# EDGAR Filing Document

**Accession Number:** 0000810695
**File Stem:** 0001752724-23-034672
**Filing Date:** 2023-2
**Character Count:** 366383
**Document Hash:** 40eb75be74a414b471ef61d94cc35a5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034672.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034672

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **CENTRAL INDEX KEY:** 0000810695
- **IRS NUMBER:** 043023766
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05010
- **FILM NUMBER:** 23656737

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $773878093.76

**Total Liabilities:** $1278738.69

**Net Assets:** $772599355.07

**Cash Not Reported:** $7467.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 181.93463500 | **1-Year:** 3143.92453200 | **5-Year:** 2683.34667000 | **10-Year:** 2311.40927500 | **30-Year:** 986.52879400

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

- **3-Month:** 6330.09773200 | **1-Year:** 28467.70564500 | **5-Year:** 36205.78699700 | **10-Year:** 272747.66612100 | **30-Year:** 49871.07720700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212570 | 2.06%                | 0.18%                | 0.87%                |
| Class ID C000212571 | 2.00%                | 0.17%                | 0.80%                |
| Class ID C000212569 | 2.07%                | 0.26%                | 0.90%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-17750.32               | $11939070.34                               |
| Month 2  | $919488.95               | $-2161814.37                               |
| Month 3  | $-435057.84              | $2755400.32                                |

### Schedule of Portfolio Investments

| Name                                                             | Title                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Luminent Mortgage Trust                                          | LUM 2006-7 1A1            | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298457 | PA      | $267394.90    | 0.03%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-S4 CB2          | CUSIP: 9292275R3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1059615 | PA      | $507389.55    | 0.07%             | 2033-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2007-1 1A4            | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    815125 | PA      | $757380.32    | 0.10%             | 2047-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2004-HYB2 3A        | CUSIP: 17307GED6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113583 | PA      | $102231.39    | 0.01%             | 2034-03-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCWHE 2009-1 5DS2         | CUSIP: 92910AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9568237 | PA      | $8498248.69   | 1.10%             | 2036-05-16      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QS5 A3          | CUSIP: 76110H2Z1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1201091 | PA      | $957543.60    | 0.12%             | 2035-04-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2005-1 6A             | CUSIP: 02660TDH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24035 | PA      | $23637.37     | 0.00%             | 2045-06-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Snd                                                 | BSSLT 2007-1 3A           | CUSIP: 07401WBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20023 | PA      | $18629.31     | 0.00%             | 2037-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-5 2A1           | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474062 | PA      | $398058.11    | 0.05%             | 2035-09-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-29 6A1          | CUSIP: 22541Q4C3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2249 | PA      | $2057.58      | 0.00%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2006-2 3A1            | CUSIP: 02660YAT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428833 | PA      | $56140.94     | 0.01%             | 2036-06-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2006-2A B1           | CUSIP: 07324YAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136815 | PA      | $125504.19    | 0.02%             | 2036-07-25      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2002-4 M1            | CUSIP: 22541NQM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38898 | PA      | $37756.95     | 0.00%             | 2033-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Ln                                                | GMLT 2004-1 A             | CUSIP: 39538VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585570 | PA      | $461964.93    | 0.06%             | 2034-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2005-NC2 A4          | CUSIP: 57643LMP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1284453 | PA      | $731982.50    | 0.09%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RALI Series Trust                                                | RALI 2006-QS12 2A11       | CUSIP: 751151AQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60102 | PA      | $44286.90     | 0.01%             | 2036-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2006-RP1 M3          | CUSIP: 76112B2X7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8554000 | PA      | $8461809.27   | 1.10%             | 2045-10-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Home Equity 2007-1                                               | HEMT 2007-1 A1            | CUSIP: 43710ABB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565928 | PA      | $537310.16    | 0.07%             | 2037-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA3 NB4         | CUSIP: 76110H2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203115 | PA      | $63106.05     | 0.01%             | 2035-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2003-9 A2             | CUSIP: 36228FWS1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    405982 | PA      | $374677.07    | 0.05%             | 2033-08-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET                                    | FFML 2003-FFB X           | CUSIP: BCC0B8R50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198463 | PA      | $200000.00    | 0.03%             | 2033-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                              | NRZT 2019-5A B5IB         | CUSIP: 64830MEL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16287324 | PA      | $483766.08    | 0.06%             | 2059-08-25      | Floating      | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-10 3A11         | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394114 | PA      | $356642.56    | 0.05%             | 2036-01-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2006-7 5A1            | CUSIP: 52520QBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472086 | PA      | $132663.40    | 0.02%             | 2036-09-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 1998-3 1A2            | CUSIP: 00105HDQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40334 | PA      | $39544.41     | 0.01%             | 2028-09-22      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2003-WMC2 B1         | CUSIP: 589929M54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1772639 | PA      | $1507787.71   | 0.20%             | 2034-02-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Asset Backed Secs Corp Home Equity Loan                          | ABSHE 2003-HE1 M3         | CUSIP: 04541GDM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1631438 | PA      | $1489043.06   | 0.19%             | 2033-01-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                         | MBI 0 12/15/33            | CUSIP: U5777LAB6<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  34994582 | PA      | $11198266.24  | 1.45%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2007-A2 3A1         | CUSIP: 46630PAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54038 | PA      | $43107.53     | 0.01%             | 2037-04-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 2008-1                                             | BAFC 2008-1 A2            | CUSIP: 05955AAJ0<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |   1389697 | PA      | $1313070.60   | 0.17%             | 2048-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2005-2 1B1            | CUSIP: 61915RAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84692 | PA      | $82947.35     | 0.01%             | 2035-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A1 1A1         | CUSIP: 12566QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18425 | PA      | $16209.24     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR6 1A1          | CUSIP: 362341RT8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     11156 | PA      | $10863.84     | 0.00%             | 2035-09-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2007-4 5A1           | CUSIP: 05953YBT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67653 | PA      | $59659.94     | 0.01%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOANME TRUST SBL 2019-1                                          | LMTBL 2019-1 C            | CUSIP: 53947KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $700057.40    | 0.09%             | 2030-08-15      | Floating      | 11.50%                | Yes           |                  2 | On Loan: No      |
| Banc Amer Fdg 06-B                                               | BAFC 2006-B 1A1           | CUSIP: 058928AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178291 | PA      | $160141.93    | 0.02%             | 2036-03-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust LLC                                 | WMLT 2007-A 4A1           | CUSIP: 92979DAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559033 | PA      | $490829.08    | 0.06%             | 2037-03-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-7F 2A6           | CUSIP: 362341MR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65222 | PA      | $61662.17     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                               | JPALT 2006-S2 A4          | CUSIP: 46628CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57257 | PA      | $56617.20     | 0.01%             | 2036-05-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2007-FXD1 1A1       | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965504 | PA      | $780570.81    | 0.10%             | 2037-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2005-AR4 2A1        | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220434 | PA      | $204728.33    | 0.03%             | 2035-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2007-C 6A2           | CUSIP: 059522AB8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     94831 | PA      | $90208.54     | 0.01%             | 2047-05-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2005-TC2 M8         | CUSIP: 073879E95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3547332 | PA      | $3597032.68   | 0.47%             | 2035-08-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| RALI Series Trust                                                | RALI 2007-QS4 1A4         | CUSIP: 74923HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311402 | PA      | $234496.23    | 0.03%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2004-10 4A1          | CUSIP: 576434VX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16553 | PA      | $15803.36     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2003-5 4A1           | CUSIP: 576434FF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45542 | PA      | $43422.79     | 0.01%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Abfs Mtg Ln Tst                                                  | ABFS 2000-3 A             | CUSIP: 000759BT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133053 | PA      | $114562.56    | 0.01%             | 2031-09-15      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                  | MSDWC 2001-AM1 B1         | CUSIP: 61746WJF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112851 | PA      | $483736.45    | 0.06%             | 2032-02-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| SAYBROOK SENIOR TRUST                                            | SAYBT 2003-1A B           | CUSIP: 929774AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    638819 | PA      | $491890.62    | 0.06%             | 2035-02-08      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2004-9 6A1          | CUSIP: 07386HLE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9425 | PA      | $9100.08      | 0.00%             | 2034-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2005-SL2 A5          | CUSIP: 76112BUZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218150 | PA      | $108819.78    | 0.01%             | 2031-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2003-RS7 MII2        | CUSIP: 760985YD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650166 | PA      | $602575.80    | 0.08%             | 2033-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1997-8 M1              | CUSIP: 393505YA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1936475 | PA      | $1795322.10   | 0.23%             | 2027-10-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 1A1           | CUSIP: 05950AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612796 | PA      | $525585.85    | 0.07%             | 2046-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Cwheq Hm Eqty 06s4                                               | CWL 2006-S4 A6            | CUSIP: 23243NAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         4 | PA      | $4.27         | 0.00%             | 2034-07-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-1                                                | BSAAT 2007-1 1A1          | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41216 | PA      | $21405.75     | 0.00%             | 2047-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2001-SB1 A2          | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378419 | PA      | $373737.54    | 0.05%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2005-6 3A2           | CUSIP: 576433C46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1854222 | PA      | $709008.31    | 0.09%             | 2035-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| PDOF Msn Issuer LLC                                              | PDOFMS FLOAT 03/01/25     | CUSIP: 69429PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1958139.40   | 0.25%             | 2025-03-01      | Floating      | 8.80%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-13F 3A3          | CUSIP: 36242DLW1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     15281 | PA      | $14550.88     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-2 11A1         | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1830092 | PA      | $2502729.09   | 0.32%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2005-AGE1 B3         | CUSIP: 225458PD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553042 | PA      | $553403.08    | 0.07%             | 2032-02-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2006-1 1A1            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160543 | PA      | $146632.19    | 0.02%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                        | NCHET 2003-5 M2           | CUSIP: 64352VEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1522 | PA      | $1311.82      | 0.00%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2001-AR5 B1          | CUSIP: 22540VLG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129391 | PA      | $116733.33    | 0.02%             | 2039-12-19      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Sec                                               | DBALT 2006-AB2 A3         | CUSIP: 251511AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171478 | PA      | $141073.36    | 0.02%             | 2036-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2002-S3 M2            | CUSIP: 126671SV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       163 | PA      | $159.78       | 0.00%             | 2032-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series Trust                                               | RFMSI 2006-SA4 2A1        | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137439 | PA      | $113180.21    | 0.01%             | 2036-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| X-Caliber Funding Llc                                            | XCALFD 11 09/24/24        | CUSIP: 98373XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1230967.37   | 0.16%             | 2024-09-24      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2003-RS10 MII2       | CUSIP: 760985D81<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384275 | PA      | $359334.78    | 0.05%             | 2033-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA8 NB2         | CUSIP: 761118BU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79198 | PA      | $67593.86     | 0.01%             | 2035-07-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-MS3 CB3        | CUSIP: 939336TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161251 | PA      | $93044.74     | 0.01%             | 2033-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | GMACM 2005-AR4 3A1        | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1874097 | PA      | $1554912.62   | 0.20%             | 2035-07-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Cwheq Rev 2006-H                                                 | CWHEL 2006-HW 2A1B        | CUSIP: 126686AH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    603680 | PA      | $523782.88    | 0.07%             | 2036-11-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg 06-B                                               | BOAMS 2006-B 2A1          | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76854 | PA      | $67641.96     | 0.01%             | 2046-11-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2005-2 AX             | CUSIP: 52520MCP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    771695 | PA      | $125690.52    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2003-HE3 M4         | CUSIP: 17307GCY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2301000 | PA      | $2357865.30   | 0.31%             | 2033-12-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2006-AR2 1A2        | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480851 | PA      | $444781.56    | 0.06%             | 2036-03-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Long Beach 06-A                                                  | LBMLT 2006-A A1           | CUSIP: 542515AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25423727 | PA      | $579849.12    | 0.08%             | 2036-05-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-B                                               | BAFC 2006-B 7A1           | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504580 | PA      | $413602.61    | 0.05%             | 2036-03-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2006-RS6 A4          | CUSIP: 75156QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176762 | PA      | $147235.24    | 0.02%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                               | SAMI 2007-AR2 1A1         | CUSIP: 86363DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62071 | PA      | $54272.86     | 0.01%             | 2037-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2006-R2 AF1          | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455369 | PA      | $432523.03    | 0.06%             | 2036-07-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Lehman Xs Trust                                                  | LXS 2007-3 1AA1           | CUSIP: 525245AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    564822 | PA      | $444134.96    | 0.06%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2007-FXD2 2A5       | CUSIP: 68403BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350992 | PA      | $326909.19    | 0.04%             | 2037-03-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2005-AR4 1A1         | CUSIP: 39538WBQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524754 | PA      | $505890.87    | 0.07%             | 2045-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                      | ABK 5.1 PERP              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |  53493780 | PA      | $74891292.55  | 9.69%             | 2169-06-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11      | CSFB 2002-34 DB1          | CUSIP: 2254W0EY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23166 | PA      | $21365.64     | 0.00%             | 2032-12-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2006-2 PO            | CUSIP: 5764342Q6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37056 | PA      | $14939.64     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA9 NB21        | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2634572 | PA      | $1002484.68   | 0.13%             | 2035-08-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Cwheq Rev 2006-H                                                 | CWHEL 2006-HW 2A1A        | CUSIP: 126686AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27620 | PA      | $24761.36     | 0.00%             | 2036-11-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-AR5 7A1         | CUSIP: 22541SJF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75839 | PA      | $75178.85     | 0.01%             | 2034-06-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2007-HE2 A4         | CUSIP: 36186LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    891846 | PA      | $894487.52    | 0.12%             | 2037-12-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-10 3A2           | CUSIP: 45254NLN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149926 | PA      | $135156.53    | 0.02%             | 2035-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA2 A1I         | CUSIP: 76110HS34<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824830 | PA      | $611846.80    | 0.08%             | 2035-02-25      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2005-AC5 1A1        | CUSIP: 073879ZW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174468 | PA      | $121095.89    | 0.02%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                          | LUM 2007-2 2A1            | CUSIP: 55027WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501912 | PA      | $439244.90    | 0.06%             | 2037-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2005-AR5 3A1         | CUSIP: 39538WEK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332527 | PA      | $252331.59    | 0.03%             | 2045-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                        | NCHET 2003-5 AI7          | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3438 | PA      | $3315.61      | 0.00%             | 2033-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Mastr Seasoned Sec                                               | MSSTR 2003-1 3A2          | CUSIP: 55265WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63506 | PA      | $60759.08     | 0.01%             | 2033-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | SAMI 2001-4 A1            | CUSIP: 86358HLZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43263 | PA      | $37595.75     | 0.00%             | 2024-10-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2015-79 GI            | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    180567 | PA      | $33343.62     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2006-A 1A1          | CUSIP: 05949CRP3<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    102469 | PA      | $84495.17     | 0.01%             | 2036-02-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Firstcity Capital Home Equity Loan Trust                         | FCHE 1998-2 A3            | CUSIP: 33763NAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310911 | PA      | $301780.73    | 0.04%             | 2029-01-25      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2004-AR5 2A1A        | CUSIP: 45660NS30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165329 | PA      | $136412.50    | 0.02%             | 2034-08-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                               | JPALT 2006-A1 2A2         | CUSIP: 46627MCV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3596776 | PA      | $3362285.90   | 0.44%             | 2036-03-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                   | CBASS 1999-3 A            | CUSIP: 124860CB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9359 | PA      | $7185.61      | 0.00%             | 2029-02-03      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMS 2018-SRP5 B          | CUSIP: 36255TAJ1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1838294 | PA      | $1319537.19   | 0.17%             | 2031-09-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-13                    | CWL 2006-13 1AF5          | CUSIP: 23242EAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665509 | PA      | $526027.58    | 0.07%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2013-8 1A2          | CUSIP: 17321PAB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     33834 | PA      | $27963.10     | 0.00%             | 2035-05-25      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1998-2 A            | CUSIP: 36228FAE6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    148903 | PA      | $144988.77    | 0.02%             | 2027-05-19      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                | CBASS 2002-CB3 B1         | CUSIP: 79549ARA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7568 | PA      | $7551.72      | 0.00%             | 2032-06-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2005-2 5A2            | CUSIP: 52520MCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134133 | PA      | $126201.20    | 0.02%             | 2035-12-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2007-5CB 1A18       | CUSIP: 02150EAT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382731 | PA      | $48579.19     | 0.01%             | 2037-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                               | JPALT 2005-S1 2A1         | CUSIP: 46627MAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419150 | PA      | $319347.47    | 0.04%             | 2035-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust     | WFHET 2005-1 M9           | CUSIP: 9497ERAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693175 | PA      | $673677.29    | 0.09%             | 2035-04-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2004-11 B1           | CUSIP: 576433SF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474500 | PA      | $455876.10    | 0.06%             | 2034-11-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 2000-3 2A             | CUSIP: 00105HEM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143104 | PA      | $134445.19    | 0.02%             | 2030-10-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2006-SP1 M2          | CUSIP: 76112B3G3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1648949 | PA      | $1135112.21   | 0.15%             | 2045-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSR 2006-2F 2A13          | CUSIP: 362334CZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1561580 | PA      | $1368580.36   | 0.18%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2006-OA2 2A1         | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352312 | PA      | $269942.10    | 0.03%             | 2046-12-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-AR30 5A1        | CUSIP: 22541Q2D3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12064 | PA      | $11629.96     | 0.00%             | 2034-01-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2004-SL4 A5          | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281279 | PA      | $121732.95    | 0.02%             | 2032-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-AR31 CB1        | CUSIP: 22541NTG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88278 | PA      | $82090.89     | 0.01%             | 2032-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWHEL 2004-R 2A           | CUSIP: 126673QB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76279 | PA      | $72701.30     | 0.01%             | 2030-03-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-11 5A5         | CUSIP: 57643MJM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107983 | PA      | $96107.00     | 0.01%             | 2034-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2005-WF1 A4         | CUSIP: 17307GPE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4888 | PA      | $4862.59      | 0.00%             | 2034-11-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Saco I Trust                                                     | SACO 2007-2 A1            | CUSIP: 78581NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35386 | PA      | $34985.07     | 0.00%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR6 B1          | CUSIP: 929227QC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175160 | PA      | $151829.49    | 0.02%             | 2042-06-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-6A 1A1          | CUSIP: 007036PA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252946 | PA      | $211592.64    | 0.03%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAMP 2003-SEA2 A1        | CUSIP: 36228FYS9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     36637 | PA      | $33499.70     | 0.00%             | 2033-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCWHE 2009-1 5AT3         | CUSIP: 92910JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750410 | PA      | $3351417.89   | 0.43%             | 2036-02-16      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Raac Ser 2006 Sp4                                                | RAAC 2006-SP4 M4          | CUSIP: 74919VAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630421 | PA      | $1797134.68   | 0.23%             | 2036-11-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2004-1 B2             | CUSIP: 61913PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298533 | PA      | $280891.21    | 0.04%             | 2034-11-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-10 4B            | CUSIP: 45254NLY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176402 | PA      | $165038.96    | 0.02%             | 2035-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Csmc MortgBacked                                                 | CSMC 2007-4 5A1           | CUSIP: 126379AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2301713 | PA      | $349481.80    | 0.05%             | 2037-06-25      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2007-8XS A3W          | CUSIP: 61754PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4469863 | PA      | $2868456.64   | 0.37%             | 2037-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mtg Inv Trust                                      | MLCC 2007-2 1A            | CUSIP: 59024WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147774 | PA      | $143426.51    | 0.02%             | 2037-06-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-2 M6           | CUSIP: 07388FAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2987000 | PA      | $2927032.99   | 0.38%             | 2036-07-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2006-HE2 M2         | CUSIP: 07387UEN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1519655 | PA      | $1469862.74   | 0.19%             | 2036-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                  | MSDWC 2001-AM1 M2         | CUSIP: 61746WJE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50900 | PA      | $50770.07     | 0.01%             | 2032-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2004-NCM2 2CB3      | CUSIP: 17307GHC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58598 | PA      | $58454.79     | 0.01%             | 2034-08-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mtg S                                               | BSMSI 1997-6 1A           | CUSIP: 073914VW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46935 | PA      | $46250.76     | 0.01%             | 2031-03-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RFSC 2002-RP2 A1          | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    696533 | PA      | $684851.15    | 0.09%             | 2032-10-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-OA7 3A1        | CUSIP: 02146BAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197066 | PA      | $138489.01    | 0.02%             | 2046-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust LLC                                 | WMLT 2006-A 1A1           | CUSIP: 92977TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52218 | PA      | $47780.83     | 0.01%             | 2036-05-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-SD4 3A1        | CUSIP: 07389NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331786 | PA      | $121495.12    | 0.02%             | 2036-10-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Nomura CRE CDO 2007-2 Ltd/LLC                                    | NMCRE 2007-2A D           | CUSIP: 65537HAF4<br>LEI: 549300U9HYZNUTPVJA78 | Long             | ABS-CBDO         | CORP              | KY        |   3172367 | PA      | $681424.34    | 0.09%             | 2042-05-21      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCBAS 2009-1 KAA3         | CUSIP: 92911MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15541485 | PA      | $224269.84    | 0.03%             | 2037-02-26      | Floating      | 0.31%                 | Yes           |                  2 | On Loan: No      |
| MSP DEER FINANCE                                                 | MSP DEER FNCE SYNDICTD LN | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   8472191 | PA      | $8472190.96   | 1.10%             | 2025-04-09      | Fixed         | 17.00%                | Yes           |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-MS9 2A         | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39563 | PA      | $39001.23     | 0.01%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| XCAL 2021-7 MORTGAGE TRUST                                       | XCAL 2021-7 A             | CUSIP: 98370NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2915469.60   | 0.38%             | 2026-01-06      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAA 2004-3 AF4           | CUSIP: 36228F3P9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     14824 | PA      | $14227.84     | 0.00%             | 2034-04-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-WF2 M5          | CUSIP: 86359DDF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470541 | PA      | $440788.58    | 0.06%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mtg Inv Trust                                      | MLMI 2006-FF1 B3          | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5696583 | PA      | $6268953.80   | 0.81%             | 2036-08-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2006-OA2 4A1B        | CUSIP: 55275NAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1458597 | PA      | $1234921.38   | 0.16%             | 2046-12-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| PEAR LLC                                                         | PEAR 2020-1 A             | CUSIP: 70472CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1504031 | PA      | $1471627.14   | 0.19%             | 2032-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2007-1 I2A3          | CUSIP: 576431AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1575484 | PA      | $1544258.37   | 0.20%             | 2047-01-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corp                                            | MESC 11PA B3              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1843597 | PA      | $1646645.43   | 0.21%             | 2032-09-28      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2010-8 2A2          | CUSIP: 17317HAH7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    181292 | PA      | $161724.71    | 0.02%             | 2035-11-19      | Floating      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Residential Equity                                               | RFMS2 2006-HSA3 A         | CUSIP: 76113JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204944 | PA      | $202266.04    | 0.03%             | 2036-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 2000-2 1A             | CUSIP: 00105HEJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040914 | PA      | $880096.95    | 0.11%             | 2030-06-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-AR6 7A1         | CUSIP: 22541SNZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45520 | PA      | $45087.25     | 0.01%             | 2034-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2005-2 5A4D           | CUSIP: 02660TFM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4638001 | PA      | $3480080.30   | 0.45%             | 2035-09-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2004-11XS 1A5A       | CUSIP: 86359BUE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523981 | PA      | $491455.99    | 0.06%             | 2034-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust                                     | GMACM 2005-HE1 A1VN       | CUSIP: 361856ED5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13589 | PA      | $8435.05      | 0.00%             | 2035-08-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                           | MSC 2011-C3 D             | CUSIP: 61760RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991000 | PA      | $955079.72    | 0.12%             | 2049-07-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-23 6A1          | CUSIP: 22541QXA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29642 | PA      | $28370.26     | 0.00%             | 2033-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mtg                                                 | SAMI 2006-AR5 2A1         | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753472 | PA      | $477605.07    | 0.06%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2005-3A M5           | CUSIP: 07324SCH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    178992 | PA      | $159727.93    | 0.02%             | 2035-11-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2004-9 23A1         | CUSIP: 07384M3E0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389472 | PA      | $359773.11    | 0.05%             | 2034-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                    | CXHE 2004-D MF2           | CUSIP: 152314LN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332914 | PA      | $318707.21    | 0.04%             | 2034-09-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2006-OA2 1A1         | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3940302 | PA      | $2852369.91   | 0.37%             | 2046-12-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp                                              | ACE 2003-OP1 M2           | CUSIP: 004427BN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179656 | PA      | $180213.32    | 0.02%             | 2033-12-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2006-AR2 2A1         | CUSIP: 45661EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167512 | PA      | $117455.21    | 0.02%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2004-2 A             | CUSIP: 07324SAR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236051 | PA      | $235538.82    | 0.03%             | 2034-08-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-AR6 A1          | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164352 | PA      | $151449.13    | 0.02%             | 2033-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Tmsq 2014                                                        | TMSQ 2014-1500 XA         | CUSIP: 87264JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $20376.00     | 0.00%             | 2036-10-10      | Floating      | 0.15%                 | Yes           |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd.                              | GMSL 2004-A A2            | CUSIP: 378961AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    586011 | PA      | $565010.97    | 0.07%             | 2032-11-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2003-4 3A1           | CUSIP: 576434EL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28570 | PA      | $28550.31     | 0.00%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-63 5A1         | CUSIP: 12668AXL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30888 | PA      | $26872.43     | 0.00%             | 2035-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| GSamp Trust                                                      | GSAMP 2006-S6 A2          | CUSIP: 36245CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33060729 | PA      | $246576.84    | 0.03%             | 2036-10-25      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 362 2                 | CUSIP: 3136FCVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355151 | PA      | $55188.56     | 0.01%             | 2035-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cwheq Hm Eqty 06s5                                               | CWL 2006-S5 A5            | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084219 | PA      | $2491860.18   | 0.32%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1999-5 A6              | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2902363 | PA      | $1183658.34   | 0.15%             | 2030-03-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2002-4 B             | CUSIP: 759950AP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67659 | PA      | $10966.39     | 0.00%             | 2033-03-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A1 1A9         | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176051 | PA      | $6588.36      | 0.00%             | 2037-01-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2005-11 A3          | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30676 | PA      | $29084.05     | 0.00%             | 2035-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 249 2                 | CUSIP: 31364HE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49001 | PA      | $1008.18      | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-6 A2B            | CUSIP: 87222PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246966 | PA      | $322223.70    | 0.04%             | 2037-01-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-MS7 B1         | CUSIP: 939336TY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40303 | PA      | $37504.83     | 0.00%             | 2033-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2006-AR12 3A1        | CUSIP: 93363NAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54591 | PA      | $46774.75     | 0.01%             | 2036-10-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2005-8 6A1           | CUSIP: 2254582G2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382543 | PA      | $311128.29    | 0.04%             | 2025-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                              | TMST 2005-1 A5            | CUSIP: 885220HD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61259 | PA      | $57097.54     | 0.01%             | 2045-04-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCWHE 2009-1 5AU0         | CUSIP: 92909FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1134543 | PA      | $1022594.62   | 0.13%             | 2036-02-16      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| MBIA Global Funding, LLC                                         | MBI 0 12/15/31            | CUSIP: 55266LCY0<br>LEI: ZAJ6XZK87T6PEXI8DY31 | Long             | DBT              | CORP              | US        |  10652561 | PA      | $4474075.54   | 0.58%             | 2031-12-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2005-10 23A1        | CUSIP: 07386HZG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100164 | PA      | $90524.04     | 0.01%             | 2036-01-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Bayview Finl Secs                                                | BAYV 2004-D B1            | CUSIP: 07325NAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58944 | PA      | $59028.61     | 0.01%             | 2044-08-28      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Chaseflex Trust                                                  | CFLX 2005-2 3A4           | CUSIP: 16165TBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1092402 | PA      | $671336.46    | 0.09%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ansonia CDO 2006-1 Ltd / LLC                                     | ANSON 2006-1A AFX         | CUSIP: 036510AB1<br>LEI: 5493000YY0U5X4U03X89 | Long             | ABS-CBDO         | CORP              | US        |     86407 | PA      | $82400.03     | 0.01%             | 2046-07-28      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2004-1 B1            | CUSIP: 81744FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297357 | PA      | $274613.23    | 0.04%             | 2034-02-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-16 4A1B        | CUSIP: 41161PZD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946953 | PA      | $728243.22    | 0.09%             | 2037-01-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Ixis Real Estate                                                 | IXIS 2005-HE4 M1          | CUSIP: 45071KCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7210 | PA      | $7564.56      | 0.00%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2006-A3CB PO         | CUSIP: 45661EFP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228804 | PA      | $45510.66     | 0.01%             | 2046-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust           | JPMCC 2006-CB17 AJ        | CUSIP: 46630EAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1530202 | PA      | $1045913.07   | 0.14%             | 2043-12-12      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2005-8SL M1           | CUSIP: 61748HQK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180307 | PA      | $364099.36    | 0.05%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2004-1HE M2          | CUSIP: 881561DL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352586 | PA      | $312444.45    | 0.04%             | 2034-02-25      | Floating      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                           | MSC 2011-C2 D             | CUSIP: 617459AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131281 | PA      | $123138.94    | 0.02%             | 2044-06-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Salomon Brothers Mtg Secs VII Inc                                | SBM7 1993-6A B1           | CUSIP: 79548KHL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6003 | PA      | $5921.85      | 0.00%             | 2023-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2006-1 1A2            | CUSIP: 61915RBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2847595 | PA      | $2044580.11   | 0.26%             | 2036-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Alt                                                 | NAA 2006-AF1 5A           | CUSIP: 65536PAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401831 | PA      | $397664.63    | 0.05%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Trust                                     | MLMT 2005-CKI1 F          | CUSIP: 59022HLQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66303 | PA      | $35970.37     | 0.00%             | 2037-11-12      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 1999-3 2A             | CUSIP: 00105HEC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2679306 | PA      | $2038156.21   | 0.26%             | 2029-09-28      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Residential Fdg I                                                | RFMSI 2006-SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115459 | PA      | $95358.94     | 0.01%             | 2036-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2003-12 S             | CUSIP: 38373SLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    185245 | PA      | $4867.73      | 0.00%             | 2033-02-20      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2004-1 B2            | CUSIP: 251563CQ3<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     33848 | PA      | $30820.40     | 0.00%             | 2033-09-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| American Hm Mtg In                                               | AHM 2006-3 12A1           | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549758 | PA      | $508534.13    | 0.07%             | 2046-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2004-CB2 2A          | CUSIP: 92922FTX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12934 | PA      | $12469.09     | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST                            | MSRR 2014-R4 4B2          | CUSIP: 61763TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1113653 | PA      | $955437.70    | 0.12%             | 2035-11-21      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2005-6 30PO          | CUSIP: 576434Y24<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57394 | PA      | $19736.72     | 0.00%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Jefferies & Co Inc                                               | JMAC 2009-R7 6A2          | CUSIP: 47233AAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    652441 | PA      | $660677.65    | 0.09%             | 2035-10-21      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-8F 2A1           | CUSIP: 362341VP1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    435021 | PA      | $392211.27    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 06-4                                                | BSARM 2006-4 1A1          | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    988725 | PA      | $867178.36    | 0.11%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2004-RA2 CB1        | CUSIP: 939336S20<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685704 | PA      | $559076.97    | 0.07%             | 2033-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Taberna Preferred Funding II Ltd                                 | TBRNA 2005-2A A2          | CUSIP: 87330UAD3<br>LEI: 8Z9UQTNXEECO8ECQHB85 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1318360.00   | 0.17%             | 2035-11-05      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 1A4           | CUSIP: 05950AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271021 | PA      | $217002.70    | 0.03%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| C Bass Series 2006-Cb2 Trust                                     | CBASS 2006-CB2 AF4        | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294430 | PA      | $230767.88    | 0.03%             | 2036-12-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2005-TC1 M6         | CUSIP: 073879VL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    674813 | PA      | $651668.52    | 0.08%             | 2035-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA11 6A1        | CUSIP: 761118LQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    827718 | PA      | $762142.36    | 0.10%             | 2035-10-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-QX1                   | CWL 2007-QX1 A1           | CUSIP: 12670EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    972529 | PA      | $758112.95    | 0.10%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LBSBN 2005-2A PS                                                 | LBSBN 2005-2A PS          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |       100 | PA      | $2350000.00   | 0.30%             | 2030-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2005-4 2A2            | CUSIP: 45254NPF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223205 | PA      | $180959.45    | 0.02%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-14 3A1A        | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194686 | PA      | $181696.31    | 0.02%             | 2035-12-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR6 2A2          | CUSIP: 362341RY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17581 | PA      | $16274.21     | 0.00%             | 2035-09-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2005-AA5 1A1        | CUSIP: 32051GPJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251775 | PA      | $169573.97    | 0.02%             | 2035-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ows Cre Funding I LLC                                            | OWSCRE FLOAT 09/15/23     | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1909889.20   | 0.25%             | 2023-09-15      | Floating      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                       | CSMC 2014-USA X1          | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |   2935145 | PA      | $33453.61     | 0.00%             | 2037-09-15      | Floating      | 0.54%                 | Yes           |                  2 | On Loan: No      |
| Sofi Mtg Tr 2016-1                                               | SFPMT 2016-1A 1AMF        | CUSIP: 78471KAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41877 | PA      | $37855.44     | 0.00%             | 2046-11-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                          | AAL 4 07/15/25            | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2906116 | PA      | $2521005.61   | 0.33%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2003-1 A2             | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14920 | PA      | $14521.52     | 0.00%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Rfmsi Ser 2006-Sa3                                               | RFMSI 2006-SA3 3A1        | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242903 | PA      | $203885.29    | 0.03%             | 2036-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust LLC                                 | WMLT 2005-A 1A1           | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301526 | PA      | $281729.03    | 0.04%             | 2035-08-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Secs Inc                                          | DBALT 2006-AB1 A3         | CUSIP: 251510ML4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129167 | PA      | $119483.31    | 0.02%             | 2036-02-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2004-QA6 NB4         | CUSIP: 76110HH85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645940 | PA      | $555354.36    | 0.07%             | 2034-12-26      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2005-SP3 SB          | CUSIP: 76112BT59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8156982 | PA      | $7559999.97   | 0.98%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mta Tr                                                | GPMF 2005-AR3 1A1         | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375984 | PA      | $282840.49    | 0.04%             | 2045-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                | BSARM 2007-5 3A1          | CUSIP: 07386YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51095 | PA      | $44771.82     | 0.01%             | 2047-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                    | SASCO 2003-5              | CUSIP: 80382QAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3199947 | PA      | $3118693.74   | 0.40%             | 2033-06-27      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VOOML 2009-1 SAA7         | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485928 | PA      | $688809.59    | 0.09%             | 2038-02-25      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| US BANK MMDA                                                     | US BANK MMDA-USBGFS 5     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  35702543 | PA      | $35702542.69  | 4.62%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust           | JPMCC 2012-C6 E           | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580058 | PA      | $433487.78    | 0.06%             | 2045-05-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                 | PPSI 2004-WWF1 M4         | CUSIP: 70069FDM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1763508 | PA      | $1771277.17   | 0.23%             | 2034-12-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-8 5A1           | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117662 | PA      | $114206.73    | 0.01%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                 | CFAB 2003-6 2M1           | CUSIP: 161546HJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    677553 | PA      | $689464.45    | 0.09%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                               | SAIL 2004-8 M9            | CUSIP: 86358EMH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2878885 | PA      | $2685810.11   | 0.35%             | 2034-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2007-WM1 A2A          | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8439 | PA      | $3616.46      | 0.00%             | 2036-11-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Residential Fdg I                                                | RFMSI 2005-SA1 2A         | CUSIP: 76111XTE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372396 | PA      | $1117673.22   | 0.14%             | 2035-03-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust                                     | MMLT 2003-1 M2            | CUSIP: 59001FAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55334 | PA      | $52452.50     | 0.01%             | 2033-11-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-5 5A1           | CUSIP: 22541SZM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52028 | PA      | $44022.80     | 0.01%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-8 1A6           | CUSIP: 12669FZN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45701 | PA      | $31121.09     | 0.00%             | 2034-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SAYBROOK SENIOR TRUST                                            | SAYBT 2003-1A A           | CUSIP: 929774AK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    417788 | PA      | $363475.22    | 0.05%             | 2035-02-08      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2003-3F B3            | CUSIP: 36228FPZ3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     99074 | PA      | $93597.16     | 0.01%             | 2033-04-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust     | WFHET 2004-2 M6           | CUSIP: 94980GAT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109690 | PA      | $108126.45    | 0.01%             | 2034-10-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-3 2A3          | CUSIP: 05949A3Q1<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     21757 | PA      | $18611.50     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2004-2 M5           | CUSIP: 68389FFL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104819 | PA      | $101711.99    | 0.01%             | 2034-05-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                               | IMCHE 1998-3 A7           | CUSIP: 449670EP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590201 | PA      | $570293.21    | 0.07%             | 2029-08-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-7 2A2           | CUSIP: 12669GNQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1881 | PA      | $615.72       | 0.00%             | 2035-03-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| IMC Hm Eqty Ln Tst                                               | IMCHE 1998-5 A5           | CUSIP: 449670EX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97934 | PA      | $93548.18     | 0.01%             | 2029-12-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2006-PR1 4AF1        | CUSIP: 25157GAP7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     51835 | PA      | $46548.16     | 0.01%             | 2036-04-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2007-5 10A2          | CUSIP: 22944BDR6<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |     41543 | PA      | $38661.99     | 0.01%             | 2029-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST                            | HCCLT 2020-1 M4           | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $884825.60    | 0.11%             | 2052-04-25      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR6 B2          | CUSIP: 929227QD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87777 | PA      | $75356.94     | 0.01%             | 2042-06-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDA 2005-AR2 2A1         | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18420 | PA      | $16696.58     | 0.00%             | 2036-01-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                        | IMSA 2005-1 4A            | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144608 | PA      | $123848.93    | 0.02%             | 2035-07-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                           | MSC 2011-C3 F             | CUSIP: 61760RAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1787950 | PA      | $1121041.61   | 0.15%             | 2049-07-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2004-A2 1A8          | CUSIP: 45660NB95<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23160 | PA      | $21422.39     | 0.00%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2004-B M7            | CUSIP: 35729PDW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35506 | PA      | $32743.92     | 0.00%             | 2034-05-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                        | SVHE 2004-1 M2            | CUSIP: 83611MBC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192165 | PA      | $188153.92    | 0.02%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Residential Fdg I                                                | RFMSI 2005-SA5 2A         | CUSIP: 76111XZB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843262 | PA      | $736366.90    | 0.10%             | 2035-11-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Banc America Commercial Mortgage Inc                             | BACM 2007-1 AJ            | CUSIP: 059497BB2<br>LEI: 549300KC4TL4CE0SHX51 | Long             | ABS-O            | CORP              | US        |   7091994 | PA      | $3302880.45   | 0.43%             | 2049-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2012-104 DI           | CUSIP: 38375GG70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    412320 | PA      | $9604.91      | 0.00%             | 2025-09-16      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                      | FFML 2004-FF2 M5          | CUSIP: 32027NHM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157074 | PA      | $142340.81    | 0.02%             | 2034-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-S13 CB1         | CUSIP: 92922FKK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780481 | PA      | $713030.54    | 0.09%             | 2034-01-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-2 1A3            | CUSIP: 878048AC1<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    483804 | PA      | $188363.54    | 0.02%             | 2036-07-25      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2004-FL1 1A1        | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169897 | PA      | $144690.21    | 0.02%             | 2035-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2006-4 4A1            | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189263 | PA      | $135094.78    | 0.02%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1998-3 A            | CUSIP: 36228FAK2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     62639 | PA      | $60281.43     | 0.01%             | 2027-09-19      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2002-2 B1            | CUSIP: 22541NCW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18412 | PA      | $29656.24     | 0.00%             | 2032-06-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 1A5           | CUSIP: 05950AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313659 | PA      | $251142.80    | 0.03%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Trust                                     | MLMT 2006-C1 B            | CUSIP: 59023BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278799 | PA      | $259036.94    | 0.03%             | 2039-05-12      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-AR9 1B2         | CUSIP: 92922FBZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158863 | PA      | $121829.84    | 0.02%             | 2033-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-7 1A             | CUSIP: 61749JAA4<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-O            | CORP              | US        |    117291 | PA      | $67557.87     | 0.01%             | 2023-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-14 4A1          | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345311 | PA      | $305754.11    | 0.04%             | 2034-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                        | SVHE 2004-1 M9            | CUSIP: 83611MBK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930065 | PA      | $740760.68    | 0.10%             | 2034-07-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| 61999A                                                           | MHL 2005-2 R              | CUSIP: 61999ADY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 338798775 | PA      | $2299999.86   | 0.30%             | 2035-05-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2003-4 A2             | CUSIP: 126671H41<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1068823 | PA      | $991807.89    | 0.13%             | 2033-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2005-16 2AF3          | CUSIP: 126670NY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40779 | PA      | $39917.41     | 0.01%             | 2036-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 409 19                | CUSIP: 3136FLAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263112 | PA      | $9647.83      | 0.00%             | 2027-04-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2001-AR5 B4          | CUSIP: 22540VLK6<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |     44129 | PA      | $37883.47     | 0.00%             | 2039-12-19      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Csmc M/Bkd 2007-1                                                | CSMC 2007-1 5A13          | CUSIP: 126378BM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553503 | PA      | $331438.10    | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-15F 3A1          | CUSIP: 36242DRC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204969 | PA      | $189417.26    | 0.02%             | 2034-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fremont Hm Ln Ow T                                               | FREHE 1999-3 A1           | CUSIP: 35729BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243507 | PA      | $222567.86    | 0.03%             | 2029-12-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UTD Natl Bk Hh Ln                                                | UNHOT 1999-1 M1           | CUSIP: 91103PAB5<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | ABS-O            | CORP              | US        |     12926 | PA      | $12859.22     | 0.00%             | 2025-03-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2004-8 3A2          | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1454183 | PA      | $1227766.77   | 0.16%             | 2034-11-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| X-Caliber Funding Llc                                            | XCALFD 5 09/24/24         | CUSIP: 98373XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3577400.40   | 0.46%             | 2024-09-24      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Tr 6                                                 | SEMT 6 B2                 | CUSIP: 81743XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71114 | PA      | $63873.37     | 0.01%             | 2027-04-19      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AR1 5A3          | CUSIP: 65535VDZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127260 | PA      | $120284.27    | 0.02%             | 2034-08-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CAL RECEIVABLES 2022-1 LLC                                       | CALR 2022-1 B             | CUSIP: 12804BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4883685.00   | 0.63%             | 2026-10-15      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-HE1 A2          | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    701452 | PA      | $658940.98    | 0.09%             | 2032-08-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2006-AR1 3A1         | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382691 | PA      | $313781.53    | 0.04%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                   | ACCR 2005-1 M5            | CUSIP: 004375CX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    892823 | PA      | $891660.40    | 0.12%             | 2035-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2007-3 4A6           | CUSIP: 12638PBV0<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    155725 | PA      | $124560.60    | 0.02%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AP3 A5A          | CUSIP: 65535VFY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9441 | PA      | $9199.18      | 0.00%             | 2034-10-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                              | CGCMT 2014-GC23 XA        | CUSIP: 17322VAY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33357611 | PA      | $364221.74    | 0.05%             | 2047-07-10      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2005-SD1 M2           | CUSIP: 004421KL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76936 | PA      | $78509.97     | 0.01%             | 2050-11-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-1F 2A4           | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306391 | PA      | $373568.92    | 0.05%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-AR1 3A1          | CUSIP: 362290AH1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    533561 | PA      | $465302.86    | 0.06%             | 2037-03-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAA 2005-2 B2            | CUSIP: 36242DTV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14172 | PA      | $23952.71     | 0.00%             | 2034-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust                                        | GSMS 2011-GC5 AS          | CUSIP: 36191YAE8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    861173 | PA      | $845760.26    | 0.11%             | 2044-08-10      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2006-RP1 M4          | CUSIP: 76112B2Y5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2759324 | PA      | $2745147.97   | 0.36%             | 2045-10-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                                | WMALT 2006-AR5 3A         | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421343 | PA      | $256792.47    | 0.03%             | 2046-07-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA11 3A1        | CUSIP: 761118LL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5015509 | PA      | $1709315.11   | 0.22%             | 2035-10-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Tr 07                                                | CD 2007-CD5 G             | CUSIP: 12514AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1710577 | PA      | $1696835.91   | 0.22%             | 2044-11-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-29 2B1          | CUSIP: 22541NPW3<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    595015 | PA      | $567692.10    | 0.07%             | 2032-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CIB MARINE                                                       | CIB Marine ? Pref A       | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |      3212 | NS      | $2023687.51   | 0.26%             |  |  |  | Yes           |                  1 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-1F 3A1           | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546206 | PA      | $371163.09    | 0.05%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSamp Trust                                                      | GSAMP 2006-S6 A3          | CUSIP: 36245CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12940262 | PA      | $133518.92    | 0.02%             | 2036-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                          | WBCMT 2005-C21 E          | CUSIP: 92976BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1236701 | PA      | $1045012.12   | 0.14%             | 2044-10-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Snd                                                 | BSSLT 2007-1 1A           | CUSIP: 07401WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    383943 | PA      | $363774.83    | 0.05%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2003-4 2B5           | CUSIP: 81743PCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25418 | PA      | $19379.22     | 0.00%             | 2033-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp              | JPMCC 2011-C3 D           | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5378000 | PA      | $3943430.33   | 0.51%             | 2046-02-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| ABS CorpHELT                                                     | ABSHE 2007-HE2 A2         | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7488 | PA      | $5152.83      | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 407 16                | CUSIP: 3136FG3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485584 | PA      | $95887.60     | 0.01%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mtg S                                               | BSMSI 1997-6 B2           | CUSIP: 073914WA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8019 | PA      | $7786.87      | 0.00%             | 2031-03-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln                                                       | GSR 2007-4F 2A1           | CUSIP: 362669AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2659388 | PA      | $3952280.50   | 0.51%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2003-8 2B1            | CUSIP: 45254NFK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3215 | PA      | $3104.53      | 0.00%             | 2033-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-R1 2A           | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98529 | PA      | $88698.39     | 0.01%             | 2034-11-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-8 30PO          | CUSIP: 05946X3C5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     56204 | PA      | $36176.25     | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LB-UBS Commercial Mortgage Trust                                 | LBUBS 2006-C6 AJ          | CUSIP: 50179MAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9517029 | PA      | $4161863.35   | 0.54%             | 2039-09-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust LLC                                 | WMLT 2005-A 2A1           | CUSIP: 92977YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1638403 | PA      | $1461082.25   | 0.19%             | 2035-08-20      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 1998-6 B2            | CUSIP: 863572UE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470369 | PA      | $265594.03    | 0.03%             | 2028-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                        | CWHEL 2005-H 2A           | CUSIP: 126685AP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61385 | PA      | $60246.11     | 0.01%             | 2035-12-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2005-4 5A             | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910722 | PA      | $426086.01    | 0.06%             | 2045-11-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                          | WBCMT 2004-C11 J          | CUSIP: 929766RE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441368 | PA      | $1406810.24   | 0.18%             | 2041-01-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2001-MH29 B1         | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259169 | PA      | $248365.88    | 0.03%             | 2031-09-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-2 2A1           | CUSIP: 12669FKS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282212 | PA      | $241619.49    | 0.03%             | 2034-02-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-8 1A2A         | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20187 | PA      | $14490.88     | 0.00%             | 2035-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA3 NB1         | CUSIP: 76110H2H1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63811 | PA      | $32606.38     | 0.00%             | 2035-03-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2012-LTRT                              | COMM 2012-LTRT A2         | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3716234 | PA      | $3187206.62   | 0.41%             | 2030-10-05      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSRPM 2004-1 B1           | CUSIP: 36242DGL1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    356937 | PA      | $354170.41    | 0.05%             | 2042-09-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-E 2A1           | CUSIP: 05946XXM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1746968 | PA      | $1510877.10   | 0.20%             | 2035-05-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Contimortgage Home Equity Loan Trust                             | CONHE 1996-4 A10          | CUSIP: 21075WDS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86261 | PA      | $74428.69     | 0.01%             | 2028-01-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FSPC T-56 AIO             | CUSIP: 31393RGH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   3122821 | PA      | $64448.47     | 0.01%             | 2043-05-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| GSamp Trust                                                      | GSAMP 2006-S6 A1C         | CUSIP: 36245CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4459473 | PA      | $46109.62     | 0.01%             | 2036-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-I 4A1          | CUSIP: 05949CHX7<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    518406 | PA      | $493339.48    | 0.06%             | 2035-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                 | MSAC 2005-WMC2 M3         | CUSIP: 61744CNT9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |   1826230 | PA      | $1771223.50   | 0.23%             | 2035-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Impac Sec Asst Cp                                                | IMSA 2006-2 2M3           | CUSIP: 45256VAU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32516 | PA      | $32404.08     | 0.00%             | 2036-08-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 2000-2 2A             | CUSIP: 00105HEK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736919 | PA      | $618405.30    | 0.08%             | 2030-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2005-3 2A1          | CUSIP: 07387AAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225914 | PA      | $214207.53    | 0.03%             | 2035-06-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2006-A 5A1           | CUSIP: 058927AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1582382 | PA      | $1394677.17   | 0.18%             | 2036-02-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2003-1 B1             | CUSIP: 36229RJK6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    127282 | PA      | $115599.85    | 0.01%             | 2033-03-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2005-AA3 2A1        | CUSIP: 32051GLS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    899456 | PA      | $489592.17    | 0.06%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1999-B A6             | CUSIP: 09774XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737790 | PA      | $113748.24    | 0.01%             | 2029-12-15      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Struct Asset Mtg                                                 | SAMI 2006-AR5 3A1         | CUSIP: 86360JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637829 | PA      | $655655.77    | 0.08%             | 2046-05-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2006-2 3CB          | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340205 | PA      | $258141.00    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2007-3 3A4           | CUSIP: 12638PBP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196083 | PA      | $160991.95    | 0.02%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Res Mtg T                                               | CRMSI 2007-2 A6           | CUSIP: 17312HAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       379 | PA      | $375.21       | 0.00%             | 2037-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1999-B A3             | CUSIP: 09774XBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    611382 | PA      | $86214.32     | 0.01%             | 2029-12-15      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2003-4F B3            | CUSIP: 36228FRL2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    185209 | PA      | $187868.10    | 0.02%             | 2033-05-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| ML CFC Commercial Mortgage Trust                                 | MLCFC 2007-9 AJA          | CUSIP: 60688CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257691 | PA      | $243542.49    | 0.03%             | 2049-09-12      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                | INHEL 2004-A M2           | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82066 | PA      | $78518.58     | 0.01%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2004-RR1 2A1        | CUSIP: 17307GDX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819638 | PA      | $769191.52    | 0.10%             | 2029-01-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Dbubs 2011-Lc1 Mtg Tr                                            | DBUBS 2011-LC3A D         | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2236410 | PA      | $1881451.68   | 0.24%             | 2044-08-10      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 1A2           | CUSIP: 05950AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618408 | PA      | $29991.24     | 0.00%             | 2046-05-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2004-11 1A1          | CUSIP: 576434WV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35551 | PA      | $33512.57     | 0.00%             | 2034-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                                | CWALT 2006-J6 A1          | CUSIP: 23244EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297594 | PA      | $545127.29    | 0.07%             | 2036-09-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                  | MSDWC 2002-AM3 B2         | CUSIP: 61746WWN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45375 | PA      | $627249.46    | 0.08%             | 2033-02-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| CSMC Series 2014-4R                                              | CSMC 2014-4R 16A3         | CUSIP: 12648JDQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132016 | PA      | $119962.80    | 0.02%             | 2036-02-27      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST                                    | CMLTI 2019-E A1           | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159654 | PA      | $157361.25    | 0.02%             | 2070-11-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Inc                                                        | CWHEL 2005-K 2A4          | CUSIP: 126685AX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750435 | PA      | $709511.03    | 0.09%             | 2036-02-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SOUTHERN FINANCIAL                                               | Sthrn Fin Tst - I         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3447966.09   | 0.45%             | 2030-09-07      | Fixed         | 10.60%                | Yes           |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 2000-3 1A             | CUSIP: 00105HEL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792548 | PA      | $740121.85    | 0.10%             | 2030-10-25      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2007-SD2 1A1B       | CUSIP: 07386UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169399 | PA      | $147213.19    | 0.02%             | 2046-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2004-1 B1           | CUSIP: 41161PDD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308052 | PA      | $228935.86    | 0.03%             | 2034-04-19      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Rer                                               | MSRR 2010-R7 3B           | CUSIP: 61759QAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20477 | PA      | $18571.14     | 0.00%             | 2034-11-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Finance America Mt                                               | FINA 2004-3 M2            | CUSIP: 317350BU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209469 | PA      | $179708.67    | 0.02%             | 2034-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-13 MF5           | CUSIP: 126673RC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306809 | PA      | $193159.94    | 0.03%             | 2035-01-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2004-12 4A1          | CUSIP: 576434YG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18856 | PA      | $18094.15     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2003-4 2B3           | CUSIP: 81743PCE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56284 | PA      | $46674.41     | 0.01%             | 2033-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Commercial Mortgage Securities Trust 2007-Ldp12 | JPMCC 2007-LD12 AJ        | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35263 | PA      | $30927.83     | 0.00%             | 2051-02-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 6-Sl5                                               | BSMF 2006-SL5 1A          | CUSIP: 07401HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858692 | PA      | $985440.47    | 0.13%             | 2036-12-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fremont Hm Ln Ow T                                               | FREHE 1999-3 A2           | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248379 | PA      | $227270.16    | 0.03%             | 2029-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2010-C1                             | GSMS 2010-C1 C            | CUSIP: 36249KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2931475.80   | 0.38%             | 2043-08-10      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                | WFRBS 2014-C19 XA         | CUSIP: 92938VAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3899924 | PA      | $30023.17     | 0.00%             | 2047-03-15      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| GENESIS PRIVATE LABEL AMORTIZING TRUST                           | GPLAT 2020-1 E            | CUSIP: 37187PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675000 | PA      | $660122.46    | 0.09%             | 2030-07-20      | Fixed         | 9.76%                 | Yes           |                  2 | On Loan: No      |
| C-Bass ABS LLC                                                   | CBASS 2004-RP1 M3         | CUSIP: 124860EK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564462 | PA      | $1584921.44   | 0.21%             | 2050-05-25      | Floating      | 7.39%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR5 1A1          | CUSIP: 362341LA5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    227657 | PA      | $205418.47    | 0.03%             | 2035-10-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Ubs Commercial Mort Trust 2012-C1                                | UBSCM 2012-C1 D           | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22807 | PA      | $21805.93     | 0.00%             | 2045-05-10      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Aspen Funding I Ltd/(Delaware)Corp                               | ASPEN 2002-1A B1          | CUSIP: 04529LAD9<br>LEI: 549300IVP8JA0QFOPS57 | Long             | ABS-CBDO         | CORP              | KY        |   1041645 | PA      | $1045349.96   | 0.14%             | 2037-07-10      | Fixed         | 9.06%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2007-10 2A2           | CUSIP: 52522QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237828 | PA      | $78698.82     | 0.01%             | 2038-01-25      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-4 1A1           | CUSIP: 007036KB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76372 | PA      | $56079.73     | 0.01%             | 2035-08-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| PFCA HOME EQUITY INVESTMENT TR                                   | PFCA 2003-IFC5 A          | CUSIP: 717060AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129354 | PA      | $119163.94    | 0.02%             | 2035-01-22      | Floating      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDA 2005-AR1 2A1         | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85775 | PA      | $80964.46     | 0.01%             | 2035-11-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Rali Ser 2006-Qo1t                                               | RALI 2007-QO5 A           | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2949446 | PA      | $529755.26    | 0.07%             | 2047-08-25      | Floating      | 0.78%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2005-4 A4            | CUSIP: 759950FY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192004 | PA      | $178809.29    | 0.02%             | 2036-02-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                                | WMALT 2007-3 A2           | CUSIP: 93936JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294920 | PA      | $251042.60    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Indymac Arm Trust                                                | INARM 2001-H1 1A          | CUSIP: 45660UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141350 | PA      | $71246.01     | 0.01%             | 2031-08-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-2 1A           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300503 | PA      | $774781.18    | 0.10%             | 2035-05-19      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2004-9 4A2          | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100236 | PA      | $86776.34     | 0.01%             | 2034-12-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                          | LUM 2006-7 2A1            | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19054 | PA      | $16275.34     | 0.00%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2010-C1                             | GSMS 2010-C1 D            | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13558000 | PA      | $10510840.86  | 1.36%             | 2043-08-10      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                     | MARP 2005-1 1A4           | CUSIP: 576436AU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1482396 | PA      | $1187920.18   | 0.15%             | 2034-08-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Hm Eqty 06s6                                               | CWL 2006-S6 A5            | CUSIP: 126684AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238869 | PA      | $227554.25    | 0.03%             | 2034-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2007-HE1 2M1        | CUSIP: 07389UAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279434 | PA      | $893334.35    | 0.12%             | 2037-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-9 4A13          | CUSIP: 126380BZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085918 | PA      | $1420159.62   | 0.18%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-S2 4A5         | CUSIP: 466247JV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231346 | PA      | $203289.06    | 0.03%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-G 4A3          | CUSIP: 05949CEN2<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    443374 | PA      | $394228.31    | 0.05%             | 2035-08-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1998-C M1             | CUSIP: 09774XAP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2152514 | PA      | $1939975.42   | 0.25%             | 2029-01-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-WF2 M7          | CUSIP: 86359DDH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145141 | PA      | $135919.65    | 0.02%             | 2035-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2007-6ALT A2         | CUSIP: 88157VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324760 | PA      | $235035.53    | 0.03%             | 2038-08-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| RAAC Series 2006-RP4 Trust                                       | RAAC 2006-RP4 M2          | CUSIP: 74919TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3820754.80   | 0.49%             | 2046-01-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2009-4 7A5          | CUSIP: 17315EAU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    331065 | PA      | $297534.85    | 0.04%             | 2035-05-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                    | AABST 2004-3 B2           | CUSIP: 00764MCK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370110 | PA      | $330958.00    | 0.04%             | 2034-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2004-B 6A1           | CUSIP: 05946XJP9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    463547 | PA      | $367402.41    | 0.05%             | 2034-12-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2005-SL1 A3          | CUSIP: 76112BMN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393932 | PA      | $65045.15     | 0.01%             | 2032-05-25      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                   | ACCR 2004-3 1M2           | CUSIP: 004375BF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375167 | PA      | $310506.40    | 0.04%             | 2034-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 Mortgage Trust                                  | COMM 2013-CR11 XA         | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-O            | CORP              | US        |  13577001 | PA      | $43143.64     | 0.01%             | 2050-08-10      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Wash Mutual A/Bkd                                                | WMABS 2006-HE5 1A         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3719058 | PA      | $2770267.73   | 0.36%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2016-R2 Trust                            | BAFC 2016-R2 1A1          | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    781887 | PA      | $753163.09    | 0.10%             | 2033-05-01      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Mtg Ln                               | BFAT 2007-SR1A M1         | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272791 | PA      | $262151.22    | 0.03%             | 2037-03-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| ML CFC Commercial Mortgage Trust                                 | MLCFC 2007-9 AJ           | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568336 | PA      | $537145.10    | 0.07%             | 2049-09-12      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2003-AC5 A5         | CUSIP: 07384YNA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11137 | PA      | $10780.38     | 0.00%             | 2033-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                               | SAMI 2007-AR2 2A1         | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735261 | PA      | $243616.99    | 0.03%             | 2037-03-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2006-4F 2A2           | CUSIP: 362334QD9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |       200 | PA      | $1380000.00   | 0.18%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2006-9HGA A3         | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    959090 | PA      | $362420.78    | 0.05%             | 2037-10-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Hm Eq Ln Tr                                                | CWL 2006-S7 A5            | CUSIP: 12668VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248990 | PA      | $242396.02    | 0.03%             | 2035-11-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMS 2018-SRP5 A          | CUSIP: 36255TAA0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   3421775 | PA      | $2867146.71   | 0.37%             | 2031-09-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-10 6A1          | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123931 | PA      | $111650.87    | 0.01%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-3 33A1         | CUSIP: 07386HQ38<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93229 | PA      | $67094.87     | 0.01%             | 2036-05-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHS 324 C21               | CUSIP: 31325VBR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297944 | PA      | $65514.14     | 0.01%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-2 3A1           | CUSIP: 007036GT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139995 | PA      | $130928.22    | 0.02%             | 2035-06-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-30 DB1          | CUSIP: 22541NUA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468112 | PA      | $458926.30    | 0.06%             | 2032-11-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2005-4 2B1            | CUSIP: 45254NPS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1012763 | PA      | $884326.54    | 0.11%             | 2035-05-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-WF2 M6          | CUSIP: 86359DDG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357135 | PA      | $330309.60    | 0.04%             | 2035-05-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2007-AR2 2A1        | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56924 | PA      | $37289.49     | 0.00%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                                | CARR 2005-FRE1 M1         | CUSIP: 144531EF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48471 | PA      | $48300.08     | 0.01%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-SD3 21A1       | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24811 | PA      | $24452.15     | 0.00%             | 2036-07-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Abfs Mtg Ln Tst                                                  | ABFS 2003-1 M             | CUSIP: 000759DG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    922317 | PA      | $889301.12    | 0.12%             | 2033-08-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                  | MSDWC 2003-HYB1 A1        | CUSIP: 61746WB74<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179290 | PA      | $157746.28    | 0.02%             | 2033-03-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN T                                   | CWALT 2006-OC11 2A2A      | CUSIP: 23244JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        20 | PA      | $3008.54      | 0.00%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAMP 2004-HE1 M1         | CUSIP: 36228FR32<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     98070 | PA      | $87135.91     | 0.01%             | 2034-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Origen Mfd Housing                                               | ORGN 2006-A A2            | CUSIP: 68620BAB8<br>LEI: 549300IF0XI4ZS5JC782 | Long             | ABS-O            | CORP              | US        |   1894931 | PA      | $1717613.22   | 0.22%             | 2037-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2005-6 3A1           | CUSIP: 576433A30<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055876 | PA      | $413527.24    | 0.05%             | 2035-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Secs Trust                                    | AABST 2004-4 M3           | CUSIP: 00764MCV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482688 | PA      | $457855.56    | 0.06%             | 2034-10-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CIB MARINE                                                       | CIB Marine ? Pref B       | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |       253 | NS      | $159206.48    | 0.02%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-E 8A1           | CUSIP: 05946XXW8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    122549 | PA      | $90162.38     | 0.01%             | 2035-06-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-6A 1A21         | CUSIP: 007036PB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225324 | PA      | $188743.18    | 0.02%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                              | NRZT 2019-5A B4IA         | CUSIP: 64830MDS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11588699 | PA      | $229409.88    | 0.03%             | 2059-08-25      | Floating      | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                       | AMRES 1999-1 M1           | CUSIP: 03215PFP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    815024 | PA      | $766363.30    | 0.10%             | 2029-11-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2005-AR5 2A1A        | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134192 | PA      | $83890.43     | 0.01%             | 2045-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2003-11 6A16        | CUSIP: 55265K2D0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50958 | PA      | $47577.70     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2004-AR2 A1B         | CUSIP: 23332UAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1104839 | PA      | $913433.90    | 0.12%             | 2044-11-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-5 2A7           | CUSIP: 12669FWB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272831 | PA      | $262276.50    | 0.03%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLCC 2003-F B1            | CUSIP: 5899292T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235162 | PA      | $213315.89    | 0.03%             | 2028-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-SD3 1A1A       | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49333 | PA      | $48904.39     | 0.01%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET                                    | FFML 2004-FFA X           | CUSIP: BCC0E6050<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592880 | PA      | $590000.00    | 0.08%             | 2024-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-9 3A7          | CUSIP: 57643MFP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88587 | PA      | $80152.70     | 0.01%             | 2034-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-AR2 M          | CUSIP: 939336E90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673555 | PA      | $605816.01    | 0.08%             | 2033-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 1998-C1 F            | CUSIP: 589929QP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2856 | PA      | $2854.28      | 0.00%             | 2026-11-15      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2004-1 1A6          | CUSIP: 74160MEU2<br>LEI: 549300FSD8T39P5Q0O47 | Long             | ABS-O            | CORP              | US        |    184457 | PA      | $170502.67    | 0.02%             | 2034-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mellon Residential                                               | MRFC 1999-TBC3 B5         | CUSIP: 585525DM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56210 | PA      | $51273.67     | 0.01%             | 2029-10-20      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2006-1F 4A1           | CUSIP: 3623417S2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843133 | PA      | $626363.12    | 0.08%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comm 2007 C9 Mortgage Trust                                      | COMM 2007-C9 XS           | CUSIP: 20047RAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31827712 | PA      | $514339.01    | 0.07%             | 2049-12-10      | Floating      | 0.43%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191300 | PA      | $154536.29    | 0.02%             | 2035-02-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2002-3 M3            | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38662 | PA      | $37299.60     | 0.00%             | 2032-08-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Equity One Mtg                                                   | EQABS 2002-1 M1           | CUSIP: 294754AS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323911 | PA      | $302952.97    | 0.04%             | 2032-08-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A8 1A1         | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774788 | PA      | $629785.51    | 0.08%             | 2035-11-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2005-10 4A1           | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776605 | PA      | $478206.48    | 0.06%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | COMM 2010-C1 D            | CUSIP: 12622DAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1539889 | PA      | $1491760.77   | 0.19%             | 2046-07-10      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Ansonia CDO 2006-1 Ltd / LLC                                     | ANSON 2006-1A AFL         | CUSIP: 036510AA3<br>LEI: 5493000YY0U5X4U03X89 | Long             | ABS-CBDO         | CORP              | US        |    169806 | PA      | $168038.95    | 0.02%             | 2046-07-28      | Floating      | 0.41%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA12 CB3        | CUSIP: 761118NA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1387613 | PA      | $1211781.59   | 0.16%             | 2035-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2004-AA7 1A1        | CUSIP: 32051GEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373857 | PA      | $319457.35    | 0.04%             | 2035-02-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Commercial Mortgage Securities Trust 2013-WT    | JPMCC 2007-C1 C           | CUSIP: 46630DAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $1704800.00   | 0.22%             | 2051-02-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-10 3A31         | CUSIP: 007036TH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153550 | PA      | $139981.31    | 0.02%             | 2036-01-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Rali Ser 06-Qs11                                                 | RALI 2006-QS11 2A1        | CUSIP: 75115EAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7440062 | PA      | $2381485.04   | 0.31%             | 2036-08-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                | WFRBS 2011-C4 D           | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1479000 | PA      | $1322816.27   | 0.17%             | 2044-06-15      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2005-4 1A2          | CUSIP: 74160MJY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13329 | PA      | $11948.59     | 0.00%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWALT 2003-4CB 1A1        | CUSIP: 12669DN20<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     11936 | PA      | $11373.76     | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2003-SL1 A41         | CUSIP: 760985E72<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484451 | PA      | $458811.01    | 0.06%             | 2031-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2013-43 IO            | CUSIP: 38378KDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1413967 | PA      | $882.60       | 0.00%             | 2048-08-16      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-S2 3A1         | CUSIP: 466247JN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23975 | PA      | $23804.28     | 0.00%             | 2024-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMU 2002-AR9 1B3         | CUSIP: 9393357S8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15020 | PA      | $7982.97      | 0.00%             | 2042-08-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Sasco Arc Co / Sasco Arc Corp                                    | SAILN 2003-6A A           | CUSIP: 80382SAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    576011 | PA      | $1728032.79   | 0.22%             | 2033-07-27      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 2001-2 A            | CUSIP: 36228FEC6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    462944 | PA      | $424434.60    | 0.05%             | 2032-06-19      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2004-2 M2           | CUSIP: 68389FFH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251359 | PA      | $267419.02    | 0.03%             | 2034-05-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Commercial Mortgage Securities Trust 2013-WT    | JPMCC 2007-C1 AJ          | CUSIP: 46630DAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11461870 | PA      | $10765337.98  | 1.39%             | 2051-02-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR6 B4          | CUSIP: 929227QG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14819 | PA      | $9586.69      | 0.00%             | 2042-06-25      | Floating      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2007-3 1A1A          | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970151 | PA      | $244809.70    | 0.03%             | 2037-04-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Saco I Trust                                                     | SACO 2006-6 A             | CUSIP: 785779AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48196 | PA      | $46948.06     | 0.01%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2002-HE2 M1           | CUSIP: 004421AX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15560 | PA      | $16235.73     | 0.00%             | 2032-08-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                           | MSC 2011-C2 E             | CUSIP: 617459AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $326589.07    | 0.04%             | 2044-06-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                               | RASC 2004-KS11 M2         | CUSIP: 76110WJ49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2742835 | PA      | $2667579.69   | 0.35%             | 2034-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2006-I 5A1           | CUSIP: 05951VAJ8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     99737 | PA      | $77258.08     | 0.01%             | 2046-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-7 2A             | CUSIP: 61749JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181195 | PA      | $117119.21    | 0.02%             | 2031-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | CBASS 2004-CB6 M3         | CUSIP: 59020UJE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133917 | PA      | $132526.03    | 0.02%             | 2033-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | JPMCC 2010-C2 D           | CUSIP: 46635GAQ3<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |   7400327 | PA      | $7124464.41   | 0.92%             | 2043-11-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2005-9 2A3          | CUSIP: 17307GM70<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023050 | PA      | $752067.94    | 0.10%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 07-5                                                | BSARM 2007-5 2A1          | CUSIP: 07386YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3402823 | PA      | $3012096.49   | 0.39%             | 2047-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR6 B3          | CUSIP: 929227QE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90390 | PA      | $76317.41     | 0.01%             | 2042-06-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-32CB A1        | CUSIP: 02147XAA5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    421260 | PA      | $221034.94    | 0.03%             | 2036-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                               | SAMI 2006-AR3 21A1        | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1221193 | PA      | $945155.89    | 0.12%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2007-WM2 A2B          | CUSIP: 00442KAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218714 | PA      | $91270.85     | 0.01%             | 2037-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SARM 2004-7 A1            | CUSIP: 86359BRS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1558219 | PA      | $1381574.97   | 0.18%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                        | SVHE 2007-OPT4 X1         | CUSIP: 83613AAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31201035 | PA      | $867900.46    | 0.11%             | 2037-09-25      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                | INHEL 2002-B M1           | CUSIP: 456606DK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196997 | PA      | $186083.73    | 0.02%             | 2033-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2003-AC5 A1         | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29304 | PA      | $29555.82     | 0.00%             | 2033-10-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2005-A M3            | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24475 | PA      | $23518.69     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust           | JPMCC 2012-WLDN A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10919503 | PA      | $8737257.60   | 1.13%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust                                     | GMACM 2004-HE3 A2VN       | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117412 | PA      | $116035.89    | 0.02%             | 2034-10-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Lbsbc Nim Co 2005 2/Sasco Arc Corp                               | LBSBN 2005-2A N3          | CUSIP: 50180AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4355000 | PA      | $4337575.65   | 0.56%             | 2030-09-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1998-2 M1              | CUSIP: 393505B27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360170 | PA      | $331631.72    | 0.04%             | 2028-12-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Csmc MortgBacked                                                 | CSMC 2007-4 1A1           | CUSIP: 126379AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190716 | PA      | $120619.89    | 0.02%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A1 1APO        | CUSIP: 12566QAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86359 | PA      | $49070.12     | 0.01%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2006-10F 2A1          | CUSIP: 36266WAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    958557 | PA      | $2119974.16   | 0.27%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2005-SD4 2M4        | CUSIP: 073877EL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902000 | PA      | $930281.22    | 0.12%             | 2042-12-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-8 CB2           | CUSIP: 22541NZ51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72337 | PA      | $57518.01     | 0.01%             | 2033-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLCC 2003-D B2            | CUSIP: 589929V70<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58219 | PA      | $49957.35     | 0.01%             | 2028-08-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2004-K 1A3          | CUSIP: 94981VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46565 | PA      | $47464.99     | 0.01%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-1 11A1         | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2918015 | PA      | $2837007.55   | 0.37%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-BO1 M9A        | CUSIP: 073879JU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9082000 | PA      | $9023572.71   | 1.17%             | 2034-10-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Lbsbc Nim Co 2005 2/Sasco Arc Corp                               | LBSBN 2005-2A N2          | CUSIP: 50180AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     58547 | PA      | $58419.46     | 0.01%             | 2030-09-27      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa2                                               | BCAP 2007-AA2 22A1        | CUSIP: 05530NBH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42482 | PA      | $41870.52     | 0.01%             | 2023-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                               | IRWHE 2006-P1 1A          | CUSIP: 46412AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780897 | PA      | $746332.53    | 0.10%             | 2036-12-25      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2004-12 2A4         | CUSIP: 07386HPG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161782 | PA      | $146474.59    | 0.02%             | 2035-01-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 1A3           | CUSIP: 05950AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335835 | PA      | $268898.62    | 0.03%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2003-56 3A7A         | CUSIP: 12669FBL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41031 | PA      | $37080.11     | 0.00%             | 2033-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust, Inc.                                    | NYMT 2006-1 2A3           | CUSIP: 649603AQ0<br>LEI: 549300JFGR0M7ULHWG48 | Long             | ABS-O            | CORP              | US        |    219803 | PA      | $186238.40    | 0.02%             | 2036-05-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2004-3 AF6           | CUSIP: 759950DN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137582 | PA      | $126618.85    | 0.02%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bleecker Structured Asset Funding                                | BSAF 1X B                 | CUSIP: G11697AC6<br>LEI: 549300FKUWYV7U4JXU55 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $726020.00    | 0.09%             | 2035-04-01      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2006-A 4A1           | CUSIP: 058927AJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184904 | PA      | $954984.71    | 0.12%             | 2036-02-20      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                              | TMST 2007-3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140347 | PA      | $130555.85    | 0.02%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Rbsgc Mtg Loan Tst                                               | RBSGC 2005-A 4A           | CUSIP: 74927UBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2445976 | PA      | $2115145.75   | 0.27%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2003-NC8 M3          | CUSIP: 61746RDP3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    107787 | PA      | $108586.51    | 0.01%             | 2033-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-FR3 M2         | CUSIP: 073879KR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343215 | PA      | $334886.58    | 0.04%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Comm 2015-Lc21 Mortagage Trust                                   | COMM 2015-LC21 XA         | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20679880 | PA      | $263347.94    | 0.03%             | 2048-07-10      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2005-10 11A1        | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4835168 | PA      | $6182632.87   | 0.80%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                          | GSR 2006-4F 2A11          | CUSIP: 362650AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $425000.00    | 0.06%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-S8 1A7          | CUSIP: 929227E51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240676 | PA      | $221904.07    | 0.03%             | 2033-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2005-NC1 B3          | CUSIP: 59020URU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927752 | PA      | $874965.21    | 0.11%             | 2035-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2004-21HE 2M3        | CUSIP: 881561PC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2299763 | PA      | $2269939.30   | 0.29%             | 2034-12-25      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2003-SD1 A          | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446263 | PA      | $420352.45    | 0.05%             | 2033-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2004-RM1 B1           | CUSIP: 004421FY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528589 | PA      | $370393.56    | 0.05%             | 2034-07-25      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust                                        | GSMS 2011-GC5 D           | CUSIP: 36191YAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546000 | PA      | $229393.71    | 0.03%             | 2044-08-10      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2004-10 21A1        | CUSIP: 07384M4H2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61271 | PA      | $55318.92     | 0.01%             | 2035-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR19 B1         | CUSIP: 929227ZX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451118 | PA      | $413692.61    | 0.05%             | 2033-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-2                                    | SEMT 2013-2 B3            | CUSIP: 81745MAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37947 | PA      | $35578.04     | 0.00%             | 2043-02-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA4 A42         | CUSIP: 76110H4M8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458237 | PA      | $413444.27    | 0.05%             | 2035-04-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mtg Ln                               | BFAT 2007-SR1A M3         | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161142 | PA      | $156287.76    | 0.02%             | 2037-03-25      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA8 CB21        | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440644 | PA      | $250645.58    | 0.03%             | 2035-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLCC 2003-D B1            | CUSIP: 589929V62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77148 | PA      | $67431.85     | 0.01%             | 2028-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | ARC 2001-BC6W A           | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313435 | PA      | $285473.90    | 0.04%             | 2031-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2003-7 7A18          | CUSIP: 576434JB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17643 | PA      | $16559.97     | 0.00%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                     | SAST 2001-2 M1            | CUSIP: 805564JR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2131276 | PA      | $1798564.31   | 0.23%             | 2031-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates                   | CBASS 2007-SP1 M1         | CUSIP: 1248MAAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456498 | PA      | $476737.79    | 0.06%             | 2037-12-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Cwheq Inc                                                        | CWHEL 2005-K 2A1          | CUSIP: 126685AU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    587844 | PA      | $557599.09    | 0.07%             | 2036-02-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR7 5A1          | CUSIP: 362341XE4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    323888 | PA      | $265155.19    | 0.03%             | 2035-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-10F 8A1          | CUSIP: 36242DFA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       857 | PA      | $852.43       | 0.00%             | 2034-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-AR18 4M3        | CUSIP: 22541QKK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139591 | PA      | $132361.85    | 0.02%             | 2033-07-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-11 4A2          | CUSIP: 12669GUS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1985 | PA      | $1047.32      | 0.00%             | 2035-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Rbsgc Mtg Loan Tst                                               | RBSGC 2007-A 1A1          | CUSIP: 74927WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640898 | PA      | $521668.43    | 0.07%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                                | WMALT 2006-AR8 2A         | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164945 | PA      | $133695.31    | 0.02%             | 2046-10-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-D                                               | BAFC 2006-D 2A1           | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    583197 | PA      | $500379.17    | 0.06%             | 2036-05-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2004-J2 A9          | CUSIP: 36185N2F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170330 | PA      | $137340.42    | 0.02%             | 2034-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2007-5CB 1A24       | CUSIP: 02150EAZ6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    310515 | PA      | $50873.99     | 0.01%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln Tr 07-3                                               | GSR 2007-3F 2A1           | CUSIP: 3622MWAC7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1170693 | PA      | $2258913.76   | 0.29%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2002-S4 B4           | CUSIP: 22540V2B7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30750 | PA      | $28177.27     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2006-DR1 2A2        | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523086 | PA      | $423065.81    | 0.05%             | 2035-05-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Asset Trust                               | AHMA 2006-1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394890 | PA      | $318869.69    | 0.04%             | 2046-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-P1A A           | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285666 | PA      | $259105.36    | 0.03%             | 2032-03-25      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2007-HE4 A2A         | CUSIP: 61753VAB8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |      2115 | PA      | $699.30       | 0.00%             | 2037-02-25      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2004-1 1M1            | CUSIP: 02660TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8908 | PA      | $8804.46      | 0.00%             | 2044-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2005-SL1 A7          | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511446 | PA      | $337971.36    | 0.04%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SARM 2004-2 1A1           | CUSIP: 86359BKY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51220 | PA      | $47026.52     | 0.01%             | 2034-03-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMU 2002-AR9 1B1         | CUSIP: 9393357Q2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61571 | PA      | $55674.87     | 0.01%             | 2042-08-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-5F 8A7           | CUSIP: 36242D7R8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     20157 | PA      | $19498.31     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2004-14 B2           | CUSIP: 576433VE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2523705 | PA      | $1999684.25   | 0.26%             | 2035-01-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2001-AR5 B5          | CUSIP: 22540VLL4<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |     33110 | PA      | $27900.90     | 0.00%             | 2039-12-19      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2006-AR3 4A1         | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71840 | PA      | $59431.99     | 0.01%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2006-AR2 A1          | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81103 | PA      | $69962.79     | 0.01%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 1997-B B1             | CUSIP: 674135CE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9091 | PA      | $8571.46      | 0.00%             | 2027-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2004-QA4 NB21        | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323099 | PA      | $296010.36    | 0.04%             | 2034-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                          | AAL 4.95 01/15/23         | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100691 | PA      | $100553.78    | 0.01%             | 2023-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-8F 2A6           | CUSIP: 362341VU0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    100504 | PA      | $90923.57     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2005-RP2 M6          | CUSIP: 76112BXU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3080000 | PA      | $3077873.88   | 0.40%             | 2035-06-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QO4 2A1         | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    614502 | PA      | $487031.02    | 0.06%             | 2045-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2004-1 M4           | CUSIP: 68389FEV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178972 | PA      | $149577.89    | 0.02%             | 2034-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                               | RASC 2003-KS4 AI5         | CUSIP: 76110WRP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4773 | PA      | $4754.29      | 0.00%             | 2033-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Banc America Commercial Mortgage Inc                             | BACM 2006-4 C             | CUSIP: 05950WAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643656 | PA      | $585402.15    | 0.08%             | 2046-07-10      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AR2 M2           | CUSIP: 65535VEX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1909110 | PA      | $1839322.75   | 0.24%             | 2034-10-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP.                                             | ACE 2003-MH1 B2           | CUSIP: BCC0BBNZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416168 | PA      | $367514.21    | 0.05%             | 2030-08-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2005-1 2A4          | CUSIP: 74160MHD7<br>LEI: 549300FSD8T39P5Q0O47 | Long             | ABS-O            | CORP              | US        |      3154 | PA      | $3142.74      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNS 3 23                  | CUSIP: 38381GBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28408610 | PA      | $2235956.45   | 0.29%             | 2045-09-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2004-2CB 4A1        | CUSIP: 12667FAW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    503651 | PA      | $480370.73    | 0.06%             | 2054-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ownit Mtg Loan Tr                                                | OWNIT 2005-4 M1           | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2169980 | PA      | $1939344.59   | 0.25%             | 2036-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING A                                   | CBASS 2011-1A KAB1        | CUSIP: 12479UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  37283446 | PA      | $845021.85    | 0.11%             | 2037-02-25      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2006-PR1 3AF1        | CUSIP: 25157GAF9<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    392089 | PA      | $356416.21    | 0.05%             | 2036-04-15      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-15 A4           | CUSIP: 12669GQ87<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    156157 | PA      | $147448.19    | 0.02%             | 2035-08-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                | BSCMS 2007-T26 AJ         | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10991 | PA      | $10609.31     | 0.00%             | 2045-01-12      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2005-3A B1           | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    304286 | PA      | $276451.25    | 0.04%             | 2035-11-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Saco I Trust                                                     | SACO 2005-WM2 M1          | CUSIP: 785778JY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71796 | PA      | $70362.05     | 0.01%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 1997-D B1             | CUSIP: 674135CW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    621088 | PA      | $599422.71    | 0.08%             | 2028-02-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Indymac Mtg 07-F3                                                | IMSC 2007-F3 PO           | CUSIP: 45671BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80109 | PA      | $45824.51     | 0.01%             | 2037-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2004-6XS A5B         | CUSIP: 86359BMB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396745 | PA      | $389644.20    | 0.05%             | 2034-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2002-S4 B5           | CUSIP: 22540V2C5<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |     30750 | PA      | $28194.61     | 0.00%             | 2029-10-19      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2007-3 22A5          | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $241303.02    | 0.03%             | 2047-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2004-5 B1            | CUSIP: 81744FBZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21424 | PA      | $17591.71     | 0.00%             | 2034-06-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Finance America Mt                                               | FINA 2004-3 M3            | CUSIP: 317350BV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195762 | PA      | $167407.99    | 0.02%             | 2034-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMU 2002-AR12 B1         | CUSIP: 939336CS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17003 | PA      | $15425.74     | 0.00%             | 2032-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2005-17 1AF4          | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282171 | PA      | $225230.49    | 0.03%             | 2036-05-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2006-AA4 1A1        | CUSIP: 32052NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1112 | PA      | $0.00         | 0.00%             | 2036-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust 2009-RS1                    | MLRT 2009-RS1 B15         | CUSIP: 61914WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10974313 | PA      | $5633634.79   | 0.73%             | 2036-04-16      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1998-1 A            | CUSIP: 36228FAA4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     52615 | PA      | $49021.13     | 0.01%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-B 1A1           | CUSIP: 05946XRT2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    183212 | PA      | $156536.48    | 0.02%             | 2035-04-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A6 5A1         | CUSIP: 466247UA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577025 | PA      | $565908.61    | 0.07%             | 2035-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust                            | MSRR 2015-R7 1BXA         | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1019094 | PA      | $947262.85    | 0.12%             | 2029-02-26      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-10 4M2           | CUSIP: 45254NLX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37852 | PA      | $34086.20     | 0.00%             | 2035-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | RAST 2000-A6 B2           | CUSIP: 12669BUK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250420 | PA      | $161986.65    | 0.02%             | 2030-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-AR1 2A         | CUSIP: 939336PM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38687 | PA      | $36411.37     | 0.00%             | 2033-02-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-8F 2A4           | CUSIP: 362341VS5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    580558 | PA      | $523426.52    | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-AR31 CB2        | CUSIP: 22541NTH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22512 | PA      | $18677.63     | 0.00%             | 2032-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA6 NB23        | CUSIP: 76110H6P9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768993 | PA      | $395506.16    | 0.05%             | 2035-05-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-AR8 A           | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107221 | PA      | $101241.10    | 0.01%             | 2033-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2010-C1                             | GSMS 2010-C1 B            | CUSIP: 36249KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261214 | PA      | $257765.10    | 0.03%             | 2043-08-10      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-J2 3A12         | CUSIP: 12669GW31<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    256301 | PA      | $156633.99    | 0.02%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2004-3 M2            | CUSIP: 07324SBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33710 | PA      | $33656.60     | 0.00%             | 2035-01-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-11 5A4         | CUSIP: 57643MJL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952174 | PA      | $860859.51    | 0.11%             | 2034-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAAC 2004-SP1 AI3         | CUSIP: 7609855T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114095 | PA      | $110343.30    | 0.01%             | 2034-03-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-1F 2A2           | CUSIP: 3622MPAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    548763 | PA      | $1042138.31   | 0.13%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US Airways Group Inc.                                            | AAL 3.95 11/15/25         | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624026 | PA      | $567179.22    | 0.07%             | 2025-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust 2009-RS1                    | MLRT 2009-RS1 A85         | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7376597 | PA      | $6876233.92   | 0.89%             | 2036-04-16      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| X-Caliber Funding Llc                                            | XCAL 2022-SKOAK B1        | CUSIP: 98373XBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3555000 | PA      | $3594652.83   | 0.47%             | 2025-05-15      | Floating      | 13.00%                | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWALT 2003-J3 1A2         | CUSIP: 12669FEY5<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     86952 | PA      | $83675.88     | 0.01%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2007-OPX1 A5B       | CUSIP: 17311FAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458170 | PA      | $181373.48    | 0.02%             | 2037-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp                                        | IMSA 2003-3 M1            | CUSIP: 45254TNJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252399 | PA      | $232841.29    | 0.03%             | 2033-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2007-3 2A1            | CUSIP: 52521JAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128567 | PA      | $88211.15     | 0.01%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| American Mtg 2007                                                | AHM 2007-1 GA1A           | CUSIP: 026932AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198919 | PA      | $784722.20    | 0.10%             | 2047-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWHEL 2004-O 1A           | CUSIP: 126673KR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19842 | PA      | $19698.81     | 0.00%             | 2034-02-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2010-55 SH            | CUSIP: 31398RLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    409643 | PA      | $6631.35      | 0.00%             | 2040-05-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR7 3A1          | CUSIP: 362341XB0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     35645 | PA      | $32541.17     | 0.00%             | 2035-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2003-40A B1          | CUSIP: 86359BER8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1857499 | PA      | $1269946.57   | 0.16%             | 2034-01-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2003-3F 1A6           | CUSIP: 36228FPE0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    114534 | PA      | $110168.84    | 0.01%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp              | JPMCC 2011-C3 B           | CUSIP: 46635TAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246105 | PA      | $1192205.37   | 0.15%             | 2046-02-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2007-SD1 1A2A       | CUSIP: 07389QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348440 | PA      | $188172.12    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mtg Corp                                                | AMAC 2003-3 A4            | CUSIP: 000780AD8<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |     52743 | PA      | $49366.34     | 0.01%             | 2033-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Greenwich Capital Commercial Mortgage Trust                      | GCCFC 2006-RR1 A1         | CUSIP: 39678AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1433590 | PA      | $714071.06    | 0.09%             | 2049-03-18      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| WATTS GUERRA 005-A DEER FINANCE                                  | WG DEER FNCE SYNDICTD LN  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   4801926 | PA      | $4801926.49   | 0.62%             | 2025-10-30      | Fixed         | 15.50%                | Yes           |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                                | CWALT 2006-J6 A2          | CUSIP: 23244EAB3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |   1583064 | PA      | $138325.12    | 0.02%             | 2036-09-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2005-NC2 A3          | CUSIP: 57643LMN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802305 | PA      | $457230.15    | 0.06%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-S1 M1            | CUSIP: 126673TF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38953 | PA      | $38418.62     | 0.00%             | 2035-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                               | SARM 2005-14 A1           | CUSIP: 863579TM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261127 | PA      | $166293.29    | 0.02%             | 2035-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mtg                                                 | INDX 2006-AR33 2A21       | CUSIP: 45668JAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110011 | PA      | $95789.44     | 0.01%             | 2037-01-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-AR1 1A1          | CUSIP: 362290AA6<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    708108 | PA      | $428581.51    | 0.06%             | 2037-03-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 356 17                | CUSIP: 3136FCQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159318 | PA      | $29532.14     | 0.00%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWHEL 2004-O 2A           | CUSIP: 126673KS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72806 | PA      | $69990.08     | 0.01%             | 2034-02-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2005-4 1A5          | CUSIP: 74160MKB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99292 | PA      | $89120.84     | 0.01%             | 2023-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1996-10 B1             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3496655 | PA      | $3302908.17   | 0.43%             | 2028-11-15      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHS 365 257               | CUSIP: 31325XQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331617 | PA      | $71353.61     | 0.01%             | 2049-05-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Fincl Cap                                               | DFCS 1998-I B1            | CUSIP: 251547AS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2211650 | PA      | $2024526.07   | 0.26%             | 2028-04-15      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2006-F 1A2           | CUSIP: 05950HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473222 | PA      | $398465.16    | 0.05%             | 2036-07-20      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                                        | NHEL 2003-2 M2            | CUSIP: 66987WAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648751 | PA      | $652518.43    | 0.08%             | 2033-09-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2006-AR1 A1A        | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1945576 | PA      | $1573398.67   | 0.20%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 2000-4 1A             | CUSIP: 00105HEN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94974 | PA      | $90228.52     | 0.01%             | 2031-01-25      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset M                                               | SAMI 2006-AR3 22A1        | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159477 | PA      | $86770.52     | 0.01%             | 2036-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2006-AR7 2A          | CUSIP: 93363CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912485 | PA      | $1622647.16   | 0.21%             | 2046-07-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-16AX 2A2         | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104089 | PA      | $31736.94     | 0.00%             | 2036-11-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2004-6 B1            | CUSIP: 81744FCN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1565 | PA      | $1353.40      | 0.00%             | 2034-07-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Lehman Abs Corp                                                  | MSDWC 2003-NC2 B1         | CUSIP: 61746WB25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1642789 | PA      | $1655723.72   | 0.21%             | 2033-02-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1997-3 M1              | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279028 | PA      | $261975.20    | 0.03%             | 2028-03-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2004-SL3 A4          | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590794 | PA      | $291065.63    | 0.04%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CORPORATI                                   | ABFC 2002-WF2 CE          | CUSIP: BCC08AKC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300807 | PA      | $1248778.51   | 0.16%             | 2029-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2013-8 2A2          | CUSIP: 17321PAG5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    347949 | PA      | $256162.28    | 0.03%             | 2036-11-25      | Floating      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                           | MSC 2011-C3 E             | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2799000 | PA      | $2386131.27   | 0.31%             | 2049-07-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| PFCA HOME EQUITY INVESTMENT TR                                   | PFCA 2004-GP2 A           | CUSIP: 717060AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204461 | PA      | $175026.43    | 0.02%             | 2035-08-25      | Floating      | 3.41%                 | Yes           |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2005-AA1 1A1        | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31902 | PA      | $19962.30     | 0.00%             | 2035-03-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| ML Mtg Bkd Secs Tr                                               | MLMBS 2007-1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333272 | PA      | $292570.53    | 0.04%             | 2037-04-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-SD1 M4         | CUSIP: 07384YVK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1788000 | PA      | $1717983.17   | 0.22%             | 2036-04-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2005-AR5 1A1         | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317067 | PA      | $285199.40    | 0.04%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C3                           | MSC 2011-C3 G             | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1714000 | PA      | $941254.24    | 0.12%             | 2049-07-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAA 2005-5 B3            | CUSIP: 36242DS46<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   2984641 | PA      | $2609867.68   | 0.34%             | 2035-02-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-27 7A1          | CUSIP: 22541QQ21<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62865 | PA      | $60794.45     | 0.01%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                  | LXS 2006-2N 1A1           | CUSIP: 525221HA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287966 | PA      | $248371.38    | 0.03%             | 2046-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 1998-D M1             | CUSIP: 674135EB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185496 | PA      | $1128483.94   | 0.15%             | 2029-01-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Phhmc Ser 2006 4T                                                | PHHMC 2006-4 B1           | CUSIP: 69335YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254198 | PA      | $238499.13    | 0.03%             | 2036-12-18      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust     | WFHET 2004-2 AI9          | CUSIP: 94980GAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29513 | PA      | $28864.14     | 0.00%             | 2034-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2003-AR1 M3          | CUSIP: 03072SEL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173827 | PA      | $167308.52    | 0.02%             | 2033-01-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2007-AR1 1A1B        | CUSIP: 23333YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2521598 | PA      | $2010903.74   | 0.26%             | 2047-04-19      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2005-AR6 3A1        | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477849 | PA      | $393421.42    | 0.05%             | 2035-11-19      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 3753 SB               | CUSIP: 3137A3MT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    352693 | PA      | $31947.29     | 0.00%             | 2040-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA2 A1II        | CUSIP: 76110HS42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1915930 | PA      | $1216405.29   | 0.16%             | 2035-02-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1999-B A2             | CUSIP: 09774XBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    731888 | PA      | $100260.76    | 0.01%             | 2029-12-15      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2004-A2 2A1          | CUSIP: 45660ND28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474948 | PA      | $465617.57    | 0.06%             | 2034-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | LXS 2005-5N 1A2           | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    844754 | PA      | $790950.35    | 0.10%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNS 387 5                 | CUSIP: 3136FEY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223620 | PA      | $35785.20     | 0.00%             | 2038-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2003-8 1A1          | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45280 | PA      | $41305.97     | 0.01%             | 2034-01-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2005-6 3A1          | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305029 | PA      | $273542.13    | 0.04%             | 2035-08-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                     | MSM 2004-3 3A             | CUSIP: 61745MA45<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33981 | PA      | $32714.35     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2006-HE6 2M1        | CUSIP: 07388UAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5770367 | PA      | $4892313.36   | 0.63%             | 2036-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNGT 2004-T5 AB4          | CUSIP: 31394AXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1079981 | PA      | $978921.55    | 0.13%             | 2035-05-28      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA9 CB3         | CUSIP: 761118FL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1612756 | PA      | $1463950.15   | 0.19%             | 2035-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-FRE1 B3         | CUSIP: 22541SSX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578775 | PA      | $518400.06    | 0.07%             | 2034-04-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                | WFRBS 2013-C11 D          | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $207067.84    | 0.03%             | 2045-03-15      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Truman Cap Mtg Ln                                                | TRUMN 2002-2 M2           | CUSIP: 897896AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4351275 | PA      | $3666706.88   | 0.47%             | 2032-11-25      | Floating      | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                     | MSM 2005-2AR B1           | CUSIP: 61745M4G5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-O            | CORP              | US        |    345339 | PA      | $239450.65    | 0.03%             | 2035-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                  | WFRBS 2013-UBS1 E         | CUSIP: 92938JAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547000 | PA      | $519516.59    | 0.07%             | 2046-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| RAAC Series 2006-RP4 Trust                                       | RAAC 2006-RP4 M3          | CUSIP: 74919TAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4638000 | PA      | $4327067.10   | 0.56%             | 2046-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST                                                   | BCAP 2010-RR11 3A3        | CUSIP: 05533JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2456421 | PA      | $2322637.46   | 0.30%             | 2036-06-27      | Floating      | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2002-AR13 M1         | CUSIP: 929227UD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108076 | PA      | $98394.67     | 0.01%             | 2032-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2006-A3CB AX         | CUSIP: 45661EFQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213131 | PA      | $48089.18     | 0.01%             | 2046-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2004-1 21A1         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10592 | PA      | $10117.15     | 0.00%             | 2034-04-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2005-SD4 2M3        | CUSIP: 073877EK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $574245.05    | 0.07%             | 2042-12-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | SAMI 2002-AR5 A2          | CUSIP: 86358HRH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499339 | PA      | $442628.44    | 0.06%             | 2033-05-19      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-9XS 2A2         | CUSIP: 86359DES2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7134 | PA      | $7103.73      | 0.00%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-2 1A             | CUSIP: 61748HVE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93798 | PA      | $81464.04     | 0.01%             | 2023-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-4 4A           | CUSIP: 41161PMZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55362 | PA      | $54150.19     | 0.01%             | 2035-07-19      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 1996-B B1             | CUSIP: 674135BE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146591 | PA      | $145171.66    | 0.02%             | 2026-10-15      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                   | CHASE 2005-S1 2A1         | CUSIP: 16162WLA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181239 | PA      | $181548.55    | 0.02%             | 2035-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2008-RR1 A1A1       | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692258 | PA      | $1530223.53   | 0.20%             | 2037-01-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2004-AR5 2A3         | CUSIP: 86359LEB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252203 | PA      | $219643.54    | 0.03%             | 2034-10-19      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2004-R3 M4           | CUSIP: 03072SQF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992136 | PA      | $869173.53    | 0.11%             | 2034-05-25      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust 2013-1                            | SAFT 2013-1 B2            | CUSIP: 822804AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23745 | PA      | $22935.71     | 0.00%             | 2043-07-25      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-WF2 M2          | CUSIP: 86359DDC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475439 | PA      | $461529.05    | 0.06%             | 2035-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-AF1       | MANA 2007-AF1 1AF2        | CUSIP: 59024KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152000 | PA      | $141853.41    | 0.02%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage 2012-Lc4                                     | COMM 2012-LC4 B           | CUSIP: 126192AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11793 | PA      | $11770.77     | 0.00%             | 2044-12-10      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2004-AR6 A1B         | CUSIP: 86359LFJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218070 | PA      | $192826.55    | 0.02%             | 2035-02-19      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2005-9 4A2           | CUSIP: 2254585V6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690649 | PA      | $578592.92    | 0.07%             | 2035-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-78 QI            | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    178394 | PA      | $24393.93     | 0.00%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | COMM 2014-CR19 XB         | CUSIP: 12592GAA1<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | ABS-O            | CORP              | US        | 108610000 | PA      | $41825.71     | 0.01%             | 2047-08-10      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citicorp Mortgage Securities                                     | CMSI 2005-2 1A3           | CUSIP: 172973Q85<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |    269307 | PA      | $255494.35    | 0.03%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2001-AR3 B1          | CUSIP: 929227EN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249725 | PA      | $204311.27    | 0.03%             | 2041-11-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2005-1 2A1           | CUSIP: 576434D84<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54010 | PA      | $52622.97     | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AP1 A5           | CUSIP: 65535VCM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25158 | PA      | $23821.52     | 0.00%             | 2034-03-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | TBW 2006-1 2A1            | CUSIP: 225470T60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508696 | PA      | $326854.23    | 0.04%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2007-1 1A3            | CUSIP: 65538PAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64117 | PA      | $59583.86     | 0.01%             | 2047-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AR4 M2           | CUSIP: 65535VGW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119015 | PA      | $993236.58    | 0.13%             | 2034-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2004-QA4 NB1         | CUSIP: 76110HZF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404507 | PA      | $345486.99    | 0.04%             | 2034-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2003-8 B2            | CUSIP: 22541QY71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96264 | PA      | $141946.60    | 0.02%             | 2034-04-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-14 2A1A        | CUSIP: 41161PWT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25839 | PA      | $17938.11     | 0.00%             | 2035-12-19      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-27 8A1          | CUSIP: 22541QQ39<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211367 | PA      | $200364.90    | 0.03%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2003-1 B1           | CUSIP: 41161PBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76443 | PA      | $57920.27     | 0.01%             | 2033-05-19      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMU 2002-AR12 B2         | CUSIP: 939336CT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10518 | PA      | $9221.34      | 0.00%             | 2032-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1999-2 A            | CUSIP: 36228FCG9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    174784 | PA      | $169663.04    | 0.02%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2004-13 9A2          | CUSIP: 576434ZZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545628 | PA      | $302696.96    | 0.04%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rbssp Resecuritization Trust 2009-6                              | RBSSP 2009-6 8A3          | CUSIP: 74928XBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1402170 | PA      | $581558.93    | 0.08%             | 2035-08-26      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2006-DR1 2A1        | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2008500 | PA      | $1720169.24   | 0.22%             | 2035-05-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2004-AR2 A2B         | CUSIP: 23332UAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297983 | PA      | $272048.66    | 0.04%             | 2044-11-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RFSC 2002-RP1 A1          | CUSIP: 760985JD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239854 | PA      | $233901.79    | 0.03%             | 2033-03-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2004-AA5 2A1        | CUSIP: 32051GBT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168597 | PA      | $155750.63    | 0.02%             | 2034-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2007-8 3A1           | CUSIP: 05953LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452540 | PA      | $227594.82    | 0.03%             | 2023-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2011-89 SA            | CUSIP: 38377WVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    167093 | PA      | $11453.91     | 0.00%             | 2041-06-20      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2003-8 2M2            | CUSIP: 45254NFJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1767 | PA      | $1732.82      | 0.00%             | 2033-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2007-HE2 A1         | CUSIP: 36186LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1175325 | PA      | $1132445.96   | 0.15%             | 2037-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Bayview Finl Secs                                                | BAYV 2005-B B2            | CUSIP: 07325NBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4460371 | PA      | $4446820.28   | 0.58%             | 2039-04-28      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Csmc                                                             | CSMC 2011-6R 4A2          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104677 | PA      | $95798.40     | 0.01%             | 2037-04-28      | Floating      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2007-5 8A2            | CUSIP: 52521RBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1414921 | PA      | $292911.14    | 0.04%             | 2036-08-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                           | SEMT 4 B                  | CUSIP: 81743T9A8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555646 | PA      | $467276.84    | 0.06%             | 2025-04-22      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                 | CFAB 2003-6 1A7           | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53898 | PA      | $52993.24     | 0.01%             | 2034-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2004-AR1 A2B         | CUSIP: 23332UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178410 | PA      | $154015.43    | 0.02%             | 2044-09-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa1                                               | BCAP 2009-RR10 1A2        | CUSIP: 05532EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2203552 | PA      | $2000251.88   | 0.26%             | 2036-02-26      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage 2012-Lc4                                     | COMM 2012-LC4 D           | CUSIP: 126192AK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2130132.60   | 0.28%             | 2044-12-10      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2005-A7 2A1          | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1209777 | PA      | $972756.01    | 0.13%             | 2035-09-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2005-SD2 M3           | CUSIP: 1266734Y5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23047 | PA      | $22736.09     | 0.00%             | 2035-08-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2003-31A B1          | CUSIP: 86359A3K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1337419 | PA      | $1141879.85   | 0.15%             | 2033-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                        | NCHET 2003-6 M1           | CUSIP: 64352VFD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406077 | PA      | $393785.58    | 0.05%             | 2034-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-8 3M2            | CUSIP: 45254NKV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242038 | PA      | $204483.33    | 0.03%             | 2034-08-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2006-1F 1A6           | CUSIP: 3623416N4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   1012366 | PA      | $1967885.31   | 0.25%             | 2036-02-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                   | BCAP 2011-RR4 7A1         | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2564007 | PA      | $1508997.43   | 0.20%             | 2037-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-AR5 6A1         | CUSIP: 22541SJE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7186 | PA      | $6885.91      | 0.00%             | 2034-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2003-A2 2M1          | CUSIP: 589929P51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94869 | PA      | $74975.22     | 0.01%             | 2033-03-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | UBSC 2011-C1 D            | CUSIP: 90268TAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237915 | PA      | $199056.25    | 0.03%             | 2045-01-10      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSR 2006-2F 2A17          | CUSIP: 362334DD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1845162 | PA      | $1617113.84   | 0.21%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-17 1A2         | CUSIP: 12667GRW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73279 | PA      | $45797.72     | 0.01%             | 2035-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Alt                                                 | NAA 2006-AF1 2A           | CUSIP: 65536PAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213625 | PA      | $158220.57    | 0.02%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust                                     | GMACM 2004-HE1 VPRN       | CUSIP: 76112B3V0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314494 | PA      | $304969.47    | 0.04%             | 2034-06-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Gmacm Home Ln Tr                                                 | GMACM 2004-GH1 B          | CUSIP: 36185HEE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545344 | PA      | $322601.06    | 0.04%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2006-QA2 3A1         | CUSIP: 761118TU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138588 | PA      | $109358.64    | 0.01%             | 2036-02-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SAIL 2003-BC10 M3         | CUSIP: 86359A2K8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675193 | PA      | $1705122.00   | 0.22%             | 2033-10-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                        | SVHE 2004-1 M7            | CUSIP: 83611MBH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95493 | PA      | $77578.80     | 0.01%             | 2034-07-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2004-K 1A2          | CUSIP: 94981VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28066 | PA      | $28646.20     | 0.00%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2007-7 30PO          | CUSIP: 059529BA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74610 | PA      | $33451.50     | 0.00%             | 2037-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-43 5A1         | CUSIP: 12668AAX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541832 | PA      | $456811.42    | 0.06%             | 2035-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CG-CCRE Commercial Mortgage Trust 2014-1FL1                      | CGCC 2014-FL1 B           | CUSIP: 12528MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3401495 | PA      | $3374055.14   | 0.44%             | 2031-06-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| BOND SECURITIZATION ASSET-BACK                                   | BHLT 2003-1 X             | CUSIP: BCC0DFF06<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406419 | PA      | $359681.23    | 0.05%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-51 2A1         | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72072 | PA      | $64072.47     | 0.01%             | 2035-11-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2003-11 2B1           | CUSIP: 45254NGG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27432 | PA      | $25414.64     | 0.00%             | 2033-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2007-S2 3A2         | CUSIP: 46630WBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236763 | PA      | $234240.26    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2005-2XS 2A2         | CUSIP: 86359B2J9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47081 | PA      | $46366.64     | 0.01%             | 2035-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2002-18 1M2          | CUSIP: 22540V3D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115064 | PA      | $107398.46    | 0.01%             | 2032-06-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-AR5 A7          | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29427 | PA      | $27253.21     | 0.00%             | 2033-06-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Banc Amer Fdg 06-C                                               | BAFC 2006-C 4A1           | CUSIP: 058930AH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142280 | PA      | $117412.66    | 0.02%             | 2036-04-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2006-20 A1          | CUSIP: 94985EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1347 | PA      | $1339.73      | 0.00%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2004-S2 2A4          | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77403 | PA      | $75052.20     | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2003-39EX M3         | CUSIP: 86359BEA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86514 | PA      | $86107.72     | 0.01%             | 2033-08-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2005-10 1A1          | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112202 | PA      | $96723.51     | 0.01%             | 2036-01-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2003-AL2 B1          | CUSIP: 86359AWU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130260 | PA      | $67861.06     | 0.01%             | 2031-01-25      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                        | HVMLT 2005-1 2A1B         | CUSIP: 41161PLE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3429 | PA      | $2394.69      | 0.00%             | 2035-03-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities                                     | CMSI 2006-1 1A4           | CUSIP: 1729734V8<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-O            | CORP              | US        |     93451 | PA      | $87172.51     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2000-H 3B1          | CUSIP: 32051DCR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24431 | PA      | $22816.70     | 0.00%             | 2030-05-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust Series 2006-AF1           | MLMI 2006-AF1 PO          | CUSIP: 59023RAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157635 | PA      | $12537.09     | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2005-AR3 3A1          | CUSIP: 65535VMG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38583 | PA      | $37218.94     | 0.00%             | 2035-07-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2005-AR6 4A1        | CUSIP: 36185MBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49763 | PA      | $42223.26     | 0.01%             | 2035-11-19      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2004-4 6A1            | CUSIP: 02660TCJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26116 | PA      | $25435.93     | 0.00%             | 2045-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2002-21A B1II        | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43227 | PA      | $41446.21     | 0.01%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2006-7F 2A1           | CUSIP: 36298NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10991 | PA      | $1925000.00   | 0.25%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1999-B A5             | CUSIP: 09774XBF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4944914 | PA      | $722560.16    | 0.09%             | 2029-12-15      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2006-AR2 4A1         | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734795 | PA      | $695014.23    | 0.09%             | 2036-03-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Jefferies Resecuritization Trust 2009-R6                         | JMAC 2009-R6 7A5          | CUSIP: 47232YBM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1106081 | PA      | $1023661.87   | 0.13%             | 2035-08-26      | Floating      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 2001-D A2             | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152900 | PA      | $74256.37     | 0.01%             | 2031-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-HYB6 5A1        | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126920 | PA      | $115119.10    | 0.01%             | 2035-10-20      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Mellon Residential                                               | MRFC 1999-TBC3 B4         | CUSIP: 585525DL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91150 | PA      | $83152.21     | 0.01%             | 2029-10-20      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Residential                                                | OCMBS 1999-R2 B2          | CUSIP: 675748CF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121099 | PA      | $35650.91     | 0.00%             | 2039-06-25      | Floating      | 0.74%                 | Yes           |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-7 6A1           | CUSIP: 12669FXS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1532349 | PA      | $281162.65    | 0.04%             | 2034-05-25      | Floating      | 0.49%                 | No            |                  2 | On Loan: No      |
| Cwheq Inc                                                        | CWHEL 2006-D 2A           | CUSIP: 126685DT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596495 | PA      | $1501924.19   | 0.19%             | 2036-05-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mtg Ln                               | BFAT 2007-SR1A M2         | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180710 | PA      | $173629.55    | 0.02%             | 2037-03-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2011-71 SG            | CUSIP: 38377V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    141373 | PA      | $9690.86      | 0.00%             | 2041-05-20      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| Capitalsource R/Estate Ln Tr 2006-1                              | CRELT 2006-1A C           | CUSIP: 140560AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7884958 | PA      | $7534393.23   | 0.98%             | 2037-01-20      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Irwin Hm Eqty Loan                                               | IRWHE 2004-1 2M2          | CUSIP: 464126CK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50117 | PA      | $49453.31     | 0.01%             | 2034-12-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2003-I B2           | CUSIP: 949802AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39099 | PA      | $29699.67     | 0.00%             | 2033-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Abfs Mtg Ln Tst                                                  | ABFS 2002-1 A5            | CUSIP: 000759CF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2624857 | PA      | $2207517.40   | 0.29%             | 2032-12-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WAMMS 2003-MS2 CB4        | CUSIP: 939336RS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    364115 | PA      | $66310.75     | 0.01%             | 2033-02-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | LBMLT 2005-WL1 3M3        | CUSIP: 542514MH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4624284 | PA      | $4517499.13   | 0.58%             | 2045-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                  | NMFT 2006-MTA1 2A1A       | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110767 | PA      | $104541.78    | 0.01%             | 2046-09-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2018-95 SA            | CUSIP: 3136B3UE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    354212 | PA      | $28531.69     | 0.00%             | 2049-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| CG-CCRE Commercial Mortgage Trust 2014-1FL1                      | CGCC 2014-FL1 D           | CUSIP: 12528MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $3352500.00   | 0.43%             | 2031-06-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-HE10 M6        | CUSIP: 073879MW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148848 | PA      | $159863.22    | 0.02%             | 2034-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                  | LXS 2005-4 1M1            | CUSIP: 525221CD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3582089 | PA      | $3663139.80   | 0.47%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Firstcity Capital Home Equity Loan Trust                         | FCHE 1998-2 A1            | CUSIP: 33763NAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325211 | PA      | $314919.91    | 0.04%             | 2029-01-25      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2007-SD2 1PO        | CUSIP: 07386UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34843 | PA      | $24455.98     | 0.00%             | 2046-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2004-1 M2           | CUSIP: 68389FET7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140560 | PA      | $134010.30    | 0.02%             | 2034-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp              | JPMCC 2011-C3 C           | CUSIP: 46635TAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8255000 | PA      | $7701881.98   | 1.00%             | 2046-02-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-A 2A2          | CUSIP: 05949AH94<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     49939 | PA      | $47526.83     | 0.01%             | 2035-02-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-8F 2A3           | CUSIP: 36242DCH4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     14038 | PA      | $13830.77     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2004-AR10 2A2B       | CUSIP: 45660N2Z7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28776 | PA      | $25229.03     | 0.00%             | 2034-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2006-QA1 A31         | CUSIP: 761118TD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6013 | PA      | $6407.78      | 0.00%             | 2036-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                       | AMRES 1998-1 A5           | CUSIP: 03215PDM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28970 | PA      | $28759.46     | 0.00%             | 2027-10-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2007-5 8A1            | CUSIP: 52521RBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398012 | PA      | $325747.36    | 0.04%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCWHE 2009-1 3QB1         | CUSIP: 929091AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007797 | PA      | $951226.57    | 0.12%             | 2030-03-16      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCBAS 2009-1 KAB1         | CUSIP: 92909KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5725206 | PA      | $82617.01     | 0.01%             | 2037-02-26      | Floating      | 0.09%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2002-AR1 M1          | CUSIP: 03072SDB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105516 | PA      | $100773.80    | 0.01%             | 2032-09-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                    | CXHE 2004-C M2            | CUSIP: 152314KS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133786 | PA      | $124167.05    | 0.02%             | 2034-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset M                                               | SAMI 2006-AR3 24A1        | CUSIP: 86360KAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4768222 | PA      | $1398178.09   | 0.18%             | 2036-05-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset-Backed Certificates                   | CBASS 2007-SL1A A2        | CUSIP: 1248MKAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    727319 | PA      | $568471.80    | 0.07%             | 2037-02-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Merit Securities Corp                                            | MESC 12-1 1M1             | CUSIP: 589962CN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7953 | PA      | $7886.04      | 0.00%             | 2033-07-28      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Trust                                     | RCMT 2018-4 E             | CUSIP: 75575KAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2382195.30   | 0.31%             | 2051-02-27      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc 2013-Rr7 Trust                                          | BCAP 2013-RR7 4A4         | CUSIP: 05542RAR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4203428 | PA      | $3641133.37   | 0.47%             | 2034-12-27      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-3 1A1          | CUSIP: 55265K7K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22338 | PA      | $21712.37     | 0.00%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2007-1 3A1           | CUSIP: 81744HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182137 | PA      | $139764.28    | 0.02%             | 2047-01-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2004-SL1 A8          | CUSIP: 760985W98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376455 | PA      | $335274.95    | 0.04%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Irwin Hm Equity Ln                                               | IRWHE 2006-P1 2A3         | CUSIP: 46412AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662097 | PA      | $649110.45    | 0.08%             | 2037-06-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Alt                                                 | NAA 2006-AF1 1A1B         | CUSIP: 65536PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456193 | PA      | $101144.00    | 0.01%             | 2036-05-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Fincl Cap                                               | DFCS 1998-I M             | CUSIP: 251547AR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140816 | PA      | $139935.93    | 0.02%             | 2028-04-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2005-2 5A1            | CUSIP: 52520MCH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    832963 | PA      | $508789.59    | 0.07%             | 2035-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                               | SARM 2007-3 2A1           | CUSIP: 86363GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218428 | PA      | $197769.02    | 0.03%             | 2047-04-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2005-AR9 2A1         | CUSIP: 45660LMW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2155644 | PA      | $1907175.42   | 0.25%             | 2035-07-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QA4 A5          | CUSIP: 76110H4N6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167945 | PA      | $145088.59    | 0.02%             | 2035-04-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2007-1 2A1           | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3256685 | PA      | $1906079.05   | 0.25%             | 2036-11-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2003-1 B2            | CUSIP: 22541NZH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160222 | PA      | $1176831.04   | 0.15%             | 2033-06-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2006-PR1 3AF2        | CUSIP: 25157GAG7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    107125 | PA      | $97378.83     | 0.01%             | 2036-04-15      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Ambac Assurance Corporation                                      | AMBAC 8.5 02/12/55        | CUSIP: 023138AB6<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |   6740089 | PA      | $6335683.41   | 0.82%             | 2055-02-12      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Fdg I                                                | RFMSI 2005-SA3 3A         | CUSIP: 76111XWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281082 | PA      | $229711.58    | 0.03%             | 2035-08-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-R2 1AS          | CUSIP: 12669GN72<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |    602693 | PA      | $26240.16     | 0.00%             | 2035-06-25      | Floating      | 1.77%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A3 11A2        | CUSIP: 466247QY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30954 | PA      | $28557.25     | 0.00%             | 2035-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Metropolitan Asset                                               | METRO 1999-A B1           | CUSIP: 591739CE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214858 | PA      | $199592.42    | 0.03%             | 2025-03-20      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-3 1A3          | CUSIP: 55265K7M5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2482 | PA      | $2399.16      | 0.00%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 2002-B A2             | CUSIP: 67087TDN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27349 | PA      | $27051.62     | 0.00%             | 2032-06-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Argent Secs Inc                                                  | ARSI 2003-W3 M5           | CUSIP: 040104BK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762597 | PA      | $639390.71    | 0.08%             | 2033-09-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2003-3 M1           | CUSIP: 07384YLU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246048 | PA      | $247658.98    | 0.03%             | 2043-06-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSFB 2005-10 4A1          | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7659480 | PA      | $1500471.38   | 0.19%             | 2035-11-25      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | ARMT 2004-5 2A1           | CUSIP: 007036EP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41890 | PA      | $40400.20     | 0.01%             | 2035-04-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2005-1 7A1          | CUSIP: 9393362S1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1348519 | PA      | $1068866.52   | 0.14%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2005-1 1A1          | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83968 | PA      | $74098.95     | 0.01%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2002-C M1            | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1064144 | PA      | $1024911.55   | 0.13%             | 2032-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-3 1A1          | CUSIP: 07386HK26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194637 | PA      | $209251.83    | 0.03%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-3 35A1         | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447204 | PA      | $256011.11    | 0.03%             | 2036-05-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2002-2 M1            | CUSIP: 35729PAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1924911 | PA      | $1922066.16   | 0.25%             | 2033-10-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-29 7A1          | CUSIP: 22541Q4D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125597 | PA      | $116161.99    | 0.02%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                          | GSR 2006-4F 5A11          | CUSIP: 362650BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100 | PA      | $875000.00    | 0.11%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2007-1 I2A1          | CUSIP: 576431AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5032 | PA      | $4926.64      | 0.00%             | 2047-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Green Tree Financial Corporation                                 | GT 1997-2 M1              | CUSIP: 393505SV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2324675 | PA      | $2283573.79   | 0.30%             | 2028-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2000-H 4B2          | CUSIP: 32051DCV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22494 | PA      | $20642.12     | 0.00%             | 2030-05-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series Trust                                               | RFMSI 2006-SA2 3A1        | CUSIP: 749574AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341923 | PA      | $311931.48    | 0.04%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Gmacm Home Equity Loan Trust                                     | GMACM 2004-HE1 A3         | CUSIP: 361856CV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160663 | PA      | $155797.15    | 0.02%             | 2034-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2003-WMC2 M2         | CUSIP: 57643LBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68912 | PA      | $68405.43     | 0.01%             | 2033-08-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2006-AR1 2A2         | CUSIP: 86359LTE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2567719 | PA      | $2424335.46   | 0.31%             | 2036-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                       | JPMCC 2013-LC11 D         | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107000 | PA      | $91145.19     | 0.01%             | 2046-04-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Saco I Tr                                                        | SACO 2007-1 A1            | CUSIP: 785814AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16318 | PA      | $16093.02     | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-S2 2A13        | CUSIP: 466247JK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502943 | PA      | $458116.84    | 0.06%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2006-OA2 4A1A        | CUSIP: 55275NAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2443861 | PA      | $2064472.95   | 0.27%             | 2046-12-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2005-SD3 2M4        | CUSIP: 073877DD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277237 | PA      | $265838.01    | 0.03%             | 2039-11-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | UBSC 2011-C1 E            | CUSIP: 90268TAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $114967.60    | 0.01%             | 2045-01-10      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Long Beach 06-A                                                  | LBMLT 2006-A A3           | CUSIP: 542515AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16454079 | PA      | $379463.98    | 0.05%             | 2036-05-25      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | WAMU 2001-AR5 B6          | CUSIP: 22540VLM2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |     25884 | PA      | $18330.91     | 0.00%             | 2039-12-19      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2006-G 3A3           | CUSIP: 05950MAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24630 | PA      | $23882.47     | 0.00%             | 2036-07-20      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-BC2 M5           | CUSIP: 1266713N4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452008 | PA      | $448927.71    | 0.06%             | 2033-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp Home Equity Loan Trust Series 2007-SL2       | ACE 2005-WF1 M10          | CUSIP: 004421QY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1531310 | PA      | $1539873.57   | 0.20%             | 2035-05-25      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2002-D M1            | CUSIP: 03072SEB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348902 | PA      | $313116.37    | 0.04%             | 2033-02-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2005-AR6 3A1        | CUSIP: 32051GJ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653902 | PA      | $445870.23    | 0.06%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-7 2A1           | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89274 | PA      | $82268.73     | 0.01%             | 2034-06-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Ln                                                       | GSR 2007-4F 1A1           | CUSIP: 362669AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65271 | PA      | $91282.49     | 0.01%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Commercial Mortgage Finance Corp                       | JPMCC 2006-LDP9 AMS       | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13135603 | PA      | $12249458.22  | 1.59%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2003-NC1 M4          | CUSIP: 57643LBR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217493 | PA      | $214920.26    | 0.03%             | 2033-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Greenpoint Mtg Fdg                                               | GPMF 2005-HE3 A           | CUSIP: 39538WCZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83532 | PA      | $81294.41     | 0.01%             | 2030-09-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mtg Corp                                                | AMAC 2002-9 M             | CUSIP: 00077B5C3<br>LEI: 549300VR53X8N2B19L97 | Long             | ABS-O            | CORP              | US        |    130708 | PA      | $123422.26    | 0.02%             | 2032-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNW 2003-W6 5S            | CUSIP: 31393BW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1230590 | PA      | $123542.04    | 0.02%             | 2042-09-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2004-QA6 NB2         | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510154 | PA      | $444502.39    | 0.06%             | 2034-12-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Origen Mfd Housing                                               | ORGN 2007-A A2            | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |   1006416 | PA      | $924387.00    | 0.12%             | 2037-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2005-4 25A1         | CUSIP: 07386HTE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49919 | PA      | $47630.58     | 0.01%             | 2035-05-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                 | EQABS 1998-1 A1           | CUSIP: 294751AF9<br>LEI: 529900053A7X7FJ97S58 | Long             | ABS-O            | CORP              | US        |     74786 | PA      | $68559.81     | 0.01%             | 2029-12-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Legal Fee Funding 2006-1, LLC                                    | LFF 2006-1A A             | CUSIP: 524708AA2<br>LEI: 213800AJC8I72ZCD2E71 | Long             | ABS-O            | CORP              | US        |   1196151 | PA      | $1196150.51   | 0.15%             | 2036-07-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-32CB A2        | CUSIP: 02147XAB3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    699292 | PA      | $55659.67     | 0.01%             | 2036-11-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSFB 2005-12 5A1          | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    836709 | PA      | $713310.23    | 0.09%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Trust                                                | SEMT 2003-4 2B2           | CUSIP: 81743PCD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37399 | PA      | $31302.71     | 0.00%             | 2033-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                                | WMALT 2006-AR6 2A         | CUSIP: 93935FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656003 | PA      | $401377.23    | 0.05%             | 2046-08-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2006-AR5 2A4A       | CUSIP: 17309FAX6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     99786 | PA      | $105209.91    | 0.01%             | 2036-07-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving He                                               | CWHEL 2006-I 1A           | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56425 | PA      | $51797.43     | 0.01%             | 2037-01-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| US Capital Funding II Ltd/Corp                                   | USCAP FLOAT 08/01/34      | CUSIP: 90390KAC8<br>LEI: 549300HTY3H4G929F898 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $813800.00    | 0.11%             | 2034-08-01      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2004-RES1 M7        | CUSIP: 17307GKS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146393 | PA      | $817506.69    | 0.11%             | 2034-11-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Indymac INDA Mortgage Loan Trust 2007-AR4                        | INDA 2007-AR4 3A1         | CUSIP: 456674AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72113 | PA      | $64398.83     | 0.01%             | 2037-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2005-4 1A             | CUSIP: 61748HJV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187511 | PA      | $169024.30    | 0.02%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | JPMCC 2010-C2 E           | CUSIP: 46635GAS9<br>LEI: 5LF85PMAL00WH73NTQ43 | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1745385.60   | 0.23%             | 2043-11-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large                              | BAMLL 2016-GG10 AJA       | CUSIP: 059427AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3562470 | PA      | $895476.01    | 0.12%             | 2045-08-10      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mtg Invest                                               | OAK 2000-C M1             | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090174 | PA      | $1013107.24   | 0.13%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2004-3 4A             | CUSIP: 02660TBN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26138 | PA      | $25892.80     | 0.00%             | 2034-10-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2006-AR2 A1A        | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56619 | PA      | $46334.35     | 0.01%             | 2046-04-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Voyager Grnpt                                                    | VCWHE 2009-1 3MY5         | CUSIP: 92910XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203399 | PA      | $1141504.53   | 0.15%             | 2033-12-16      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

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

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Treasurer