | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16335 | PA      | $15842.28     | 0.00%             | 2035-02-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A2                                                 | CUSIP: 466247NK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74420 | PA      | $73853.19     | 0.00%             | 2035-04-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S1                                         | CUSIP: 46627MDX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160903 | PA      | $71399.98     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813519 | PA      | $470365.09    | 0.02%             | 2036-12-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-34                                                   | CUSIP: 02148AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282082 | PA      | $556978.67    | 0.02%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349857 | PA      | $38912.75     | 0.00%             | 2037-04-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2445212 | PA      | $662136.56    | 0.03%             | 2037-08-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-1R                                  | CUSIP: 02152LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1681653 | PA      | $744489.52    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2009-RR4 Trust                                                          | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72468 | PA      | $16113.96     | 0.00%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485292 | PA      | $1225242.93   | 0.05%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40799 | PA      | $33955.12     | 0.00%             | 2033-08-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A5                                         | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152645 | PA      | $144815.58    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A7                                                 | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969482 | PA      | $1635554.97   | 0.07%             | 2037-01-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023799 | PA      | $558574.01    | 0.02%             | 2036-11-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-4                                                  | CUSIP: 07386HHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218354 | PA      | $218550.27    | 0.01%             | 2034-06-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-7                                                  | CUSIP: 073875AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535006 | PA      | $1030220.33   | 0.04%             | 2046-12-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-AC5                            | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100156 | PA      | $96275.01     | 0.00%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-HE9                            | CUSIP: 073879KD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1731545 | PA      | $1681986.61   | 0.07%             | 2034-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-2                                                    | CUSIP: 07388DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290815 | PA      | $251168.68    | 0.01%             | 2036-07-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-1                                   | CUSIP: 46641TBB9<br>LEI: 549300L90VVKXEKB0M74 | Long             | ABS-MBS          | CORP              | US        |    418052 | PA      | $405108.30    | 0.02%             | 2036-11-26      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-2                                                     | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152954 | PA      | $92769.52     | 0.00%             | 2036-04-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645128 | PA      | $50212.47     | 0.00%             | 2036-08-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-10H                                                         | CUSIP: 525237AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339805 | PA      | $315540.53    | 0.01%             | 2037-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355125 | PA      | $212467.14    | 0.01%             | 2035-09-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-6                                     | CUSIP: 576433NY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66871 | PA      | $66861.58     | 0.00%             | 2034-07-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR5                                     | CUSIP: 07400NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370310 | PA      | $329672.89    | 0.01%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 124860FF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274000 | PA      | $2536468.31   | 0.11%             | 2035-01-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248M6AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288819 | PA      | $1164044.44   | 0.05%             | 2046-05-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc | Bear Stearns Structured Products Inc                                             | CUSIP: 12587PFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3392627 | PA      | $2674879.17   | 0.12%             | 2047-06-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-4                                                | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29991 | PA      | $3852.53      | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478733 | PA      | $248961.41    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380BZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1886828 | PA      | $1053151.62   | 0.05%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2007-4R                                                              | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54997 | PA      | $49660.77     | 0.00%             | 2036-10-26      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-2 Mortgage Loan Trust                                                  | CUSIP: 12665LAA2<br>LEI: 213800Z2Q6LED8DB8K38 | Long             | ABS-MBS          | CORP              | US        |    196750 | PA      | $197849.02    | 0.01%             | 2069-04-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476650 | PA      | $488678.15    | 0.02%             | 2046-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-21                                          | CUSIP: 126694CQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91173 | PA      | $57197.88     | 0.00%             | 2035-10-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-30                                          | CUSIP: 126694TX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89223 | PA      | $50846.31     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-56                                          | CUSIP: 12669FBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6989 | PA      | $8157.74      | 0.00%             | 2033-12-25      | Variable      | 10.91%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121663 | PA      | $118529.14    | 0.01%             | 2035-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-4 Mortgage Loan Trust                                                  | CUSIP: 19688WAA6<br>LEI: 213800KKXAZ8LJ3W5A65 | Long             | ABS-MBS          | CORP              | US        |  21796701 | PA      | $21936273.76  | 0.96%             | 2069-07-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72896 | PA      | $26619.19     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279862 | PA      | $111829.50    | 0.00%             | 2036-07-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1368735 | PA      | $478997.93    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-1                                                | CUSIP: 22943HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4570235 | PA      | $637478.38    | 0.03%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4868716 | PA      | $4354796.89   | 0.19%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    903275 | PA      | $942004.66    | 0.04%             | 2037-08-25      | Floating      | 12.63%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-18R                                                             | CUSIP: 22944JET4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5223062 | PA      | $3679647.09   | 0.16%             | 2036-09-28      | Variable      | 4.16%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1122374 | PA      | $488098.28    | 0.02%             | 2036-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362328 | PA      | $133797.99    | 0.01%             | 2035-12-25      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640489 | PA      | $590149.55    | 0.03%             | 2036-04-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2238150 | PA      | $2136052.56   | 0.09%             | 2036-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXFQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1068394 | PA      | $861966.81    | 0.04%             | 2040-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 1998-W2                                                   | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37273 | PA      | $37488.59     | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3V56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691105 | PA      | $683616.38    | 0.03%             | 2049-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338889 | PA      | $250981.25    | 0.01%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262767 | PA      | $1035098.01   | 0.05%             | 2039-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BEH49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288181 | PA      | $285144.44    | 0.01%             | 2041-02-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BLD88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265238 | PA      | $263090.67    | 0.01%             | 2045-09-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258445 | PA      | $209986.43    | 0.01%             | 2046-10-15      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BWWX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509614 | PA      | $503135.38    | 0.02%             | 2042-12-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F2ZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    928345 | PA      | $907991.66    | 0.04%             | 2047-08-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6JY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805550 | PA      | $605608.37    | 0.03%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F74H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15354988 | PA      | $11946168.38  | 0.52%             | 2050-12-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195125 | PA      | $166128.99    | 0.01%             | 2048-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FAFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475841 | PA      | $465286.85    | 0.02%             | 2047-08-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTPF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1899866 | PA      | $1867636.58   | 0.08%             | 2050-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1020479 | PA      | $755387.96    | 0.03%             | 2051-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H04F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1175686 | PA      | $1041327.06   | 0.05%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0RQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361182 | PA      | $292051.87    | 0.01%             | 2049-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1JA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566718 | PA      | $427638.66    | 0.02%             | 2051-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1RV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    845905 | PA      | $634303.05    | 0.03%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640229 | PA      | $1232474.77   | 0.05%             | 2038-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-2                                            | CUSIP: 007036BU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3316 | PA      | $3300.08      | 0.00%             | 2035-02-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827063 | PA      | $317883.34    | 0.01%             | 2045-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2024-7                                                  | CUSIP: 03466CAB0<br>LEI: 254900Q2UY574S9NQF08 | Long             | ABS-MBS          | CORP              | US        |    634454 | PA      | $637212.23    | 0.03%             | 2069-05-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2003-H Trust                                            | CUSIP: 05948XTH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525410 | PA      | $507079.53    | 0.02%             | 2033-09-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-E Trust                                            | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112968 | PA      | $109389.82    | 0.00%             | 2035-06-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-F Trust                                            | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239191 | PA      | $229339.34    | 0.01%             | 2035-07-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                            | CUSIP: 05950GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252688 | PA      | $221506.63    | 0.01%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                            | CUSIP: 05950GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623636 | PA      | $505999.69    | 0.02%             | 2046-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-3 Trust                                             | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161427 | PA      | $137164.64    | 0.01%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM1                                        | CUSIP: 10570FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3725586 | PA      | $3737983.54   | 0.16%             | 2063-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2021-INV1                                                              | CUSIP: 12566PAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214923 | PA      | $192865.72    | 0.01%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-6                                                                | CUSIP: 12647MAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14321 | PA      | $13990.40     | 0.00%             | 2028-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GK31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134292 | PA      | $1001291.48   | 0.04%             | 2035-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190350 | PA      | $1088237.14   | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120648 | PA      | $469506.28    | 0.02%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1U20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295046 | PA      | $222878.86    | 0.01%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1VN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130084 | PA      | $110979.00    | 0.00%             | 2049-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471827 | PA      | $465650.10    | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6082441 | PA      | $1761391.71   | 0.08%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10232 | PA      | $8360.50      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2962483 | PA      | $2643640.24   | 0.12%             | 2036-04-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM3                                                                   | CUSIP: 26846YAC2<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-MBS          | CORP              | US        |   1497573 | PA      | $1501407.21   | 0.07%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A1PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1269561 | PA      | $1258234.85   | 0.05%             | 2041-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2BN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601557 | PA      | $473693.12    | 0.02%             | 2051-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2EB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    597626 | PA      | $455251.11    | 0.02%             | 2051-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A3KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803216 | PA      | $804304.26    | 0.04%             | 2042-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411746 | PA      | $370355.07    | 0.02%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298368 | PA      | $260341.43    | 0.01%             | 2049-05-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5JC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4140669 | PA      | $4082831.74   | 0.18%             | 2049-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H33W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484016 | PA      | $401984.12    | 0.02%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3F98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83631 | PA      | $33279.07     | 0.00%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5T47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196949 | PA      | $1045810.88   | 0.05%             | 2049-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-3F                                                  | CUSIP: 3622MWAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3291395 | PA      | $2311244.22   | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334HJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1289770 | PA      | $150534.29    | 0.01%             | 2036-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11012616 | PA      | $98603.66     | 0.00%             | 2036-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412205 | PA      | $358568.51    | 0.02%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-9F                                                  | CUSIP: 362341Q85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273905 | PA      | $230884.96    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR6                                                 | CUSIP: 362341SG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78947 | PA      | $68374.67     | 0.00%             | 2035-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380YVU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150248 | PA      | $146451.35    | 0.01%             | 2048-09-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722315 | PA      | $581570.72    | 0.03%             | 2050-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482403 | PA      | $369955.59    | 0.02%             | 2051-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117184 | PA      | $14889.61     | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751871 | PA      | $570913.83    | 0.02%             | 2050-01-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382YHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36679 | PA      | $35985.82     | 0.00%             | 2071-10-20      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385CJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83505 | PA      | $84000.50     | 0.00%             | 2055-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                  | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433469 | PA      | $432205.09    | 0.02%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139713 | PA      | $135983.86    | 0.01%             | 2035-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H65L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625724 | PA      | $557225.51    | 0.02%             | 2052-02-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8VZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56871286 | PA      | $55993875.89  | 2.44%             | 2052-09-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HF7C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582687 | PA      | $584588.09    | 0.03%             | 2054-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507794 | PA      | $509339.31    | 0.02%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469571 | PA      | $473105.26    | 0.02%             | 2055-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA3                     | CUSIP: 32051GKC8<br>LEI: 5493008TK1VAAKZ9Y255 | Long             | ABS-MBS          | CORP              | US        |   1563007 | PA      | $841987.08    | 0.04%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-14                                           | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178135 | PA      | $548043.09    | 0.02%             | 2035-12-19      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-NQM5 Trust                                                             | CUSIP: 36168WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176313 | PA      | $176231.70    | 0.01%             | 2067-08-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR6                                               | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9123 | PA      | $8146.92      | 0.00%             | 2035-11-19      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2006-J1                                                | CUSIP: 36185MEC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239819 | PA      | $207177.42    | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2024-NQM2 Trust                                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984262 | PA      | $990983.27    | 0.04%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR13                                       | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228118 | PA      | $200560.57    | 0.01%             | 2035-08-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145875 | PA      | $496304.58    | 0.02%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A10                                  | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316141 | PA      | $128841.95    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2004-A4                                   | CUSIP: 45660NK61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428811 | PA      | $384742.86    | 0.02%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                               | CUSIP: 46591LBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576901 | PA      | $1556738.15   | 0.07%             | 2050-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61219 | PA      | $55648.55     | 0.00%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247B51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159378 | PA      | $136315.21    | 0.01%             | 2021-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A2                                                 | CUSIP: 466247NM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76505 | PA      | $64030.29     | 0.00%             | 2035-04-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212857 | PA      | $137476.27    | 0.01%             | 2035-10-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A7                                         | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038545 | PA      | $973904.88    | 0.04%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97884 | PA      | $108287.98    | 0.00%             | 2036-08-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2014-2                                   | CUSIP: 46642AAH7<br>LEI: 5493004EDOTOJ5TDDQ63 | Long             | ABS-MBS          | CORP              | US        |    541092 | PA      | $296562.65    | 0.01%             | 2037-03-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2016-1                                   | CUSIP: 46647AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203433 | PA      | $198346.78    | 0.01%             | 2056-03-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111445 | PA      | $1093820.25   | 0.05%             | 2049-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328214 | PA      | $313182.51    | 0.01%             | 2050-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2023-4                                                | CUSIP: 46656QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183939 | PA      | $185189.35    | 0.01%             | 2053-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-3                                                     | CUSIP: 52520CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4551624 | PA      | $610787.42    | 0.03%             | 2036-07-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283098 | PA      | $50249.92     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3841473 | PA      | $449676.64    | 0.02%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-3                                                     | CUSIP: 52520UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40219428 | PA      | $8627771.25   | 0.38%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110634 | PA      | $148106.83    | 0.01%             | 2036-08-25      | Floating      | 17.32%                | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4156512 | PA      | $4114007.03   | 0.18%             | 2035-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-GP2                                                  | CUSIP: 525227AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40907 | PA      | $40121.00     | 0.00%             | 2046-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-17                                                          | CUSIP: 52523KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217996 | PA      | $213219.53    | 0.01%             | 2036-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-14H                                                         | CUSIP: 52525LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2515384 | PA      | $2393022.25   | 0.10%             | 2047-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2006-7                                                   | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2721044 | PA      | $2435020.14   | 0.11%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467839 | PA      | $439727.20    | 0.02%             | 2036-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F                        | CUSIP: 5899292W7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75507 | PA      | $74816.75     | 0.00%             | 2028-10-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2005-A6                            | CUSIP: 59020UZL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472409 | PA      | $443765.89    | 0.02%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-HE6                                  | CUSIP: 61744CFD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57709 | PA      | $55566.97     | 0.00%             | 2034-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-HE1                                  | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216439 | PA      | $216388.75    | 0.01%             | 2034-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWT4<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |    586246 | PA      | $307714.81    | 0.01%             | 2036-03-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10923871 | PA      | $419720.23    | 0.02%             | 2037-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61762BBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289541 | PA      | $257329.75    | 0.01%             | 2036-12-26      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2024-INV1                                                        | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |   1818515 | PA      | $1822557.91   | 0.08%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650137 | PA      | $654936.41    | 0.03%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4              | CUSIP: 65538DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165727 | PA      | $152637.78    | 0.01%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-3                                    | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4111232 | PA      | $1872016.55   | 0.08%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937032 | PA      | $982443.21    | 0.04%             | 2029-11-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM6 Trust                                                              | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204852 | PA      | $205065.79    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM8 Trust                                                              | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-MBS          | CORP              | US        |   2093661 | PA      | $2111184.08   | 0.09%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-NQM9 Trust                                                              | CUSIP: 673921AA0<br>LEI: 2549007JKD4UEFDCFB08 | Long             | ABS-MBS          | CORP              | US        |   1165033 | PA      | $1173591.68   | 0.05%             | 2063-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM15 Trust                                                             | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |    517510 | PA      | $518876.97    | 0.02%             | 2064-10-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back | Ownit Mortgage Loan Trust Series 2006-6                                          | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1261145 | PA      | $553735.01    | 0.02%             | 2037-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195391 | PA      | $181478.06    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15355 | PA      | $10682.14     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4031646 | PA      | $1097200.81   | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149902 | PA      | $149389.65    | 0.01%             | 2068-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| VIRGINIA HSG DEV AUTH          | Virginia Housing Development Authority                                           | CUSIP: 92812XRE4<br>LEI: 549300LW3QBOVLQBP895 | Long             | DBT              | MUN               | US        |   5225000 | PA      | $5232559.01   | 0.23%             | 2056-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419028 | PA      | $266435.73    | 0.01%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576549 | PA      | $1431493.34   | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40697 | PA      | $36710.74     | 0.00%             | 2049-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA9                                                  | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57644 | PA      | $50194.48     | 0.00%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-25CB                                                 | CUSIP: 02147VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953571 | PA      | $465124.44    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10844 | PA      | $4839.79      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332993 | PA      | $176024.30    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1505154 | PA      | $656123.68    | 0.03%             | 2036-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-11T1                                                 | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996396 | PA      | $304958.68    | 0.01%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328029 | PA      | $16518.43     | 0.00%             | 2035-04-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458065 | PA      | $347314.14    | 0.02%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40791 | PA      | $30315.10     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100860 | PA      | $52363.33     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280667 | PA      | $157762.99    | 0.01%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44139 | PA      | $38135.72     | 0.00%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-49CB                                                 | CUSIP: 12668AMM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554730 | PA      | $338391.16    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4007689 | PA      | $1219027.15   | 0.05%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2005-AR3                                                | CUSIP: 23332UDT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4017383 | PA      | $3324367.73   | 0.14%             | 2045-07-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27450 | PA      | $25137.55     | 0.00%             | 2036-04-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378020 | PA      | $355963.85    | 0.02%             | 2036-04-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31339L2E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42699 | PA      | $42761.33     | 0.00%             | 2031-11-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A12P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28517 | PA      | $28443.33     | 0.00%             | 2039-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4P86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476197 | PA      | $472308.44    | 0.02%             | 2042-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7JC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1443085 | PA      | $1428532.37   | 0.06%             | 2042-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ADHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96155 | PA      | $82371.89     | 0.00%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6TK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91074 | PA      | $76814.29     | 0.00%             | 2041-02-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8HX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382698 | PA      | $379622.24    | 0.02%             | 2041-03-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A8NM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324180 | PA      | $322336.98    | 0.01%             | 2041-03-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AL5L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220513 | PA      | $219031.22    | 0.01%             | 2042-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513491 | PA      | $511366.90    | 0.02%             | 2041-10-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134625 | PA      | $134236.82    | 0.01%             | 2041-07-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUBQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648472 | PA      | $1623061.80   | 0.07%             | 2042-09-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213732 | PA      | $202852.54    | 0.01%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AYEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13837 | PA      | $12790.09     | 0.00%             | 2042-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BF6N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1554856 | PA      | $1536325.41   | 0.07%             | 2044-06-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4KV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298423 | PA      | $255617.53    | 0.01%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4UZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1124082 | PA      | $1095327.45   | 0.05%             | 2048-02-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6LV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72872 | PA      | $47725.33     | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045348 | PA      | $1021701.60   | 0.04%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711460 | PA      | $708421.43    | 0.03%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60087 | PA      | $59292.57     | 0.00%             | 2036-12-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266597 | PA      | $264196.39    | 0.01%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21282 | PA      | $21077.21     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1069144 | PA      | $1063285.96   | 0.05%             | 2040-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                       | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  25539324 | NS      | $25539324.40  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA9                     | CUSIP: 32051GXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    838037 | PA      | $729875.59    | 0.03%             | 2035-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA1                     | CUSIP: 32053DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11170516 | PA      | $2581531.86   | 0.11%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA2                     | CUSIP: 32053LAE2<br>LEI: 549300PO80CHJL6XUB79 | Long             | ABS-MBS          | CORP              | US        |      8624 | PA      | $1898.61      | 0.00%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FLORIDA HSG FIN CORP REVENUE   | Florida Housing Finance Corp                                                     | CUSIP: 34074NGW3<br>LEI: 549300W0PCIJCI0JCF10 | Long             | DBT              | MUN               | US        |    150000 | PA      | $149490.20    | 0.01%             | 2056-07-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2524553 | PA      | $2459048.14   | 0.11%             | 2048-06-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235624 | PA      | $222223.52    | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381TBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310510 | PA      | $305924.02    | 0.01%             | 2049-03-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3591511 | PA      | $3042906.42   | 0.13%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72878 | PA      | $66233.25     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-2                                                      | CUSIP: 74161YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474722 | PA      | $1353786.22   | 0.06%             | 2036-11-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2187762 | PA      | $2199362.16   | 0.10%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS11 Trust                                                      | CUSIP: 761118CG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344058 | PA      | $18919.29     | 0.00%             | 2035-07-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP1 Trust                                                       | CUSIP: 76112BSA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83328 | PA      | $81832.81     | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR5                          | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5397 | PA      | $5234.73      | 0.00%             | 2034-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2005-AR4                          | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119657 | PA      | $101679.50    | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-S3                     | CUSIP: 86359WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936388 | PA      | $226983.08    | 0.01%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762128 | PA      | $635749.96    | 0.03%             | 2036-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787859 | PA      | $731650.41    | 0.03%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-5                                                | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |   1225661 | PA      | $1225199.01   | 0.05%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-4                                                | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   2161686 | PA      | $2179132.42   | 0.10%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                    | CUSIP: 92922FE95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34015 | PA      | $34414.81     | 0.00%             | 2045-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517717 | PA      | $455650.23    | 0.02%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300900 | PA      | $239889.46    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650136 | PA      | $527786.36    | 0.02%             | 2037-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA7 Trust                                                       | CUSIP: 76110H7A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1762265 | PA      | $1286917.21   | 0.06%             | 2035-07-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-7AX                                      | CUSIP: 61754HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743559 | PA      | $105413.85    | 0.00%             | 2037-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-15AR                                     | CUSIP: 61756XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1359836 | PA      | $1140771.86   | 0.05%             | 2037-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221146 | PA      | $232979.85    | 0.01%             | 2037-03-26      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust Series 2005-A                                 | CUSIP: 64352VLZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346047 | PA      | $1210728.40   | 0.05%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2025-NQM4                                    | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   5179630 | PA      | $5183072.04   | 0.23%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2003-1                                    | CUSIP: 66987XCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9867 | PA      | $9800.54      | 0.00%             | 2033-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing    | Origen Manufactured Housing Contract Trust 2002-A                                | CUSIP: 68619AAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148717 | PA      | $150747.35    | 0.01%             | 2032-05-15      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                      | CUSIP: 74160MJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105170 | PA      | $101537.12    | 0.00%             | 2020-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-NQM2 Trust                                                             | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66350 | PA      | $66934.26     | 0.00%             | 2069-06-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2003-2 Trust                                             | CUSIP: 05946XCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144837 | PA      | $142179.22    | 0.01%             | 2032-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302387 | PA      | $255333.23    | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-G Trust                                             | CUSIP: 05950MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       984 | PA      | $979.12       | 0.00%             | 2036-07-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489406 | PA      | $433675.16    | 0.02%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2009-R9 Trust                                            | CUSIP: 05954UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383381 | PA      | $301651.21    | 0.01%             | 2021-11-26      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2015-R2 Trust                                            | CUSIP: 05990TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1671990 | PA      | $1523827.36   | 0.07%             | 2037-04-29      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2177312 | PA      | $141454.52    | 0.01%             | 2025-12-10      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2025-NQM3                                           | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381725 | PA      | $2391478.07   | 0.10%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7925086 | PA      | $2150702.67   | 0.09%             | 2037-02-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                  | CUSIP: 362334JR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353507 | PA      | $318551.12    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421613 | PA      | $141722.28    | 0.01%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800920 | PA      | $1682901.25   | 0.07%             | 2036-01-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-WF                                                              | CUSIP: 36242DKM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195487 | PA      | $198961.04    | 0.01%             | 2034-10-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2004-WF                                                              | CUSIP: 36242DKN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176215 | PA      | $180798.10    | 0.01%             | 2034-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S5                                                              | CUSIP: 36244WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22140104 | PA      | $236192.85    | 0.01%             | 2036-09-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust Series 2006-AR6                                | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277080 | PA      | $1034115.17   | 0.05%             | 2046-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2006-2                                           | CUSIP: 40431HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8274431 | PA      | $1494464.04   | 0.07%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-9                                            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789905 | PA      | $752026.09    | 0.03%             | 2036-11-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2034017 | PA      | $1927665.23   | 0.08%             | 2037-05-19      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41548 | PA      | $18543.22     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2481988 | PA      | $124742.99    | 0.01%             | 2037-01-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2559215 | PA      | $260231.49    | 0.01%             | 2037-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137556 | PA      | $305948.60    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2380212 | PA      | $480300.52    | 0.02%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6709342 | PA      | $693146.10    | 0.03%             | 2036-12-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467134 | PA      | $243731.72    | 0.01%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4862145 | PA      | $1600745.42   | 0.07%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3481601 | PA      | $524378.14    | 0.02%             | 2037-09-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-25                                                   | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257147 | PA      | $527190.01    | 0.02%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228920 | PA      | $190408.83    | 0.01%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2023-4 Mortgage Loan Trust                                                  | CUSIP: 12598WAE2<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |   2688000 | PA      | $2722890.51   | 0.12%             | 2068-10-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3805414 | PA      | $2024362.66   | 0.09%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18373248 | PA      | $4370861.50   | 0.19%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12645GBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2898687 | PA      | $2442143.90   | 0.11%             | 2037-02-27      | Floating      | 3.46%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2011-4R                                                              | CUSIP: 12645KDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4824619 | PA      | $4430754.23   | 0.19%             | 2036-05-27      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169734 | PA      | $135729.38    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692491 | PA      | $473356.78    | 0.02%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-17                                                   | CUSIP: 12667GSB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498193 | PA      | $414786.76    | 0.02%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74458 | PA      | $70798.06     | 0.00%             | 2021-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-31                                          | CUSIP: 126694UL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167532 | PA      | $152545.20    | 0.01%             | 2036-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-14                                          | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314384 | PA      | $298240.86    | 0.01%             | 2034-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842739 | PA      | $684871.50    | 0.03%             | 2035-03-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-15                                          | CUSIP: 12669GQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430380 | PA      | $209599.77    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1843495 | PA      | $555359.81    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314413 | PA      | $272207.35    | 0.01%             | 2038-02-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2004-HYB2                                          | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129751 | PA      | $121285.96    | 0.01%             | 2034-03-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-8                                             | CUSIP: 17307GF94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649148 | PA      | $602731.21    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust             | A&D Mortgage Trust 2025-NQM2                                                     | CUSIP: 00250EAC0<br>LEI: 9845004ECDEDFFFFC959 | Long             | ABS-MBS          | CORP              | US        |   1867951 | PA      | $1878508.20   | 0.08%             | 2070-06-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-4                                            | CUSIP: 007036DN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22387 | PA      | $22187.84     | 0.00%             | 2035-03-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GL89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723815 | PA      | $735814.92    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-11                                            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104994 | PA      | $107379.95    | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2007-5                                 | CUSIP: 17312KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45889 | PA      | $41012.61     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313CAD1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    170753 | PA      | $170702.42    | 0.01%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142656 | PA      | $142899.25    | 0.01%             | 2035-07-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2007-2                                       | CUSIP: 026930AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3463350 | PA      | $3150582.72   | 0.14%             | 2047-03-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-INV3                                          | CUSIP: 17329VDF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820033 | PA      | $765011.59    | 0.03%             | 2051-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-1 Mortgage Loan Trust                                                  | CUSIP: 19688TAA3<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |   4682865 | PA      | $4693857.54   | 0.20%             | 2069-02-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6326848 | PA      | $4833289.02   | 0.21%             | 2047-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                            | CUSIP: 04685A4T5<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10943599.37  | 0.48%             | 2028-09-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   1841180 | PA      | $1843757.52   | 0.08%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4                     | CUSIP: 225458PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651433 | PA      | $1109990.67   | 0.05%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470M59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9650000 | PA      | $427787.40    | 0.02%             | 2036-04-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0PJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137678 | PA      | $98895.69     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4481086 | PA      | $842163.15    | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Resecurit Trust Ser 2009-RS2      | CUSIP: 25158EAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461241 | PA      | $587433.10    | 0.03%             | 2037-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KU64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179911 | PA      | $163547.21    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619270 | PA      | $610843.55    | 0.03%             | 2043-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2035636 | PA      | $1999263.51   | 0.09%             | 2050-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330103 | PA      | $274996.90    | 0.01%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95471 | PA      | $52998.60     | 0.00%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BCJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3031366 | PA      | $2316413.40   | 0.10%             | 2050-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380744 | PA      | $282564.71    | 0.01%             | 2050-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFVD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628608 | PA      | $530838.12    | 0.02%             | 2049-11-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1807406 | PA      | $1338566.66   | 0.06%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BG4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68996 | PA      | $56791.28     | 0.00%             | 2049-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277220 | PA      | $167027.00    | 0.01%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1058915 | PA      | $1045509.94   | 0.05%             | 2044-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ATQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1184391.32   | 0.05%             | 2046-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6DK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248933 | PA      | $236462.16    | 0.01%             | 2041-02-15      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AUA74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1423556 | PA      | $1404770.89   | 0.06%             | 2042-09-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AWEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338147 | PA      | $331153.06    | 0.01%             | 2042-11-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FNQ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214749 | PA      | $180017.17    | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4EG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209338 | PA      | $205390.60    | 0.01%             | 2049-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B4NN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234014 | PA      | $194718.17    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FP2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5195494 | PA      | $5114163.28   | 0.22%             | 2049-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPT88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497429 | PA      | $487074.92    | 0.02%             | 2049-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B5ZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225042 | PA      | $221392.37    | 0.01%             | 2049-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4954752 | PA      | $4878559.56   | 0.21%             | 2049-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FT2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137444 | PA      | $105696.59    | 0.00%             | 2041-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2017-SC02                                | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19975 | PA      | $17523.31     | 0.00%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396RE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367636 | PA      | $364941.54    | 0.02%             | 2036-05-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443400 | PA      | $437611.32    | 0.02%             | 2036-11-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397CS42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138270 | PA      | $137087.89    | 0.01%             | 2036-11-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703385 | PA      | $698236.14    | 0.03%             | 2041-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6QP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13376997 | PA      | $13133889.10  | 0.57%             | 2049-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B6Z48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900577 | PA      | $888159.19    | 0.04%             | 2059-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136789 | PA      | $135829.87    | 0.01%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49224 | PA      | $36921.77     | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BATZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585959 | PA      | $492847.25    | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BB3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6208442 | PA      | $4616265.39   | 0.20%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization | Global Mortgage Securitization Ltd                                               | CUSIP: 378961AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     47363 | PA      | $41467.32     | 0.00%             | 2032-04-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374V2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492868 | PA      | $496085.09    | 0.02%             | 2039-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170123 | PA      | $144963.14    | 0.01%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BU5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495103 | PA      | $498751.96    | 0.02%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375JSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117958 | PA      | $117217.95    | 0.01%             | 2037-04-16      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391363 | PA      | $1388061.86   | 0.06%             | 2041-05-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377YWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136518 | PA      | $123888.27    | 0.01%             | 2041-07-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378ABF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1185346 | PA      | $1172965.92   | 0.05%             | 2041-11-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378HKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53006 | PA      | $47097.51     | 0.00%             | 2042-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1349384 | PA      | $1362182.08   | 0.06%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489401 | PA      | $492306.31    | 0.02%             | 2026-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                             | CUSIP: 393505Z47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085462 | PA      | $499995.39    | 0.02%             | 2031-05-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382380 | PA      | $1224112.73   | 0.05%             | 2037-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2024-NQM1 Trust                                                              | CUSIP: 55286VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4658851 | PA      | $4700769.86   | 0.20%             | 2069-03-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2003-HE1                           | CUSIP: 5899294W5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39126 | PA      | $38984.96     | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2005-A9                            | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156339 | PA      | $150551.20    | 0.01%             | 2035-12-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BD5X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2845612 | PA      | $2796024.13   | 0.12%             | 2044-08-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117513 | PA      | $115260.60    | 0.01%             | 2045-02-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 59020UJG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685012 | PA      | $531027.21    | 0.02%             | 2035-07-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3                        | CUSIP: 59020UL45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8949 | PA      | $8750.10      | 0.00%             | 2035-11-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BR4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749933 | PA      | $740481.75    | 0.03%             | 2046-08-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F74K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1085905 | PA      | $839996.84    | 0.04%             | 2050-12-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                        | CUSIP: 59023MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525869 | PA      | $1043651.94   | 0.05%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed  | Merrill Lynch Mortgage Backed Securities Trust Series 2007-3                     | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860806 | PA      | $491265.01    | 0.02%             | 2037-06-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692603 | PA      | $1221626.31   | 0.05%             | 2050-12-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8NS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945987 | PA      | $726733.26    | 0.03%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2005-HE1                                  | CUSIP: 61744CKN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116014 | PA      | $115193.54    | 0.01%             | 2034-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-NC5                                  | CUSIP: 61746RFV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874365 | PA      | $853237.42    | 0.04%             | 2034-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579NZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351438 | PA      | $366565.95    | 0.02%             | 2035-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2003-BC7                                  | CUSIP: 86358ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257590 | PA      | $253489.62    | 0.01%             | 2033-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2004-5                                    | CUSIP: 86358EJL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508601 | PA      | $459124.69    | 0.02%             | 2034-05-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2005-11                                   | CUSIP: 86358EZT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262673 | PA      | $255756.16    | 0.01%             | 2036-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-7                                        | CUSIP: 61748HPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106307 | PA      | $92430.09     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loa | Morgan Stanley Home Equity Loan Trust 2006-3                                     | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454201 | PA      | $311754.53    | 0.01%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-10                    | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376946 | PA      | $291440.52    | 0.01%             | 2036-11-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474757 | PA      | $185891.97    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAA2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |   1708514 | PA      | $804885.46    | 0.04%             | 2037-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2                         | CUSIP: 61776HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035679 | PA      | $2053096.57   | 0.09%             | 2069-05-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4618805 | PA      | $3686517.25   | 0.16%             | 2036-04-16      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540EAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1297518 | PA      | $1055531.12   | 0.05%             | 2036-10-26      | Floating      | 1.63%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13609 | PA      | $11230.83     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086062 | PA      | $899863.34    | 0.04%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-3                                                | CUSIP: 924928AC8<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    237673 | PA      | $238693.01    | 0.01%             | 2070-05-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426166 | PA      | $389632.68    | 0.02%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                   | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668836 | PA      | $621422.44    | 0.03%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310582 | PA      | $787531.49    | 0.03%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-8T1                                                  | CUSIP: 12668BMH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74160 | PA      | $33112.66     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235975 | PA      | $210253.28    | 0.01%             | 2036-05-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9                     | CUSIP: 22540VG63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738150 | PA      | $646492.73    | 0.03%             | 2032-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360357 | PA      | $918766.78    | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379420 | PA      | $80188.43     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470SB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58586 | PA      | $37778.37     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0HT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102088 | PA      | $92638.26     | 0.00%             | 2034-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716729 | PA      | $613223.17    | 0.03%             | 2051-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FABX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637754 | PA      | $563458.77    | 0.02%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32286 | PA      | $29024.36     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393XRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13956 | PA      | $13905.67     | 0.00%             | 2034-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394B6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484674 | PA      | $481257.52    | 0.02%             | 2035-02-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396K4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4266 | PA      | $4264.88      | 0.00%             | 2026-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359854 | PA      | $356855.80    | 0.02%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381R5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272265 | PA      | $221804.59    | 0.01%             | 2038-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499205 | PA      | $466252.69    | 0.02%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381RRU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1425762 | PA      | $1403721.87   | 0.06%             | 2049-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XGN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881942 | PA      | $391656.95    | 0.02%             | 2049-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384MXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19369 | PA      | $19460.20     | 0.00%             | 2054-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384QBK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257857 | PA      | $258763.28    | 0.01%             | 2054-06-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2007-HE2                                     | CUSIP: 40430RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161085 | PA      | $79401.58     | 0.00%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239823 | PA      | $189224.82    | 0.01%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR7                                        | CUSIP: 45660LLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630229 | PA      | $340671.14    | 0.01%             | 2035-06-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281493 | PA      | $173362.12    | 0.01%             | 2036-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373781 | PA      | $474538.58    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283993 | PA      | $205880.40    | 0.01%             | 2037-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR15                                       | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202260 | PA      | $143974.92    | 0.01%             | 2037-08-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A6                                         | CUSIP: 466285AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661337 | PA      | $560281.37    | 0.02%             | 2036-11-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2007-A1                                         | CUSIP: 466287BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526219 | PA      | $534769.93    | 0.02%             | 2037-03-25      | Floating      | 3.91%                 | No            |                  3 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4581 | PA      | $5704.23      | 0.00%             | 2036-09-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-D                        | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180292 | PA      | $165609.67    | 0.01%             | 2028-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Resecuritization Trust 2015-R2                                    | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788114 | PA      | $722794.73    | 0.03%             | 2046-12-27      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2090462 | PA      | $461820.64    | 0.02%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-2AX                                      | CUSIP: 61751TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841636 | PA      | $280695.80    | 0.01%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                      | CUSIP: 74161BAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086662 | PA      | $149122.21    | 0.01%             | 2036-06-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221352 | PA      | $176228.39    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308664 | PA      | $222397.48    | 0.01%             | 2036-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-4                                        | CUSIP: 75970HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979749 | PA      | $289309.03    | 0.01%             | 2037-01-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213771 | PA      | $194300.87    | 0.01%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2004-QA6 Trust                                                       | CUSIP: 76110HH28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467803 | PA      | $187450.06    | 0.01%             | 2034-12-26      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247859 | PA      | $166770.99    | 0.01%             | 2035-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247859 | PA      | $12622.10     | 0.00%             | 2035-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139035 | PA      | $51964.35     | 0.00%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  3 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14702 | PA      | $13751.44     | 0.00%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57728 | PA      | $54039.86     | 0.00%             | 2065-05-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Equity Loan Trust 2001-2                                          | CUSIP: 83611PAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48297 | PA      | $47223.93     | 0.00%             | 2030-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77550 | PA      | $74471.33     | 0.00%             | 2034-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2004-8                                    | CUSIP: 86358ELL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980099 | PA      | $946115.10    | 0.04%             | 2034-09-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A         | CUSIP: 86359AZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36848 | PA      | $35586.82     | 0.00%             | 2033-06-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS         | CUSIP: 86359BJV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209543 | PA      | $205357.75    | 0.01%             | 2034-03-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp                                                 | CUSIP: 86359BYT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900001 | PA      | $691402.52    | 0.03%             | 2029-12-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2977 | PA      | $2857.89      | 0.00%             | 2034-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1562540 | PA      | $704088.97    | 0.03%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR4                          | CUSIP: 86360QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169160 | PA      | $168002.99    | 0.01%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626955 | PA      | $230569.66    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2005-1                                       | CUSIP: 885220HA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127592 | PA      | $127177.58    | 0.01%             | 2045-04-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                    | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409237 | PA      | $363496.50    | 0.02%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                   | CUSIP: 933637AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136711 | PA      | $115660.27    | 0.01%             | 2037-01-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195666 | PA      | $177830.97    | 0.01%             | 2036-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                   | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717595 | PA      | $650420.52    | 0.03%             | 2046-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879SM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680617 | PA      | $412256.54    | 0.02%             | 2035-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-AC6                            | CUSIP: 07387TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370732 | PA      | $526383.33    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2006-SD3                              | CUSIP: 073888AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824380 | PA      | $732369.27    | 0.03%             | 2036-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II    | Bear Stearns ALT-A Trust II 2007-1                                               | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6624003 | PA      | $3079854.48   | 0.13%             | 2047-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2007-2                                                    | CUSIP: 07401EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739369 | PA      | $669476.69    | 0.03%             | 2046-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3879580 | PA      | $206934.87    | 0.01%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FLVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2353159 | PA      | $2315423.41   | 0.10%             | 2049-05-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTUF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1778866 | PA      | $1745608.97   | 0.08%             | 2050-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FTVA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2103961 | PA      | $2064067.98   | 0.09%             | 2050-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FXJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2496325 | PA      | $1899497.27   | 0.08%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2006-2                                    | CUSIP: 86358EE77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424452 | PA      | $200557.27    | 0.01%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2003-BC8                                  | CUSIP: 86358EEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75124 | PA      | $71412.76     | 0.00%             | 2033-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-29

**Name of Applicant:** Advisor Managed Portfolios

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

**Name of Signer:** Advisor Managed Portfolios

**Title:** Treasurer and Principal Financial Officer