# EDGAR Filing Document

**Accession Number:** 0001261788
**File Stem:** 0001145549-23-013883
**Filing Date:** 2023-3
**Character Count:** 366136
**Document Hash:** da4d7c9fe465983f28b5a09d7a417712
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013883.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001145549-23-013883

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Trust for Advised Portfolios
- **CENTRAL INDEX KEY:** 0001261788
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21422
- **FILM NUMBER:** 23688129

**BUSINESS ADDRESS:**
- **STREET 1:** 615 EAST MICHIGAN STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 414-287-3700

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ZIEGLER CAPITAL MANAGEMENT INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20130128

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ZIEGLER LOTSOFF CAPITAL MANAGEMENT INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20110803

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOTSOFF CAPITAL MANAGEMENT INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20050915

## Series and Classes Contracts Data

### Regan Total Return Income Fund (Series ID: S000069657)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000222148 | Investor Class      | RCTRX           |
| C000222149 | Institutional Class | RCIRX           |

## Nport-Ex

---

| |
|:---|
| **Regan Total Return Income Fund** |
| **SCHEDULE OF INVESTMENTS** |
| **12/31/2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | <br> **Value** |
| **ASSET BACKED SECURITIES ― 27.2%** |  |  |
| Ace Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-ASL1, Class A, 4.669% (1 Month USD LIBOR + 0.280%), 02-25-2036 (2) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287805 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40177 |
| &nbsp;&nbsp;&nbsp; Series 2006-HE4, Class A2B, 4.609% (1 Month LIBOR USD + 0.220%), 10-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2287270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 883189 |
| &nbsp;&nbsp;&nbsp; Series 2006-ASAP5, Class A2D, 4.909% (1 Month LIBOR USD + 0.520%), 10-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1996693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690719 |
| &nbsp;&nbsp;&nbsp; Series 2006-ASAP6, Class A2D, 4.829% (1 Month LIBOR USD + 0.440%), 12-26-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2746529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973528 |
| &nbsp;&nbsp;&nbsp; Series 2007-D1, Class A4, 6.930%, 02-25-2038 (3)(4) | &nbsp;&nbsp;&nbsp;&nbsp; 756098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595259 |
| Aegis Asset Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class M3, 6.789% (1 Month LIBOR USD + 2.400%), 06-26-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 154448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137253 |
| American Home Mortgage Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-A, Class 4A, 5.289% (1 Month USD LIBOR + 0.900%), 07-25-2046 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 113044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32959 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-5, Class A1, 1.373%, 05-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18069 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A1, 1.068%, 05-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 358728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295086 |
| Angel Oak Mortgage Trust 2021-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-5, 0.951%, 07-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 985792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805427 |
| Argent Securities Inc. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-W4, Class A2D, 4.929% (1 Month USD LIBOR + 0.540%), 05-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 287751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70797 |
| &nbsp;&nbsp;&nbsp; Series 2006-W5, Class A2B, 4.589% (1 Month LIBOR USD + 0.200%), 06-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 315914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86800 |
| Arroyo Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 4.950%, 07-25-2057 (3)(4) | &nbsp;&nbsp;&nbsp;&nbsp; 391634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 381244 |
| Banc of America Funding Corporation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-R2, Class 1A2, 8.601%, 05-02-2033 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1539893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1504044 |
| BankAmerica Manufactured Housing Contract Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 1997-1, Class B1, 6.940%, 03-25-2023 | &nbsp;&nbsp;&nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172000 |
| Bayview Commercial Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-3, Class B1, 6.789% (1 Month LIBOR USD + 2.400%), 01-25-2035 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33685 |
| Bayview Commercial Asset Trust 2005-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-3, 6.834% (1 Month LIBOR USD + 2.445%), 11-25-2035 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 294347 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262081 |
| Bayview Financial Mortgage Pass-Through Trust 2006-C |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-C, 4.824% (1 Month LIBOR USD + 0.435%), 11-28-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1195826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1018367 |
| Bear Stearns Asset Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-SD1, Class 22A1, 3.847%, 10-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 909419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539511 |
| BRAVO Residential Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-HE2, Class A1, 4.678% (SOFR30A + 0.750%), 11-25-2069 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81999 |
| &nbsp;&nbsp;&nbsp; Series 2021-HE1, Class A1, 4.678% (SOFR30A + 0.750%), 01-27-2070 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 659362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650983 |
| CDC Mortgage Capital Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2002-HE1, Class A, 5.009% (1 Month LIBOR USD + 0.620%), 01-25-2033 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8814 |
| Chase Funding Mortgage Loan Asset-Backed CTFS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-5, Class 1M2, 5.641%, 09-25-2032 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68473 |
| &nbsp;&nbsp;&nbsp; Series 2003-2, Class 2A2, 4.949% (1 Month LIBOR USD + 0.560%), 02-25-2033 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 858209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 813877 |
| CHEC LOAN TRUST |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class M3, 6.264% (1 Month USD LIBOR + 1.875%), 04-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 457071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455775 |
| Citigroup Mortgage Loan Trust 2015-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-5, 3.619%, 08-25-2034 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 335337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324644 |
| Citigroup Mortgage Loan Trust Inc |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-12, Class 2A5, 3.000%, 02-25-2037 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;2509533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1882602 |
| COLT 2021-1 Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, 0.910%, 06-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 368136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297318 |
| Conseco Finance Securitizations Corp. |  |  |
| &nbsp;&nbsp;&nbsp; Series 1999-6, Class A1, 7.360%, 06-01-2030 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;8794764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3314267 |
| &nbsp;&nbsp;&nbsp; Series 2000-4, Class A6, 8.310%, 05-01-2032 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 660851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142806 |
| &nbsp;&nbsp;&nbsp; Series 2002-1, Class M2, 9.546%, 12-01-2032 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1951594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1770919 |
| Conseco Financial Corp |  |  |
| &nbsp;&nbsp;&nbsp; Series 1996-8, Class B1, 7.950%, 11-15-2026 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1625337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1529227 |
| &nbsp;&nbsp;&nbsp; Series 1996-6, Class B1, 8.000%, 09-15-2027 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1254426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1169521 |
| &nbsp;&nbsp;&nbsp; Series 1997-4, Class M1, 7.220%, 02-15-2029 | &nbsp;&nbsp;&nbsp;&nbsp; 147874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148227 |
| &nbsp;&nbsp;&nbsp; Series 1997-5, Class B1, 6.970%, 05-15-2029 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 837122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777094 |
| &nbsp;&nbsp;&nbsp; Series 1998-8, Class M1, 6.980%, 09-01-2029 (1) | &nbsp;&nbsp;&nbsp;&nbsp;3318497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2971234 |
| &nbsp;&nbsp;&nbsp; Series 1999-4, Class A7, 7.410%, 01-01-2030 | &nbsp;&nbsp;&nbsp;&nbsp;2411285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1063397 |
| &nbsp;&nbsp;&nbsp; Series 1998-3, Class M1, 6.860%, 03-01-2030 (1) | &nbsp;&nbsp;&nbsp;&nbsp;2636435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2388503 |
| &nbsp;&nbsp;&nbsp; Series 1999-5, Class A6, 7.500%, 03-01-2030 (1) | &nbsp;&nbsp;&nbsp;&nbsp;5140508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2096431 |
| Countrywide Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-6, Class 2A3, 4.609% (1 Month USD LIBOR + 0.220%), 07-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 174691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179006 |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class AF6, 5.526%, 05-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37003 |
| &nbsp;&nbsp;&nbsp; Series 2006-15, Class A6, 5.826%, 08-25-2046 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 154285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153789 |
| &nbsp;&nbsp;&nbsp; Series 2006-9, Class 1AF6, 5.989%, 08-25-2046 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 181933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168680 |
| Countrywide Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-B, Class 2A, 4.538% (1 Month USD LIBOR + 0.220%), 02-15-2029 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 564340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497233 |
| Credit Suisse Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A6A, 5.863%, 02-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1353349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324639 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 5A14, 6.000%, 02-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 939245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 562343 |
| &nbsp;&nbsp;&nbsp; Series 2015-1R, Class 6A1, 4.173% (1 Month USD LIBOR + 0.280%), 05-28-2037 (2)(3)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 222545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 214267 |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM4, Class A1, 1.101%, 05-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 126637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101905 |
| Credit-Based Asset Servicing and Securitization |  |  |
| &nbsp;&nbsp;&nbsp; Series 2001-CB4, Class 1A1, 5.289% (1 Month LIBOR USD + 0.900%), 11-25-2033 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19701 |
| &nbsp;&nbsp;&nbsp; Series 2004-CB7, Class AF5, 5.085%, 10-25-2034 (4)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28158 |
| &nbsp;&nbsp;&nbsp; Series 2006-CB8, Class A1, 4.669% (1 Month USD LIBOR + 0.280%), 10-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71439 |
| &nbsp;&nbsp;&nbsp; Series 2007-RP1, Class A, 4.354% (1 Month USD LIBOR + 0.310%), 04-25-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 124947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103266 |
| CSMC 2021-NQM3 |  |  |
| &nbsp;&nbsp;&nbsp; Series TR, 1.015%, 04-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 120910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95246 |
| CSMC 2021-NQM7 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM7, 2.064%, 10-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 240802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193294 |
| CSMC Mortgage-Backed Trust 2007-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, 6.000%, 02-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 522236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315611 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, 6.000%, 02-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1758136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1052773 |
| CWABS Asset Backed Notes Trust 2007-Sea2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-SEA2, 5.889% (1 Month LIBOR USD + 1.500%), 07-25-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1919624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1219845 |
| CWABS Inc Asset-Backed Certificates Trust 2004-6 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-6, 4.929% (1 Month LIBOR USD + 0.540%), 12-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 831395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 779429 |
| Ellington Financial Mortgage Trust 2017-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-3, 1.106%, 02-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 505197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 400419 |
| EquiFirst Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A3, 5.189% (1 Month LIBOR USD + 0.800%), 01-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 531971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 499940 |
| First Franklin Mtg Loan Asset Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-FF11, Class 2A3, 4.689% (1 Month LIBOR USD + 0.300%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 374557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345926 |
| &nbsp;&nbsp;&nbsp; Series 2006-FF18, Class A2C, 4.549% (1 Month LIBOR USD + 0.160%), 12-26-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 607848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 537810 |
| First Horizon Alternative Mortgage Securities |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AA8, Class 2A1, 4.023%, 01-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 240224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137891 |
| Fremont Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-C, Class M2, 5.439% (1 Month USD LIBOR + 1.050%), 08-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 199714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188039 |
| &nbsp;&nbsp;&nbsp; Series 2006-B, Class 2A2, 4.589% (1 Month USD LIBOR + 0.200%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27375 |
| &nbsp;&nbsp;&nbsp; Series 2006-3, Class 1A1, 4.669% (1 Month USD LIBOR + 0.280%), 02-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49114 |
| GCAT |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-INV2, Class A5, 3.000%, 04-25-2052 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 665148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 555347 |
| GCAT 2021-NQM7 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM7, 1.915%, 08-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1748298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1533323 |
| GMAC Mortgage Corporation Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 2A1, 7.000%, 09-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 187081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162851 |
| Greenpoint Manufactured Housing |  |  |
| &nbsp;&nbsp;&nbsp; Series 1999-5, Class M1B, 8.290%, 12-15-2029 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24903 |
| &nbsp;&nbsp;&nbsp; Series 1999-5, Class M2, 9.230%, 12-15-2029 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48417 |
| &nbsp;&nbsp;&nbsp; Series 2000-3, Class IA, 8.450%, 06-20-2031 (1) | &nbsp;&nbsp;&nbsp;&nbsp;2340189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1223939 |
| GS Mortgage Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-7R, Class A, 4.270% (1 Month USD LIBOR + 0.150%), 09-28-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36511 |
| GSAMP Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-S1, Class A1, 4.669% (1 Month USD LIBOR + 0.280%), 11-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 782059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84848 |
| &nbsp;&nbsp;&nbsp; Series 2006-S5, Class A1, 1.804% (1 Month LIBOR USD + 0.180%), 09-25-2036 (2) | 18574068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234743 |
| &nbsp;&nbsp;&nbsp; Series 2006-S5, Class A2, 6.158%, 09-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;6188681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85790 |
| GSRPM Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class B1, 8.139% (1 Month LIBOR USD + 3.750%), 09-25-2042 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90813 |
| Home Equity Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2002-2, Class A3, 4.969% (1 Month USD LIBOR + 0.580%), 12-27-2032 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87249 |
| Home Equity Mortgage |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-A, Class 2A4B, 4.839% (1 Month LIBOR USD + 0.450%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3710580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1387375 |
| HSI Asset Securitization Corporation Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 2A1, 4.499% (1 Month USD LIBOR + 0.110%), 04-27-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 185070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95877 |
| Imperial Fund Mortgage Trust 2021-NQM2 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-3, 1.516%, 09-25-2056 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 301837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227400 |
| IndyMac Residential Asset Backed Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-C, Class 2A, 4.649% (1 Month USD LIBOR + 0.260%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69672 |
| &nbsp;&nbsp;&nbsp; Series 2007-A, Class 2A2, 4.579% (1 Month USD LIBOR + 0.190%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20343 |
| &nbsp;&nbsp;&nbsp; Series 2007-A, Class 1A, 4.609% (1 Month LIBOR USD + 0.220%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 311089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239402 |
| JPMorgan Chase Bank NA - CACLN |  |  |
| &nbsp;&nbsp;&nbsp; Series B, 0.875%, 09-25-2028 (3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65491 |
| &nbsp;&nbsp;&nbsp; Series B, 0.889%, 12-25-2028 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 215513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199134 |
| Long Beach Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class A1, 4.829% (1 Month LIBOR USD + 0.440%), 06-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 387263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360530 |
| &nbsp;&nbsp;&nbsp; Series 2006-A, Class A1, 4.569% (1 Month USD LIBOR + 0.180%), 05-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 979915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22349 |
| Mastr Asset Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AM2, Class A3, 4.729% (1 Month LIBOR USD + 0.340%), 06-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 613600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 545437 |
| MASTR Asset Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-FRE2, Class A5, 4.869% (1 Month USD LIBOR + 0.480%), 03-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 264623 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185079 |
| &nbsp;&nbsp;&nbsp; Series A-3, Class A3, 4.609% (1 Month LIBOR USD + 0.220%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1020019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405815 |
| &nbsp;&nbsp;&nbsp; Series A-5, Class A5, 4.869% (1 Month LIBOR USD + 0.480%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 465590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185235 |
| Mastr Specialized Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-01, 4.759% (1 Month LIBOR USD + 0.370%), 01-25-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 655087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 257520 |
| Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-RM3, Class A1B, 4.769% (1 Month USD LIBOR + 0.380%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;5939596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185529 |
| METLIFE SECURITIZATION TRUST |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class A2A, 2.500%, 05-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30083 |
| MFA 2020-NQM2 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series TR, 1.947%, 04-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 106778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96127 |
| MFA 2021-INV1 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series TR, 1.057%, 01-25-2056 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 330511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289509 |
| MFA 2021-NQM1 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series TRUST, 1.153%, 04-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 614288 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530441 |
| Morgan Stanley ABS Capital I Inc Trust 2006-HE6 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-HE6, 4.509% (1 Month LIBOR USD + 0.120%), 09-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 164643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52686 |
| Morgan Stanley Capital Inc |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-NC8, Class B1, 9.789% (1 Month USD LIBOR + 5.400%), 09-25-2033 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 119173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118793 |
| &nbsp;&nbsp;&nbsp; Series 2004-WMC3, Class M3, 5.259% (1 Month USD LIBOR + 0.870%), 01-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 208117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 214842 |
| &nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2C, 4.539% (1 Month LIBOR USD + 0.150%), 11-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 559470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333501 |
| Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1XS, Class 1A1, 6.465%, 09-25-2046 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 639311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242036 |
| Morgan Stanley Mortgage Loan Trust 2007-1XS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1XS, 6.584%, 09-25-2046 (4) | &nbsp;&nbsp;&nbsp;&nbsp;5946540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1682714 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 2.277%, 04-25-2061 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 526999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453584 |
| New Residential Mortgage Loan Trust 2021-NQM3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM3, 1.516%, 11-25-2056 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 378605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306621 |
| Nomura Home Equity Loan Inc |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AF1, Class A1, 6.032%, 10-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;1485122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363894 |
| Nomura Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-10R, Class 1A2, 5.386%, 12-25-2036 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1233874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 979326 |
| Novastar Home Equity Loan |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-3, Class A2C, 4.709% (1 Month LIBOR USD + 0.320%), 10-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1836483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1023102 |
| &nbsp;&nbsp;&nbsp; Series 2006-5, Class A2B, 4.629% (1 Month USD LIBOR + 0.240%), 11-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1005226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338913 |
| Oakwood Mortgage Investors Inc. |  |  |
| &nbsp;&nbsp;&nbsp; Series 1997-A, Class B1, 7.450%, 05-15-2027 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91728 |
| &nbsp;&nbsp;&nbsp; Series 2002-C, Class M1, 6.890%, 11-15-2032 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1382250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1341850 |
| Option One Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-3, Class 1A1, 4.529% (1 Month LIBOR USD + 0.140%), 02-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1010079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 672328 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A1, 4.529% (1 Month LIBOR USD + 0.140%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 597780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 396453 |
| &nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 3A4, 5.860%, 01-25-2037 (4) | &nbsp;&nbsp;&nbsp;&nbsp;1853715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1751919 |
| OWNIT Mortgage Loan Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class A2C, 4.709% (1 Month USD LIBOR + 0.320%), 09-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1547136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 745741 |
| RAAC Series 2007-RP4 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-RP4, 4.739% (1 Month LIBOR USD + 0.350%), 06-25-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 697297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 619675 |
| RASC Series 2005-KS10 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-KS10, 5.049% (1 Month LIBOR USD + 0.660%), 11-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39065 |
| RBSSP Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2010-9, Class 7A6, 6.000%, 05-27-2037 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1029139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 508516 |
| Renaissance Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2002-3, Class A, 5.149% (1 Month LIBOR USD + 0.760%), 12-25-2032 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 381577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 348640 |
| &nbsp;&nbsp;&nbsp; Series 2003-4, Class M2F, 6.244%, 03-25-2034 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 217262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193094 |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class M4, 7.089% (1 Month USD LIBOR + 2.700%), 05-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 239243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171374 |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class M1, 6.414%, 07-25-2034 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 413441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323826 |
| Residential Funding Mortgage Securities II |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-HI5, Class A4, 6.200%, 12-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;8137043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1874115 |
| ResMAE Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class A2B, 4.689% (1 Month LIBOR USD + 0.300%), 02-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;2981767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1012995 |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class A2C, 4.789% (1 Month LIBOR USD + 0.400%), 02-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;3295768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1119990 |
| Securitized Asset Backed Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-WM2, Class A2B, 4.509% (1 Month LIBOR USD + 0.120%), 09-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 643051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442485 |
| Securitized Asset Backed Receivables LLC Trust 2006-FR4 |  |  |
| &nbsp;&nbsp;&nbsp; Series FLT, 4.549% (1 Month LIBOR USD + 0.160%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 368870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117727 |
| Security National Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-3A, Class A3, 6.330%, 01-25-2037 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 346456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150669 |
| Specialty Underwriting & Residential Finance |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-BC3, Class A2C, 4.689% (1 Month LIBOR USD + 0.300%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50499 |
| Structured Asset Securities Corporation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 3.835%, 12-25-2033 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48711 |
| &nbsp;&nbsp;&nbsp; Series 2006-S3, Class A1, 4.649% (1 Month USD LIBOR + 0.260%), 09-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1039965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350862 |
| &nbsp;&nbsp;&nbsp; Series 2006-BC6, Class A1, 4.549% (1 Month LIBOR USD + 0.160%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 370802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351431 |
| Terwin Mortgage Trust 2006-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-5, 4.809% (1 Month LIBOR USD + 0.420%), 07-25-2037 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 119405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111943 |
| Towd Point Mortgage Trust 2017-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-2, 3.316%, 04-25-2057 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 527242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 506322 |
| UCFC Manufactured Housing Contract |  |  |
| &nbsp;&nbsp;&nbsp; Series 1996-1, Class M, 7.900%, 01-15-2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29167 |
| Verus Securitization Trust 2021-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-3, 1.283%, 06-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 691288 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 553579 |
| WAMU Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-HE4, Class 2A2, 4.519% (1 Month USD LIBOR + 0.130%), 07-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 324311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195920 |
| Washington Mutual Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A1, 4.449% (1 Month USD LIBOR + 0.060%), 11-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1546404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 554473 |
| **TOTAL ASSET BACKED SECURITIES** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $83,938,270) |  | **&nbsp;&nbsp;&nbsp;&nbsp; 69152638** |
| **MORTGAGE BACKED SECURITIES ― 51.1%** |  |  |
| Adjustable Rate Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A1, 3.711%, 03-25-2035 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35893 |
| &nbsp;&nbsp;&nbsp; Series 2005-10, Class 1A1, 3.845%, 01-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 140252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120904 |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class 1A1, 3.742%, 03-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78299 |
| Adjustable Rate Mortgage Trust 2005-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-5, 3.361%, 09-25-2035 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40266 |
| Agate Bay Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-4, Class A5, 3.000%, 06-25-2045 (1)(3)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 376041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350658 |
| &nbsp;&nbsp;&nbsp; Series 2015-6, Class A3, 3.500%, 09-25-2045 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 409144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364191 |
| Alternative Loan Trust 2005-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-2, 3.306%, 03-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77562 |
| Alternative Loan Trust 2005-24 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-24, 4.953% (1 Month LIBOR USD + 0.600%), 07-20-2035 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 503088 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294306 |
| Alternative Loan Trust 2005-38 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-38, 5.089% (1 Month LIBOR USD + 0.700%), 09-25-2035 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 219627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177898 |
| Alternative Loan Trust 2005-76 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-76, 3.048% (12 Month US Treasury Average + 1.000%), 02-25-2036 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18429 |
| Alternative Loan Trust 2006-30T1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-30T1, 6.250%, 11-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 902303 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 668613 |
| Alternative Loan Trust 2006-40T1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-40T1, 6.000%, 12-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;2163049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640962 |
| Alternative Loan Trust 2006-J1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-J1, 7.000%, 02-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1040393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137110 |
| Alternative Loan Trust 2006-J2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-J2, 1.111% (1 Month LIBOR USD + 5.500%), 04-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2263632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248696 |
| Alternative Loan Trust 2007-16CB |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-16CB, 18.011% (1 Month LIBOR USD + 54.583%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 735041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1049194 |
| Alternative Loan Trust 2007-17CB |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-17CB, 9.712% (1 Month LIBOR USD + 29.900%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 733721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706508 |
| Alternative Loan Trust 2007-2CB |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-2CB, 4.989% (1 Month LIBOR USD + 0.600%), 03-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 315509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147065 |
| Alternative Loan Trust Resecuritization 2005-12R |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-12R, 6.000%, 11-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp; 720037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632573 |
| American Home Mortgage Assets |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 11A1, 4.809% (1 Month USD LIBOR + 0.420%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 177653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161451 |
| American Home Mortgage Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-3, Class MH1, 3.489% (1 Month LIBOR USD + 0.900%), 10-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67361 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class 11A1, 4.849% (1 Month USD LIBOR + 0.460%), 03-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 382624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149860 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class 12A1, 4.929% (1 Month LIBOR USD + 0.540%), 03-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1066072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417592 |
| American Home Mortgage Investment Trust 2007-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, 2.078%, 05-25-2047 | &nbsp;&nbsp;&nbsp;&nbsp;5917385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 699182 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A1A, 2.531%, 01-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89247 |
| Angel Oak Mortgage Trust 2019-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-5, 2.716%, 10-25-2049 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 774524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 731799 |
| Angel Oak Mortgage Trust 2020-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-4, 1.469%, 05-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 274329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245083 |
| ASG Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2011-2, Class M52, 5.750%, 02-28-2036 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 854450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773318 |
| BANC AMERICA FDG 2005-8 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-8, 5.500%, 01-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 260232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207957 |
| Banc of America Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class 1CB5, 5.500%, 12-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 174458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153403 |
| &nbsp;&nbsp;&nbsp; Series 2006-5, Class CB7, 6.000%, 06-25-2046 | &nbsp;&nbsp;&nbsp;&nbsp; 254751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220524 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class 1A1, 5.500%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 750247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 624363 |
| Banc of America Funding 2007-8 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-8, 6.000%, 08-25-2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62954 |
| Banc of America Funding Corporation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class 1CB1, 5.750%, 09-20-2034 | &nbsp;&nbsp;&nbsp;&nbsp; 344256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335905 |
| &nbsp;&nbsp;&nbsp; Series 2005-B, Class 2A1, 2.974%, 04-20-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47971 |
| &nbsp;&nbsp;&nbsp; Series 2005-D, Class A1, 3.418%, 05-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45549 |
| &nbsp;&nbsp;&nbsp; Series 2005-6, Class 1A8, 6.000%, 10-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 368503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285867 |
| &nbsp;&nbsp;&nbsp; Series 2006-G, Class 3A3, 7.303% (12 Month LIBOR USD + 1.750%), 07-20-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23426 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class A11, 6.000%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 234554 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185042 |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 3A1, 4.759% (1 Month USD LIBOR + 0.370%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 179607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140465 |
| Banc of America Mortgage Securities |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-H, Class 2A2, 4.045%, 09-25-2033 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 884620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 809583 |
| &nbsp;&nbsp;&nbsp; Series 2004-D, Class 2A2, 3.047%, 05-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62013 |
| &nbsp;&nbsp;&nbsp; Series 2005-E, Class 3A1, 3.648%, 06-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 230514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197963 |
| &nbsp;&nbsp;&nbsp; Series 2005-F, Class 2A2, 3.942%, 07-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 253789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228330 |
| &nbsp;&nbsp;&nbsp; Series 2005-J, Class 2A1, 3.854%, 11-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46512 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class A7, 5.500%, 05-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59592 |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 1A1, 6.000%, 09-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 476016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408278 |
| &nbsp;&nbsp;&nbsp; Series 2006-2, Class A3, 4.989% (1 Month LIBOR USD + 0.600%), 07-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 878403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690259 |
| &nbsp;&nbsp;&nbsp; Series 2006-2, Class A2, 6.000% (1 Month LIBOR USD + 6.000%), 07-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 285050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245032 |
| Bayview Commercial Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-1A, Class B1, 5.964% (1 Month USD LIBOR + 1.575%), 04-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 195900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175286 |
| BCAP LLC Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2008-IND2, Class A2, 3.135%, 04-25-2038 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 981976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 745240 |
| Bear Stearns Ajustable Rate Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-6, Class 1B1, 3.716%, 08-25-2033 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 292988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224979 |
| Bear Stearns Alt-A Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-5, Class M, 3.765%, 06-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 537796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 444364 |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 23A1, 3.546%, 09-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 253644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108494 |
| &nbsp;&nbsp;&nbsp; Series 2005-9, Class 26A1, 3.578%, 11-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 504793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335890 |
| &nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A2, 3.697%, 08-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1305592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 686769 |
| Bear Stearns ARM Trust 2003-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-4, 3.569%, 07-25-2033 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58731 |
| Bear Stearns ARM Trust 2006-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-4, 3.625%, 10-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 170220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127239 |
| Bear Stearns Asset Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-AC4, Class A2, 11.940% (1 Month USD LIBOR + 27.300%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 657656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 604604 |
| Charlie Mac |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class A8, 4.939% (1 Month USD LIBOR + 0.550%), 08-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29187 |
| Chase Mortgage Finance Corporation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A1, 3.941%, 12-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 120186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101008 |
| &nbsp;&nbsp;&nbsp; Series 2007-S1, Class A1, 4.989% (1 Month USD LIBOR + 0.600%), 02-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;6509695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2050724 |
| &nbsp;&nbsp;&nbsp; Series 2007-A1, Class 11M1, 3.393%, 03-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 117991 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107105 |
| &nbsp;&nbsp;&nbsp; Series 2007-A3, Class 1A7, 4.180%, 12-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 145057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117802 |
| Chase Mortgage Finance Trust Series 2004-S2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 5.50000, 5.500%, 02-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp; 246919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230082 |
| ChaseFlex Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 1A2, 4.849% (1 Month USD LIBOR + 0.460%), 07-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 892239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269217 |
| &nbsp;&nbsp;&nbsp; Series 2007-M1, Class 1A1, 4.689% (1 Month USD LIBOR + 0.300%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 347595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303688 |
| ChaseFlex Trust Series 2007-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, 6.500%, 02-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1748867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636088 |
| Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-4, 5.069% (1 Month LIBOR USD + 0.680%), 10-25-2034 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 176646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163642 |
| CHEVY CHASE MORTGAGE FUNDING CORP. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-1A, Class A2, 4.589% (1 Month USD LIBOR + 0.200%), 01-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23203 |
| &nbsp;&nbsp;&nbsp; Series 2005-2A, Class A2, 4.619% (1 Month USD LIBOR + 0.230%), 05-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 150617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127376 |
| &nbsp;&nbsp;&nbsp; Series 2006-4A, Class A2, 4.569% (1 Month USD LIBOR + 0.180%), 11-25-2047 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52681 |
| CHL Mortgage Pass-Through Trust 2004-25 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-25, 5.069% (1 Month LIBOR USD + 0.680%), 02-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 578352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478690 |
| CHL Mortgage Pass-Through Trust 2005-16 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-16, 5.500%, 09-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp;1949777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250678 |
| CHL Mortgage Pass-Through Trust 2005-17 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-17, 5.500%, 09-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 716219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 609924 |
| CHL Mortgage Pass-Through Trust 2005-HY10 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-HYB10, 3.914%, 02-20-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1259289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965231 |
| CIM Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class A2, 2.500%, 04-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 111331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92178 |
| CIM Trust 2019-INV1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-INV1, 5.016% (1 Month LIBOR USD + 1.000%), 02-25-2049 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 259789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250112 |
| Citicorp Mortgage Securities Trust Series 2006-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 6.00000, 6.000%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1123859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987312 |
| Citicorp Mortgage Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-5, Class 1A9, 6.000%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55154 |
| Citigroup Mortgage Loan Trust 2007-9 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-9, 6.500%, 06-25-2037 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 671640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 548622 |
| Citigroup Mortgage Loan Trust Inc |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class 1A1, 6.500%, 09-25-2033 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 325045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303886 |
| &nbsp;&nbsp;&nbsp; Series 2005-9, Class 21A2, 5.500%, 10-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 187836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177852 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR1, Class 2A1, 6.380% (1 Month USD LIBOR + 2.400%), 03-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55006 |
| &nbsp;&nbsp;&nbsp; Series 2007-OPX1, Class A2, 4.589% (1 Month USD LIBOR + 0.200%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1282263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595281 |
| &nbsp;&nbsp;&nbsp; Series 2007-AR1, Class A4, 4.809% (1 Month USD LIBOR + 0.420%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;5929947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1075885 |
| &nbsp;&nbsp;&nbsp; Series 2007-10, Class 22AA, 3.871%, 09-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27747 |
| &nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A3A, 2.500%, 05-25-2051 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 346673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278774 |
| Citimortgage Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-A7, Class 1A12, 6.000%, 12-25-2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 383653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308841 |
| CitiMortgage Alternative Loan Trust Series 2006-A1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 5.50000, 5.500%, 04-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 239163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210910 |
| CitiMortgage Alternative Loan Trust Series 2007-A6 |  |  |
| &nbsp;&nbsp;&nbsp; Series 6.00000, 6.000%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 848413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722291 |
| COLT 2020-2 Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, 3.094%, 03-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 421806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393453 |
| Countrywide Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-J1, Class 2A1, 5.500%, 02-25-2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12278 |
| &nbsp;&nbsp;&nbsp; Series 2003-J2, Class M, 6.000%, 10-25-2033 | &nbsp;&nbsp;&nbsp;&nbsp; 182786 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165266 |
| &nbsp;&nbsp;&nbsp; Series 2004-28CB, Class 2A5, 4.789% (1 Month USD LIBOR + 0.400%), 01-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 189308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177705 |
| &nbsp;&nbsp;&nbsp; Series 2004-28CB, Class 2A4, 5.750%, 01-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 216843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197512 |
| &nbsp;&nbsp;&nbsp; Series 2005-19CB, Class A2, 7.285% (1 Month USD LIBOR + 16.940%), 06-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57846 |
| &nbsp;&nbsp;&nbsp; Series 2005-17, Class 2A1, 4.869% (1 Month LIBOR USD + 0.480%), 07-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 791892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 624442 |
| &nbsp;&nbsp;&nbsp; Series 2005-J8, Class 1A5, 5.500%, 07-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 142295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108102 |
| &nbsp;&nbsp;&nbsp; Series 2005-27, Class 1A6, 5.619% (1 Month LIBOR USD + 1.230%), 08-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 508399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434717 |
| &nbsp;&nbsp;&nbsp; Series 2005-42CB, Class A1, 5.069% (1 Month LIBOR USD + 0.680%), 10-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3429758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2177963 |
| &nbsp;&nbsp;&nbsp; Series 2005-J10, Class 1A9, 5.089% (1 Month LIBOR USD + 0.700%), 10-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 502385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342225 |
| &nbsp;&nbsp;&nbsp; Series 2005-51, Class 3A2A, 3.338% (12 Month US Treasury Average + 1.290%), 11-20-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 861873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701833 |
| &nbsp;&nbsp;&nbsp; Series 2005-49CB, Class A7, 5.500%, 11-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 696065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475387 |
| &nbsp;&nbsp;&nbsp; Series 2005-57CB, Class 3A3, 5.500%, 12-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 193073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102666 |
| &nbsp;&nbsp;&nbsp; Series 2006-17T1, Class A1, 6.250%, 06-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 863634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358925 |
| &nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A13, 4.739% (1 Month USD LIBOR + 0.350%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 498880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222054 |
| &nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A9, 6.000%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 597169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346075 |
| &nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A22, 6.000%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 455919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264217 |
| &nbsp;&nbsp;&nbsp; Series 2006-26CB, Class A20, 4.739% (1 Month LIBOR USD + 0.350%), 09-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1577239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660741 |
| &nbsp;&nbsp;&nbsp; Series 2006-32CB, Class A3, 6.000%, 11-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 373058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221917 |
| &nbsp;&nbsp;&nbsp; Series 2006-39CB, Class 2A1, 4.839% (1 Month LIBOR USD + 0.450%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;4007490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490521 |
| &nbsp;&nbsp;&nbsp; Series 2006-41CB, Class 1A7, 6.000%, 01-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 317269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182373 |
| &nbsp;&nbsp;&nbsp; Series 2007-J1, Class 2A6, 4.989% (1 Month USD LIBOR + 0.600%), 03-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1766190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507090 |
| &nbsp;&nbsp;&nbsp; Series 2007-OA2, Class 1A1, 2.888% (1 Month USD LIBOR + 0.840%), 03-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 345282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285349 |
| &nbsp;&nbsp;&nbsp; Series 2007-3T1, Class 1A2, 4.889% (1 Month USD LIBOR + 0.500%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1740263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605854 |
| &nbsp;&nbsp;&nbsp; Series 2007-9T1, Class 1A5, 1.111% (1 Month USD LIBOR + 5.500%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1225168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111830 |
| &nbsp;&nbsp;&nbsp; Series 2007-11T1, Class A35, 4.719% (1 Month LIBOR USD + 0.330%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3298059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1219577 |
| &nbsp;&nbsp;&nbsp; Series 2007-9T1, Class 1A4, 4.889% (1 Month USD LIBOR + 0.500%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1225168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437138 |
| &nbsp;&nbsp;&nbsp; Series 2007-16CB, Class 1A2, 4.789% (1 Month USD LIBOR + 0.400%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 332962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221291 |
| &nbsp;&nbsp;&nbsp; Series 2007-22, Class 2A16, 6.500%, 09-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1086881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455359 |
| &nbsp;&nbsp;&nbsp; Series 2007-24, Class A7, 1.611% (1 Month USD LIBOR + 6.000%), 10-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 226225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31196 |
| &nbsp;&nbsp;&nbsp; Series 2007-24, Class A6, 5.389% (1 Month USD LIBOR + 1.000%), 10-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 226225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56933 |
| &nbsp;&nbsp;&nbsp; Series 2007-25, Class 1A2, 6.500%, 11-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1270456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634383 |
| &nbsp;&nbsp;&nbsp; Series 2006-34, Class A5, 6.250%, 11-25-2046 | &nbsp;&nbsp;&nbsp;&nbsp; 807389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395996 |
| &nbsp;&nbsp;&nbsp; Series 2006-46, Class A2, 4.909% (1 Month LIBOR USD + 0.520%), 02-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 453869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177776 |
| &nbsp;&nbsp;&nbsp; Series 2007-OH1, Class A1D, 4.599% (1 Month LIBOR USD + 0.210%), 04-25-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64586 |
| Countrywide Home Loans |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-48, Class 2A3, 4.202%, 10-25-2033 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 404316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212248 |
| &nbsp;&nbsp;&nbsp; Series 2004-J3, Class A7, 5.500%, 05-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp; 186637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176347 |
| &nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A1, 5.029% (1 Month LIBOR USD + 0.640%), 03-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 127062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112477 |
| &nbsp;&nbsp;&nbsp; Series 2005-19, Class 2A1, 4.739% (1 Month USD LIBOR + 0.350%), 08-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 340052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76576 |
| &nbsp;&nbsp;&nbsp; Series 2005-15, Class A5, 5.500%, 08-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 481213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280743 |
| &nbsp;&nbsp;&nbsp; Series 2005-21, Class A2, 5.500%, 10-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 196843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120307 |
| &nbsp;&nbsp;&nbsp; Series 2005-25, Class A17, 5.500%, 11-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 402165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208706 |
| &nbsp;&nbsp;&nbsp; Series 2005-31, Class 2A1, 2.842%, 01-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 221665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187715 |
| &nbsp;&nbsp;&nbsp; Series 2006-10, Class 1A11, 5.850%, 05-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 174562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82543 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, 6.000%, 03-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1437833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722209 |
| &nbsp;&nbsp;&nbsp; Series 2007-HY1, Class 1A1, 2.871%, 04-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 501528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441797 |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class A16, 6.000%, 04-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 525414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282195 |
| &nbsp;&nbsp;&nbsp; Series 2007-10, Class A6, 6.000%, 07-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 400105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85838 |
| &nbsp;&nbsp;&nbsp; Series 2007-17, Class 1A1, 6.000%, 10-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 314527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237437 |
| Credit Suisse First Boston Mortgage Securities |  |  |
| &nbsp;&nbsp;&nbsp; Series 2001-28, Class 1A1, 5.039% (1 Month LIBOR USD + 0.650%), 11-25-2031 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 111655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73194 |
| &nbsp;&nbsp;&nbsp; Series 2002-9, Class 1A1, 7.000%, 03-25-2032 | &nbsp;&nbsp;&nbsp;&nbsp; 924457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 848638 |
| &nbsp;&nbsp;&nbsp; Series 2002-18, Class 2A1, 7.500%, 06-25-2032 | &nbsp;&nbsp;&nbsp;&nbsp; 101302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92043 |
| &nbsp;&nbsp;&nbsp; Series 2004-6, Class 4A12, 4.789% (1 Month USD LIBOR + 0.400%), 10-25-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 135685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128516 |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 2A2, 4.689% (1 Month USD LIBOR + 0.300%), 08-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1070914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445694 |
| &nbsp;&nbsp;&nbsp; Series 2005-9, Class 1A3, 5.250%, 10-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 177424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156588 |
| &nbsp;&nbsp;&nbsp; Series 2005-10, Class 6A7, 5.500%, 11-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 253869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117129 |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class 3A5, 5.500%, 12-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 196868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97553 |
| Credit Suisse First Boston Mortgage Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11, 6.000%, 12-25-2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 125390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92162 |
| Credit Suisse Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-6, Class 1A1, 2.500%, 07-25-2028 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45088 |
| &nbsp;&nbsp;&nbsp; Series 2006-2, Class 6A8, 5.750%, 03-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 214487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114447 |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class 1A8, 6.000%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1270068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675615 |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class 1A12, 6.000%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1897818 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1007025 |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class 2A4, 6.500%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;4500307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1305710 |
| &nbsp;&nbsp;&nbsp; Series 2007-4R, Class 1A1, 8.810%, 10-26-2036 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64874 |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 2A2, 6.000%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 105713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61541 |
| &nbsp;&nbsp;&nbsp; Series 2007-5, Class 3A19, 6.000%, 08-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 237670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181754 |
| CSAB Mortgage Backed Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class A3, 4.869% (1 Month USD LIBOR + 0.480%), 06-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;5064331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891559 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 4A1, 4.739% (1 Month LIBOR USD + 0.350%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;8180443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965580 |
| CSAB Mortgage-Backed Trust 2007-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, 5.898%, 05-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;2182793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 560416 |
| CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-4, 5.500%, 06-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 566304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410539 |
| CSMC Mortgage-Backed Trust 2006-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-3, 6.664%, 04-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;2008353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140396 |
| &nbsp;&nbsp;&nbsp; Series 2006-3, 6.810%, 04-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;9650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682258 |
| CSMC Mortgage-Backed Trust 2007-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-3, 5.587%, 04-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;2977944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 744161 |
| CSMC Mortgage-Backed Trust Series 2006-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-2, 6.000%, 03-25-2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28137 |
| Deephaven Residential Mortgage Trust 2021-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series TR, 0.899%, 04-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 392281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330065 |
| &nbsp;&nbsp;&nbsp; Series TR, 1.209%, 04-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 343443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283384 |
| Deutsche Alt-A Securities INC Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-1, Class A1, 5.500%, 09-25-2033 | &nbsp;&nbsp;&nbsp;&nbsp; 435544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426066 |
| &nbsp;&nbsp;&nbsp; Series 2005-4, Class A5, 5.500%, 09-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64774 |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-4, 4.659% (1 Month LIBOR USD + 0.270%), 03-25-2037 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35088 |
| Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-3, 6.270%, 06-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1200348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987514 |
| Deutsche Mortgage Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class 3A5, 6.160%, 09-25-2033 (4) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35211 |
| &nbsp;&nbsp;&nbsp; Series 2004-5, Class A4B, 6.125%, 07-25-2034 (4) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39624 |
| &nbsp;&nbsp;&nbsp; Series 2006-PR1, Class 5AF1, 4.868% (1 Month USD LIBOR + 0.550%), 04-15-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 504219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399777 |
| First Horizon Alternative Mortgage Securities |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-AA10, Class 2A1, 4.186%, 12-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 188182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151061 |
| First Horizon Alternative Mortgage Securities Trust 2005-FA6 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-7, 5.500%, 09-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 834064 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 467275 |
| First Horizon Alternative Mortgage Securities Trust 2006-FA2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-FA2, 6.000%, 05-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 356078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160774 |
| FirstKey Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class A3, 3.500%, 03-25-2045 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48746 |
| Flagstar Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-6RR, Class 2A4, 4.000%, 10-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 143554 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138901 |
| FWD Securitization Trust 2020-INV1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, 2.440%, 01-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 280520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246096 |
| GMAC Mortgage Corporation Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-AR4, Class 2A2, 4.112%, 07-19-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 125713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98495 |
| GMRF Mortgage Acquisition Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class B2, 3.950%, 11-25-2057 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 109672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94423 |
| GSAA Home Equity Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-NC1, Class AF5, 6.190%, 11-25-2033 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 490605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443401 |
| &nbsp;&nbsp;&nbsp; Series 2005-14, Class A1, 5.089% (1 Month LIBOR USD + 0.700%), 12-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 770008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337167 |
| &nbsp;&nbsp;&nbsp; Series 2006-11, Class 2A1, 4.569% (1 Month LIBOR USD + 0.180%), 07-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 483419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108620 |
| GSAA Home Equity Trust 2006-10 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-10, 5.985%, 06-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 991530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 260072 |
| GSAA Home Equity Trust 2007-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-5, 6.032%, 05-25-2037 (4) | &nbsp;&nbsp;&nbsp;&nbsp;3646999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1575894 |
| GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-RP1, Class 1AF, 4.739% (1 Month LIBOR USD + 0.350%), 01-25-2035 (2)(3)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29376 |
| &nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.739% (1 Month USD LIBOR + 0.350%), 09-25-2035 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 507296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434437 |
| &nbsp;&nbsp;&nbsp; Series 2006-RP1, Class 1AF2, 4.739% (1 Month LIBOR USD + 0.350%), 01-25-2036 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 665321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547130 |
| GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-2F, Class 1A4, 5.500%, 01-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28683 |
| &nbsp;&nbsp;&nbsp; Series 2005-1F, Class 4A1, 4.689% (1 Month USD LIBOR + 0.300%), 01-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 372309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339321 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR6, Class B1, 3.887%, 09-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81715 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR5, Class 2A3, 3.557%, 10-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13998 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR1, Class 3A1, 3.520%, 01-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 132919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126558 |
| &nbsp;&nbsp;&nbsp; Series 2006-3F, Class 2A3, 5.750%, 03-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 452535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 409520 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR2, Class 3A1, 3.004%, 04-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 542181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365676 |
| &nbsp;&nbsp;&nbsp; Series 2006-7F, Class 4A2, 6.500%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1736548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633605 |
| &nbsp;&nbsp;&nbsp; Series 2006-10F, Class 4A1, 4.739% (1 Month LIBOR USD + 0.350%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1696775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239721 |
| &nbsp;&nbsp;&nbsp; Series 2007-AR2, Class 1A1, 2.994%, 05-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 882905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497847 |
| &nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 2A3A, 4.699% (1 Month USD LIBOR + 0.310%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 468129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335992 |
| &nbsp;&nbsp;&nbsp; Series 2006-OA1, Class 2A2, 4.909% (1 Month LIBOR USD + 0.520%), 08-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3306688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 901385 |
| GSR Mortgage Loan Trust 2005-6F |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-6F, 4.689% (1 Month LIBOR USD + 0.300%), 07-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 641154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493641 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A4A, 5.139% (1 Month USD LIBOR + 0.800%), 11-19-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 294538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268998 |
| &nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A3, 5.159% (1 Month LIBOR USD + 0.820%), 11-19-2034 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 280752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236533 |
| &nbsp;&nbsp;&nbsp; Series 2005-14, Class 4A1A, 3.756%, 12-19-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 718517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386040 |
| &nbsp;&nbsp;&nbsp; Series 2005-14, Class 3A1A, 3.928%, 12-19-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51392 |
| &nbsp;&nbsp;&nbsp; Series 2005-16, Class 1A1A, 4.839% (1 Month USD LIBOR + 0.500%), 01-19-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;6280070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1836404 |
| &nbsp;&nbsp;&nbsp; Series 2005-16, Class 3A1A, 4.839% (1 Month LIBOR USD + 0.500%), 01-19-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2196824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1326829 |
| &nbsp;&nbsp;&nbsp; Series 2006-8, Class 1A1, 4.554% (1 Month LIBOR USD + 0.400%), 07-21-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 793099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405742 |
| &nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A1A, 4.699% (1 Month USD LIBOR + 0.360%), 07-19-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1579752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 800485 |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 2A1, 4.559% (1 Month LIBOR USD + 0.440%), 07-19-2047 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 367618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332389 |
| HSI Asset Loan Obligation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-WF1, Class A1, 4.509% (1 Month USD LIBOR + 0.120%), 12-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 815397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270623 |
| Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-6, Class 2A, 6.060%, 10-25-2034 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 190529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200761 |
| &nbsp;&nbsp;&nbsp; Series 2004-11, Class 2A1, 5.049% (1 Month USD LIBOR + 0.660%), 03-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31880 |
| &nbsp;&nbsp;&nbsp; Series 2005-5, Class A1, 5.029% (1 Month LIBOR USD + 0.320%), 08-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 524922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474605 |
| Impac Secured Assets Corp. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-2, Class A2D, 5.249% (1 Month USD LIBOR + 0.860%), 03-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41993 |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class A1A, 4.609% (1 Month USD LIBOR + 0.220%), 09-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 177724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152557 |
| IndyMac IMJA Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-A1, Class A3, 6.000%, 08-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;2734808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1163311 |
| IndyMac IMSC Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-F3, Class 2A1, 6.500%, 09-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17043 |
| IndyMac INDA Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-AR1, Class 1A1, 3.014%, 03-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 198109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162135 |
| IndyMac INDA Mortgage Loan Trust 2006-AR2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR2, 3.535%, 09-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 273528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156458 |
| IndyMac INDX Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-AR5, Class 4A1, 2.808%, 05-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 348505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249016 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR5, Class 1A1, 2.892%, 05-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 818591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643521 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR19, Class 4A1, 3.322%, 08-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1259883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1071147 |
| &nbsp;&nbsp;&nbsp; Series 2007-AR21IP, Class 1A2, 3.455%, 11-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 219331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189978 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR37, Class 1A1, 3.444%, 02-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66158 |
| &nbsp;&nbsp;&nbsp; Series 2007-AR9, Class 2A1, 3.251%, 06-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12921 |
| J.P. Morgan Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-S1, Class 3A5, 5.730%, 03-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41243 |
| &nbsp;&nbsp;&nbsp; Series 2006-A2, Class 3A1, 3.133%, 05-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 120943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68438 |
| &nbsp;&nbsp;&nbsp; Series 2006-S3, Class A5, 6.920%, 08-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;1113215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 838560 |
| &nbsp;&nbsp;&nbsp; Series 2006-A6, Class 2A6, 3.382%, 11-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 961561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 744793 |
| &nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 3.854%, 05-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 182656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151336 |
| JP Morgan Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-A4, 3.496%, 09-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11911 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-A1, Class 5A1, 3.093%, 02-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70019 |
| &nbsp;&nbsp;&nbsp; Series 2004-A3, Class 1A1, 3.319%, 07-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26279 |
| &nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 3.535%, 02-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35256 |
| &nbsp;&nbsp;&nbsp; Series 2005-A2, Class 2A1, 3.252%, 04-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71552 |
| &nbsp;&nbsp;&nbsp; Series 2005-A8, Class 1A1, 3.763%, 11-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1172145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 952777 |
| &nbsp;&nbsp;&nbsp; Series 2006-A4, Class 5A1, 3.632%, 06-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 143902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105888 |
| &nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A6, 3.453%, 07-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 158458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147991 |
| &nbsp;&nbsp;&nbsp; Series 2007-S1, Class 2A22, 5.750%, 03-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 310855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134681 |
| &nbsp;&nbsp;&nbsp; Series 2007-S3, Class 1A18, 4.889% (1 Month USD LIBOR + 0.500%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 876995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312044 |
| &nbsp;&nbsp;&nbsp; Series 2014-1, Class B3, 3.676%, 01-25-2044 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51460 |
| &nbsp;&nbsp;&nbsp; Series 2017-4, Class A3, 3.500%, 11-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6339 |
| &nbsp;&nbsp;&nbsp; Series 2019-INV1, Class A11, 4.994% (1 Month LIBOR USD + 0.950%), 09-25-2049 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18365 |
| &nbsp;&nbsp;&nbsp; Series 2020-LTV1, Class A11, 5.044% (1 Month LIBOR USD + 1.000%), 06-25-2050 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23288 |
| JP Morgan Mortgage Trust 2014-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-5, 2.787%, 10-25-2029 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 237557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221471 |
| JP Morgan Mortgage Trust 2014-IVR6 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-IVR6, 4.716%, 08-25-2044 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32903 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29142 |
| JP Morgan Mortgage Trust 2018-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-3, 3.500%, 09-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 494390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433006 |
| JP Morgan Mortgage Trust 2019-9 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-9, 3.500%, 05-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 121587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100674 |
| JP Morgan Mortgage Trust 2020-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-5, 3.584%, 12-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 414482 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334458 |
| JP Morgan Mortgage Trust 2021-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-4, 4.171% (SOFR30A + 0.650%), 08-25-2051 (2)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 452210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405972 |
| JP MORGAN MTG TR 2016-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-2, , 06-25-2046 (1)(2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20589 |
| Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2008-4, Class A1, 4.769% (1 Month LIBOR USD + 0.380%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3671580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1110979 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 2A3, 2.241% (1 Month USD LIBOR + 6.630%), 02-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1501866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190363 |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 1A3, 4.689% (1 Month USD LIBOR + 0.300%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1481855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 366612 |
| &nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A7, 6.000%, 07-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 555456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493144 |
| &nbsp;&nbsp;&nbsp; Series 2007-7, Class 1A1, 4.889% (1 Month USD LIBOR + 0.500%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 739755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387798 |
| &nbsp;&nbsp;&nbsp; Series 2007-10, Class 2A1, 6.500%, 01-25-2038 | &nbsp;&nbsp;&nbsp;&nbsp;1203433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397698 |
| Lehman Mortgage Trust 2006-7 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-7, 2.161% (1 Month LIBOR USD + 6.550%), 11-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;7990398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 874658 |
| Lehman Mortgage Trust 2007-5 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-5, 5.750%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 464657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 407215 |
| Lehman XS Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A1, 6.459% (1 Month USD LIBOR + 1.250%), 05-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 564702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442418 |
| MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A3, 3.604%, 05-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 215209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196990 |
| &nbsp;&nbsp;&nbsp; Series 2005-6, Class 5A1, 2.871%, 07-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 170280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145863 |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 3A1, 3.018%, 09-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 357008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219349 |
| &nbsp;&nbsp;&nbsp; Series 2006-2, Class 2A1, 3.956%, 04-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33377 |
| &nbsp;&nbsp;&nbsp; Series 2006-OA1, Class 1A1, 4.599% (1 Month LIBOR USD + 0.210%), 04-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 178732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153112 |
| MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-4, Class 3A1, 6.000%, 06-25-2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19225 |
| &nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A1, 6.500%, 09-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29353 |
| &nbsp;&nbsp;&nbsp; Series 2005-4, Class 5A1, 6.000%, 05-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 654076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 553957 |
| MASTR Alternative Loan Trust 2006-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 6.75000, 6.750%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1065181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390462 |
| MASTR Alternative Loan Trust 2007-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 6.00000, 6.000%, 10-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1004010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312708 |
| MASTR Alternative Loans Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-6, Class 3A3, 6.000%, 09-25-2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42506 |
| &nbsp;&nbsp;&nbsp; Series 2004-12, Class 2A1, 6.500%, 12-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58101 |
| MASTR Asset Securitization Trust 2004-4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-4, 5.250%, 12-26-2033 | &nbsp;&nbsp;&nbsp;&nbsp; 242424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208214 |
| MASTR Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2008-1, Class A1, 6.000%, 09-27-2037 (1)(3)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 273375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229635 |
| Mello Mortgage Capital Acceptance 2018-MTG2 |  |  |
| &nbsp;&nbsp;&nbsp; Series B1, 4.324%, 10-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 462682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398403 |
| Mello Mortgage Capital Acceptance Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A4, 2.500%, 08-25-2051 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39689 |
| Merrill Lynch Mortgage Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class 1A1, 7.180% (1 Month USD LIBOR + 2.400%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 447311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 389965 |
| Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-5AR, Class 2A, 3.432%, 07-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29768 |
| &nbsp;&nbsp;&nbsp; Series 2004-11AR, Class 1A2A, 4.699% (1 Month LIBOR USD + 0.310%), 01-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86352 |
| &nbsp;&nbsp;&nbsp; Series 2005-4, Class 4A, 4.731%, 08-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18611 |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 7A6, 5.500%, 11-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 142560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129179 |
| &nbsp;&nbsp;&nbsp; Series 2005-9AR, Class 2A, 3.817%, 12-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 354913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320797 |
| &nbsp;&nbsp;&nbsp; Series 2005-10, Class 1A1, 5.089% (1 Month LIBOR USD + 0.700%), 12-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 311309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198189 |
| &nbsp;&nbsp;&nbsp; Series 2005-10, Class 1A5, 5.750%, 12-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21779 |
| &nbsp;&nbsp;&nbsp; Series 2006-3AR, Class 2A3, 3.665%, 03-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 560474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378224 |
| &nbsp;&nbsp;&nbsp; Series 2006-7, Class 3A, 5.137%, 06-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 107639 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71064 |
| &nbsp;&nbsp;&nbsp; Series 2007-14AR, Class 3A3, 2.955%, 10-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 320547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289346 |
| &nbsp;&nbsp;&nbsp; Series 2007-10XS, Class A19, 6.000%, 02-25-2047 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 549283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218164 |
| Morgan Stanley Mortgage Loan Trust 2006-12XS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-12XS, 6.512%, 10-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp;4137200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986216 |
| Morgan Stanley ReRemic Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-R3, Class 6B2, 3.372%, 12-29-2036 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 357671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302980 |
| MortgageIT Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A, 5.370% (1 Month LIBOR USD + 1.250%), 02-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64124 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-1A, Class B3, 5.000%, 12-25-2057 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 154175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142360 |
| New Residential Mortgage Loan Trust 2019-NQM4 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-NQM4, 2.644%, 09-25-2059 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 221087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197140 |
| NMLT 2021-INV1 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series TR, 1.185%, 05-25-2056 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;1933594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1544814 |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-WF1 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-5, 6.757%, 06-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 949287 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 265102 |
| Nomura Asset Acceptance Corporation |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-WF1, Class 1A1, 5.670%, 03-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26014 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A1A, 5.995%, 03-25-2047 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 854896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 786705 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class A1B, 6.017%, 04-25-2047 (1) | &nbsp;&nbsp;&nbsp;&nbsp;1241550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1018996 |
| Onslow Bay Financial LLC |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A3, 2.500%, 10-25-2051 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 534888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430125 |
| PHH Alternative Mortgage Trust Series 2007-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-2, 6.000%, 05-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 270011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229170 |
| PHHMC Mortgage Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class A3, 4.165%, 06-18-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7371 |
| Prime Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-DR1, Class 2A2, 6.000%, 05-25-2035 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 493276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398955 |
| &nbsp;&nbsp;&nbsp; Series 2005-4, Class 2A9, 5.500%, 10-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 120507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107714 |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class 3A1, 4.739% (1 Month LIBOR USD + 0.350%), 06-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;1628543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1134951 |
| PRKCM Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.071%, 11-25-2056 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 437230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 362925 |
| RAAC Series |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-SP1, Class 1A1, 5.000%, 09-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp; 138844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125155 |
| RBSGC Mortgage Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2008-A, Class A1, 5.500%, 11-25-2035 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 261044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218652 |
| RBSSP Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2009-12, Class 9A2, 3.203%, 03-26-2036 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 390411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 347917 |
| RBSSP Resecuritization Trust 2009-12 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2009-12, 3.457%, 10-26-2035 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 642909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605436 |
| RCKT Mortgage Trust 2022-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, 2.500%, 01-25-2052 (1)(3)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 363033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284074 |
| Residential Accredit Loans, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-QS5, Class A1, 4.789% (1 Month LIBOR USD + 0.400%), 04-25-2035 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 792710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615611 |
| &nbsp;&nbsp;&nbsp; Series 2005-QS7, Class A1, 5.500%, 06-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 412853 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337945 |
| &nbsp;&nbsp;&nbsp; Series 2005-QA9, Class CB11, 3.809%, 08-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 125019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106396 |
| &nbsp;&nbsp;&nbsp; Series 2005-QS13, Class 2A3, 5.750%, 09-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp;1186095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 991863 |
| &nbsp;&nbsp;&nbsp; Series 2005-QS14, Class 3A3, 6.000%, 09-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 419863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 361635 |
| &nbsp;&nbsp;&nbsp; Series 2006-QS2, Class 1A17, 4.869% (1 Month LIBOR USD + 0.480%), 02-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 571086 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416110 |
| &nbsp;&nbsp;&nbsp; Series 2006-QS2, Class 1A7, 6.000%, 02-25-2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 280931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43264 |
| &nbsp;&nbsp;&nbsp; Series 2006-QS4, Class A8, 8.000% (1 Month USD LIBOR + 5,143.000%), 04-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60789 |
| &nbsp;&nbsp;&nbsp; Series 2006-QS8, Class A1, 6.000%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 825194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643789 |
| &nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 2A2, 4.749% (1 Month LIBOR USD + 0.360%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 674635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449498 |
| &nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 1A5, 4.939% (1 Month LIBOR USD + 0.550%), 01-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2842915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1972542 |
| &nbsp;&nbsp;&nbsp; Series 2007-QS8, Class A3, 4.989% (1 Month USD LIBOR + 0.600%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 300368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207623 |
| Residential Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A15, Class 2A12, 6.000%, 02-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 740406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332337 |
| &nbsp;&nbsp;&nbsp; Series 2005-A15, Class 4A1, 6.000%, 02-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;2286624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 753991 |
| &nbsp;&nbsp;&nbsp; Series 2006-A2, Class A7, 6.000%, 05-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 858239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364942 |
| &nbsp;&nbsp;&nbsp; Series 2006-A7CB, Class 2A5, 4.294% (1 Month USD LIBOR + 0.250%), 07-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 426729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77928 |
| &nbsp;&nbsp;&nbsp; Series 2006-A8, Class 3A8, 5.139% (1 Month LIBOR USD + 0.750%), 08-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 507493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 206950 |
| &nbsp;&nbsp;&nbsp; Series 2006-A8, Class 2A2, 6.750%, 08-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp;1360176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 452036 |
| &nbsp;&nbsp;&nbsp; Series 2006-A10, Class A4, 6.500%, 09-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 524584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200391 |
| &nbsp;&nbsp;&nbsp; Series 2006-A10, Class A5, 6.500%, 09-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 981905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375087 |
| &nbsp;&nbsp;&nbsp; Series 2007-A3, Class 1A1, 4.839% (1 Month USD LIBOR + 0.450%), 04-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2011009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777833 |
| &nbsp;&nbsp;&nbsp; Series 2006-A2, Class A11, 6.000%, 01-25-2046 | &nbsp;&nbsp;&nbsp;&nbsp;1713205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 731941 |
| Residential Asset Securitization Trust 2007-A2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 6.00000, 6.000%, 04-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1595115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 915674 |
| Residential Funding Mtg Sec I |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-SA3, Class 2A1, 4.545%, 07-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 518977 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406788 |
| &nbsp;&nbsp;&nbsp; Series 2007-SA4, Class 3A1, 4.849%, 10-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 117256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84848 |
| Residential Mortgage Loan Trust 2020-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-1, 1.654%, 05-25-2060 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76146 |
| RFMSI Series 2007-S6 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-S6, 6.000%, 06-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp;1431100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1054758 |
| Salomon Brothers Mortgage Securities VII |  |  |
| &nbsp;&nbsp;&nbsp; Series 1997-HUD1, Class A4, 3.100%, 12-25-2030 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 228744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139968 |
| Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 2BA1, 3.314%, 07-20-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21488 |
| &nbsp;&nbsp;&nbsp; Series 2013-5, Class A1, 2.500%, 05-25-2043 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 239678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200810 |
| &nbsp;&nbsp;&nbsp; Series 2013-9, Class AP, , 07-25-2043 (3) | &nbsp;&nbsp;&nbsp;&nbsp; 253495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178131 |
| &nbsp;&nbsp;&nbsp; Series 2014-1, Class 2A5, 4.000%, 04-25-2044 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 100972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100475 |
| &nbsp;&nbsp;&nbsp; Series 2015-3, Class A1, 3.500%, 07-25-2045 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 537470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 476546 |
| Sequoia Mortgage Trust 2018-CH2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-CH2, 4.000%, 06-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 261489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232725 |
| Sequoia Mortgage Trust 2018-CH3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-CH3, 4.000%, 08-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 263589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254992 |
| &nbsp;&nbsp;&nbsp; Series 2018-CH3, 4.500%, 08-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27504 |
| Sequoia Mortgage Trust 2020-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1, 3.500%, 02-25-2050 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36221 |
| Starwood Mortgage Residential Trust 2019-INV1 |  |  |
| &nbsp;&nbsp;&nbsp; Series A-3, 2.916%, 09-25-2049 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 327722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308784 |
| Starwood Mortgage Residential Trust 2020-3 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-3, 1.486%, 04-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 256147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234489 |
| Structured Adjustable Rate Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-17, Class 5A1, 3.778%, 08-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 514466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297725 |
| &nbsp;&nbsp;&nbsp; Series 2005-18, Class 1A1, 3.637%, 09-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 738058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539158 |
| &nbsp;&nbsp;&nbsp; Series 2005-20, Class 1A1, 4.222%, 10-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 551072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497541 |
| &nbsp;&nbsp;&nbsp; Series 2005-23, Class 3A1, 3.694%, 01-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60533 |
| &nbsp;&nbsp;&nbsp; Series 2007-3, Class 2A1, 3.323%, 04-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 349485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316431 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2007-7 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-7, 4.989% (1 Month LIBOR USD + 0.600%), 08-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34527 |
| Structured Asset Mortgage Investments II Trust 2006-AR3 |  |  |
| &nbsp;&nbsp;&nbsp; Series FLT, 4.789% (1 Month LIBOR USD + 0.400%), 05-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 878638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680031 |
| Structured Asset Mortgage Investments Inc |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR3, Class 22A1, 3.130%, 05-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 437361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237965 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR5, Class 3A1, 4.809% (1 Month LIBOR USD + 0.420%), 05-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp;2035374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 814801 |
| Suntrust Adjustable Rate Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class 2A1, 2.594%, 04-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 171624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102292 |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 2A1, 3.655%, 10-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 143290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110725 |
| TBW Mortgage Backed Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-3, Class 2A1, 6.500%, 07-25-2036 | &nbsp;&nbsp;&nbsp;&nbsp; 880287 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336350 |
| Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-1, Class A2, 2.150%, 04-25-2045 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 201917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188448 |
| TIAA Bank Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-3, Class A13, 4.000%, 11-25-2048 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 173671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161095 |
| Verus Securitization Trust 2021-1 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, 1.052%, 01-25-2066 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 129256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98881 |
| Vista Point Securitization Trust 2020-2 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, 1.986%, 04-25-2065 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 651262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 553794 |
| WAMU Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-S1, Class 1A11, 5.500%, 03-25-2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29149 |
| &nbsp;&nbsp;&nbsp; Series 2004-AR9, Class B1, 3.897%, 08-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 180728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159694 |
| &nbsp;&nbsp;&nbsp; Series 2004-A11, Class A, 4.141%, 10-25-2034 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 153836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138298 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A6, 3.311%, 05-25-2035 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 122097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114343 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR12, Class 1A4, 3.813%, 10-25-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29896 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR2, Class 2A1, 3.222%, 03-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86072 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR14, Class 2A3, 3.313%, 11-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 113202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99951 |
| &nbsp;&nbsp;&nbsp; Series 2007-HY1, Class 1A1, 2.839%, 02-25-2037 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 186038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158464 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR2, Class 2A3, 5.089% (1 Month LIBOR USD + 0.700%), 01-25-2045 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63850 |
| WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR14, 3.329%, 11-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 148650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120220 |
| WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR7, 3.096% (12 Month US Treasury Average + 1.048%), 07-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 132816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92307 |
| WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR9, 3.096% (12 Month US Treasury Average + 1.048%), 08-25-2046 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 229189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173766 |
| Washington Mutual Alternative Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.500%, 03-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp;1103933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 974188 |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 2CB4, 5.500%, 08-25-2035 | &nbsp;&nbsp;&nbsp;&nbsp; 560577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 532972 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A3, 5.967%, 05-25-2036 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 217631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187913 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR10, Class A2B, 4.809% (1 Month USD LIBOR + 0.420%), 12-25-2036 (2) | &nbsp;&nbsp;&nbsp;&nbsp; 663169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88732 |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-5, 6.000%, 06-25-2023 | &nbsp;&nbsp;&nbsp;&nbsp;1636700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166943 |
| Wells Fargo Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-PA3, Class 1A4, 5.750%, 07-25-2037 | &nbsp;&nbsp;&nbsp;&nbsp; 302530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240802 |
| &nbsp;&nbsp;&nbsp; Series 2007-PA6, Class A1, 4.796%, 12-28-2037 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 116913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99785 |
| Wells Fargo Mortgage Backed Securities 2007-7 Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-7, 6.000%, 06-25-2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40094 |
| Wells Fargo Mortgage Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-AR12, Class 2A1, 4.437%, 09-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 108395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101954 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR14, Class 2A3, 4.511%, 10-25-2036 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64831 |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class A1, 3.500%, 07-25-2047 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27135 |
| &nbsp;&nbsp;&nbsp; Series 2021-INV1, Class A2, 2.500%, 08-25-2051 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70272 |
| Winwater Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-A, Class A3, 3.500%, 06-20-2045 (1)(3) | &nbsp;&nbsp;&nbsp;&nbsp; 255696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228880 |
| Yale Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class A, 4.789% (1 Month USD LIBOR + 0.400%), 06-25-2037 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27788 |
| **TOTAL MORTGAGE BACKED SECURITIES** |  |  |
| (Cost $152,647,480) |  | **&nbsp;&nbsp;&nbsp;&nbsp;129940203** |
| **MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY ― 2.3%** |  |  |
| FannieMae Grantor Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-T5, Class AB7, 4.516%, 05-28-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 387150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354160 |
| &nbsp;&nbsp;&nbsp; Series 2004-T5, Class A13, 4.616%, 05-28-2035 (1) | &nbsp;&nbsp;&nbsp;&nbsp; 986085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 912974 |
| &nbsp;&nbsp;&nbsp; Series 2002-T4, Class A3, 7.500%, 12-25-2041 | &nbsp;&nbsp;&nbsp;&nbsp; 157622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167375 |
| &nbsp;&nbsp;&nbsp; Series 2002-T16, Class A4, 4.591%, 05-25-2042 (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21748 |
| FannieMae Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp; Series 2002-W8, Class A2, 7.000%, 06-25-2042 | &nbsp;&nbsp;&nbsp;&nbsp; 164343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172971 |
| Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2010-41, 4.500%, 05-25-2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20216 |
| &nbsp;&nbsp;&nbsp; Series 2003-25, 5.000%, 04-25-2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8986 |
| &nbsp;&nbsp;&nbsp; Series 2007-117, 5.089% (1 Month LIBOR USD + 0.700%), 01-25-2038 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15538 |
| &nbsp;&nbsp;&nbsp; Series 2012-146, 1.000%, 01-25-2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18516 |
| &nbsp;&nbsp;&nbsp; Series 2015-87, 4.689% (1 Month LIBOR USD + 0.300%), 12-25-2045 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12177 |
| Fannie Mae Trust 2003-W6 |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-W6, 4.366% (1 Month LIBOR USD + 0.350%), 09-25-2042 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22152 |
| FHLMC Structured Pass Through Securities |  |  |
| &nbsp;&nbsp;&nbsp; Series T-042, Class A5, 7.500%, 02-25-2042 | &nbsp;&nbsp;&nbsp;&nbsp; 150578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154011 |
| &nbsp;&nbsp;&nbsp; Series T-063, Class 1A1, 2.889% (12 Month US Treasury Average + 1.200%), 02-25-2045 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79314 |
| &nbsp;&nbsp;&nbsp; Series T-076, Class 2A, 2.016%, 10-25-2037 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 253407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232882 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp; Series 4076, Class QB, 1.750%, 11-15-2041 | &nbsp;&nbsp;&nbsp;&nbsp; 133151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125651 |
| &nbsp;&nbsp;&nbsp; Series 5020, Class HA, 1.000%, 08-25-2050 | &nbsp;&nbsp;&nbsp;&nbsp; 969586 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 746283 |
| Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2629, 5.000%, 06-15-2023 | &nbsp;&nbsp;&nbsp;&nbsp; 13027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12991 |
| &nbsp;&nbsp;&nbsp; Series 2661, 5.620% (1 Month LIBOR USD + 1.500%), 08-15-2033 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 14897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14462 |
| &nbsp;&nbsp;&nbsp; Series 3202, 4.668% (1 Month LIBOR USD + 0.350%), 08-15-2036 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 14058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13213 |
| &nbsp;&nbsp;&nbsp; Series 3378, 4.898% (1 Month LIBOR USD + 0.580%), 06-15-2037 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 11130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10491 |
| &nbsp;&nbsp;&nbsp; Series 3760, 1.500%, 09-15-2040 | &nbsp;&nbsp;&nbsp;&nbsp;1473556 | &nbsp;&nbsp;&nbsp;&nbsp; 1428228 |
| &nbsp;&nbsp;&nbsp; Series 4265, 4.718% (1 Month LIBOR USD + 0.400%), 01-15-2035 (2)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 13284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12535 |
| &nbsp;&nbsp;&nbsp; Series 4582, 3.750%, 03-15-2052 (4) | &nbsp;&nbsp;&nbsp;&nbsp; 27760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27653 |
| &nbsp;&nbsp;&nbsp; Series 4993, 1.500%, 07-25-2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 68902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33504 |
| &nbsp;&nbsp;&nbsp; Series 5068, 1.000%, 11-25-2050 | &nbsp;&nbsp;&nbsp;&nbsp; 476229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358681 |
| Freddie Mac Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; Series T0041, 4.783%, 07-25-2032 (1)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 14517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13101 |
| Freddie Mac Whole Loan Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-SC02, Class 2A, 3.500%, 05-25-2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26495 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-H03, Class FB, 4.492% (1 Month USD LIBOR + 0.650%), 01-20-2066 (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49501 |
| &nbsp;&nbsp;&nbsp; Series 2011-43, Class ZQ, 5.500%, 01-16-2033 | &nbsp;&nbsp;&nbsp;&nbsp; 482932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481734 |
| &nbsp;&nbsp;&nbsp; Series 2016-51, Class BO, , 04-20-2046 | &nbsp;&nbsp;&nbsp;&nbsp; 157530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112364 |
| &nbsp;&nbsp;&nbsp; Series 2019-043, Class SQ, 1.697% (1 Month LIBOR USD + 6.050%), 04-20-2049 (2) | &nbsp;&nbsp;&nbsp;&nbsp;3239618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171407 |
| &nbsp;&nbsp;&nbsp; Series 2022-179, 2.500%, 09-20-2051 | &nbsp;&nbsp;&nbsp;&nbsp;1536653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194692 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6026006 |
| **TOTAL MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $6,239,256) |  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6026006** |
| **MORTGAGE SECURED NOTE ― 0.3%** |  |  |
| KORTH DIRECT MORTGAGE |  |  |
| &nbsp;&nbsp;&nbsp; Series B, 12.500%, 01-25-2027 (3)(a) | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 792000 |
| **TOTAL MORTGAGE SECURED NOTE** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $800,000) |  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 792000** |
| **MONEY MARKET FUNDS ― 2.5%** |  |  |
| First American Government Obligations Fund - 4.076% (3)(b)(1) | &nbsp;&nbsp;&nbsp;&nbsp;6307808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6307808 |
| **TOTAL MONEY MARKET FUNDS** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $6,307,808) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6307808 |
| **U.S. TREASURY BILLS ― 14.9%** |  |  |
| &nbsp;&nbsp;&nbsp; 0%, 1-26-2023 | 13000000 | &nbsp;&nbsp;&nbsp;&nbsp; 12967770 |
| &nbsp;&nbsp;&nbsp; 0%, 2-28-2023 | &nbsp;&nbsp;&nbsp;&nbsp;5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4966658 |
| &nbsp;&nbsp;&nbsp; 0%, 3-16-2023 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9917070 |
| &nbsp;&nbsp;&nbsp; 0%, 3-2-2023 | &nbsp;&nbsp;&nbsp;&nbsp;5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4965853 |
| &nbsp;&nbsp;&nbsp; 0%, 4-20-2023 | &nbsp;&nbsp;&nbsp;&nbsp;5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4934812 |
| **TOTAL U.S. TREASURY BILLS** |  |  |
| (Cost $37,780,439) |  | &nbsp;&nbsp;&nbsp;&nbsp; 37752163 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $44,088,247) |  | **&nbsp;&nbsp;&nbsp;&nbsp; 44059971** |
| **TOTAL INVESTMENTS ― 98.4%** |  |  |
| &nbsp;&nbsp;&nbsp; (Cost $287,713,253) |  | **&nbsp;&nbsp;&nbsp;&nbsp;249970818** |
| Other Assets in Excess of Liabilities ― 1.6% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4069722 |
| **TOTAL NET ASSETS ― 100.0%** |  | $**254040540** |

---

---

| |
|:---|
| (1) Variable Rate Security. The Coupon is based on an underlying pool of loans and represents the rate in effect as of December 31, 2022. |
| (2) Floating Rate Security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2022. |
| (3) Restricted security deemed liquid. The total market value of these securities was $48,162,602 (18.96% of total net assets) as of December 31, 2022. |
| (4) Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of December 31, 2022. |
| (a) Value determined using unobservable inputs. |
| (b) The rate quoted is the annualized seven-day effective yield as of December 31, 2022. |

---

*The accompanying notes are an integral part of these financial statements.*<br>

------

#### Valuation of Investments (Unaudited)
Portfolio securities are valued using current market values or official closing prices, if available. When reliable market quotations are not readily available or a pricing service does not provide a valuation (or provides a valuation that in the judgment of the Adviser does not represent the security's fair value) or when, in the judgment of the Adviser, events have rendered the market value unreliable, a security is fair valued in good faith by the Adviser under procedures approved by the Board. Valuing securities at fair value is intended to ensure that the Fund is accurately priced and involves reliance on judgment. There can be no assurance that the Fund will obtain the fair value assigned to a security if it were to sell the security at approximately the time at which the Fund determines its NAV per share.

The Regan Total Return Income Fund ("The Fund") follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund's own market assumptions (unobservable inputs). The inputs or methodology used in determining the value of the Fund's investments are not necessarily an indication of the risk associated with investing in those securities.

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized into three broad categories as defined below:

Level 1 - Quoted prices in active markets for identical securities. An active market for a security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value.

Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

Level 3 - Significant unobservable inputs, including the Fund's own assumptions in determining fair value of investments.

Equity Securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as

Level 1 of the fair value hierarchy.

Short-term investments classified as money market instruments are valued at NAV. These investments are categorized as Level 1 of the fair value hierarchy.

Debt securities, including corporate, convertible, U.S. government agencies, U.S. treasury obligations, and sovereign issues, are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The service providers' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risk/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Mortgage- and asset-backed securities are securities issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by independent pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporate deal collateral performance, as available.

U.S. Government securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations.

U.S. Government agency securities are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Agency issued debt securities are generally valued in a manner similar to U.S. Government securities. Mortgage pass-throughs include to-be announced ("TBAs") securities and mortgage pass-through certificates. TBA securities and mortgage pass-throughs are generally valued using dealer quotations.

The independent pricing service does not distinguish between smaller-sized bond positions, known as "odd lots", and larger institutional-sized bond positions, known as "round lots". The Adviser reviews pricing from the independent pricing service relative to odd lot acquisitions. If the vendor price is more than 3% greater than the acquisition price of the odd lot, cost is initially used to value the position. The Adviser monitors market levels and the vendor pricing daily, and will employ the vendor's price when the Adviser believes it represents fair value, or if additional purchases of a security result in a round lot position. The Adviser also monitors current market levels for odd lot positions and updates fair valuations if material differences are observed.

Generally, the Fund's investments are valued at market value or, in the absence of a market value, at fair value as determined in good faith by the Fund's Adviser with oversight by the Valuation Designee pursuant to procedures approved by or under the direction of the Board. Pursuant to those procedures, the Adviser considers, among other things: (1) the last sales price on the securities exchange, if any, on which a security is primarily traded; (2) the mean between the bid and asked prices; (3) price quotations from an approved pricing service; and (4) other factors as necessary to determine a fair value under certain circumstances.

Depending on the relative significance of the valuation inputs, fair valued securities may be classified in either level 2 or level 3 of the fair value hierarchy.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the fair values of the Fund's consolidated investments in each category investment type as December 31, 2022:

#### Regan Total Return Income Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | | | | |
| Asset Backed Securities | $- | $68910213 | $242425 | $69152638 |
| Mortgage Backed Securities – Agency | - | 5548121 | $477885 | $6026006 |
| Mortgage Backed Securities – Non-Agency | - | 127515032 | $2425171 | $129940203 |
| Mortgage Secured Note | - | - | $792000 | $792000 |
| Short Term Investments | 6307808 | 37752163 | $- | $44059971 |
| **Total** | $**6307808** | $**239725529** | $**3937481** | $**249970818** |

---

Please refer to the Schedule of Investments for further classification.

The independent pricing service does not distinguish between smaller-sized bond positions, known as "odd lots", and larger institutional-sized bond positions, known as "round lots". The Adviser reviews pricing from the independent pricing service relative to odd lot acquisitions. If the vendor price is more than 3% greater than the acquisition price of the odd lot, cost is initially used to value the position. The Adviser monitors market levels and the vendor pricing daily, and will employ the vendor's price when the Adviser believes it represents fair value, or if additional purchases of a security result in a round lot position. The Adviser also monitors current market levels for odd lot positions and updates fair valuations if material differences are observed.

Odd lot securities valued at cost are classified as level 2 when acquired within 30 days of the reporting date; odd lot positions acquired more than 30 days prior to the reporting date and valued at cost are classified as level 3.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Asset Backed**<br> **Securities** | **Mortgage Backed Securities – Agency** | **Mortgage Backed Securities – Non-Agency** | **Mortgage** <br> **Secured Note** |
| Balance at September 30, 2022 | $268142 | $306095 | $3800804 | $800000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased | - | 182528 | 1315666 | - |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued Discounts/Premiums | 287 | 2388 | 44998 | - |
| &nbsp;&nbsp;&nbsp;&nbsp;Sale/Paydown Proceeds | (26839) | (6179) | (519392) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;Realized Gain (Loss) | 1114 | 415 | 28368 | - |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in Unrealized<br> &nbsp;&nbsp;&nbsp;&nbsp;Appreciation (Depreciation) | (281) | (7361) | (98282) | (8000) |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate Actions | - | - | (9238) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Transfers from Level 3<sup>(1)</sup> | - | - | (2146991) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;Balance at December 31, 2022 | $242425 | $477885 | $2425171 | $792000 |

---

&nbsp;&nbsp;&nbsp;&nbsp; <sup>(1)</sup> Transfers from Level 3 to Level 2 relate to securities that began the period valued at cost, but became valued by a third party pricing service during the period. The Adviser believes that the value from the pricing service represents the fair value of each security for which the transfer occurred.

The change in unrealized appreciation/(depreciation) for Level 3 securities still held at December 31, 2022 was $16,066.

The following is a summary of quantitative information about level 3 valued measurements:

---

| | | |
|:---|:---|:---|
| Regan Total Return Income Fund | **Value at** <br> **<u>December 31, 2022</u>**  | **Valuation** <br> **<u>Technique(s)</u>** |
| Asset Backed Securities <br>| $242425 | Acquisition Cost |
| Mortgage Backed Securities – Agency <br>| $477885 | Acquisition Cost |
| Mortgage Backed Securities – Non-Agency | $2425171 | Acquisition Cost |
| Mortgage Secured Note <br>| $792000 | Broker Quotation |

---

The Fund invests in distressed debt securities, which are securities that are priced below $50. In accordance with GAAP, the ultimate realizable value and potential for early retirement of securities is considered when determining the yield. If current values of debt securities decline significantly from the issue price, computed yields may be higher than rates expected to be ultimately realized. To avoid unsound yield information being presented in the Fund's financial statements, consideration is given to capping yields of individual securities at a reasonable level. The Fund's Adviser performs a periodic assessment of the yields for these distressed securities and adjustments are made to the income and cost of these securities on the Fund's financial statements.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Trust for Advised Portfolios

- **b. Investment Company Act file number:** 811-21422

- **c. CIK number of Registrant:** 0001261788

- **d. LEI of Registrant:** 549300YZEFREMRTE2K87

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

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

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

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

  - **Telephone number:** 4142873700

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

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

- **b. EDGAR series identifier (if any):** S000069657

- **c. LEI of Series:** 549300YNJ04JRBWGH659

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

- **a. Date of fiscal year-end:** 2023-09-30

- **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:** $253362353.15

**Total Liabilities:** $704020.79

**Net Assets:** $252658332.36

**Cash Not Reported:** $441363.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 52565.690000000000 | **1-Year:** 3425.590000000000 | **5-Year:** 4775.790000000000 | **10-Year:** 4247.810000000000 | **30-Year:** 4959.300000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000222148 | -1.18%               | 0.76%                | 1.15%                |
| Class ID C000222149 | -1.18%               | 0.87%                | 1.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-114047.93              | $-5767048.03                               |
| Month 2  | $-9863.28                | $-1919074.32                               |
| Month 3  | $-163549.73              | $-1715547.56                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ace Securities Corp.           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                         | CUSIP: 00083BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756098 | PA      | $595259.56    | 0.24%             | 2038-02-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust     | ASG Resecuritization Trust 2011-2                                              | CUSIP: 00213BBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862112 | PA      | $780253.05    | 0.31%             | 2036-02-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP5                   | CUSIP: 004422AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1996693 | PA      | $690718.61    | 0.27%             | 2036-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1                    | CUSIP: 00442AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287805 | PA      | $40176.80     | 0.02%             | 2036-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-HE4                     | CUSIP: 00442BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287270 | PA      | $883189.41    | 0.35%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP6                   | CUSIP: 00443KAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2746529 | PA      | $973527.64    | 0.39%             | 2036-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-4                                          | CUSIP: 007036DN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38286 | PA      | $35893.36     | 0.01%             | 2035-03-25      | Variable      | 3.71%                 | No            |                  3 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-5                                          | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51100 | PA      | $40266.43     | 0.02%             | 2035-09-25      | Variable      | 3.36%                 | No            |                  3 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                         | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140252 | PA      | $120903.94    | 0.05%             | 2036-01-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2      | CUSIP: 00764MBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154448 | PA      | $137253.04    | 0.05%             | 2034-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-4                                                | CUSIP: 00842AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376041 | PA      | $350657.88    | 0.14%             | 2045-06-25      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-6                                                | CUSIP: 00842DAC7<br>LEI: 549300LRONE82VI44B39 | Long             | ABS-MBS          | CORP              | US        |    409144 | PA      | $364190.93    | 0.14%             | 2045-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust       | FWD Securitization Trust 2020-INV1                                             | CUSIP: 302985AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280520 | PA      | $246096.09    | 0.10%             | 2050-01-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24524 | PA      | $18515.59     | 0.01%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13017 | PA      | $12177.38     | 0.00%             | 2045-12-25      | Floating      | 4.69%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137A2PY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473556 | PA      | $1428228.66   | 0.57%             | 2040-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137ASFJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133151 | PA      | $125650.76    | 0.05%             | 2041-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13284 | PA      | $12534.70     | 0.00%             | 2035-01-15      | Floating      | 4.72%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137BPHR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27760 | PA      | $27652.89     | 0.01%             | 2052-03-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137F8NS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476229 | PA      | $358681.14    | 0.14%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137FUA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68902 | PA      | $33503.71     | 0.01%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 3137FWXN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    969586 | PA      | $746282.90    | 0.30%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2017-SC02                              | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28315 | PA      | $26495.22     | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T4                                               | CUSIP: 31392B6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    157622 | PA      | $167375.41    | 0.07%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2002-W8                                                       | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164343 | PA      | $172971.21    | 0.07%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2002-T16                                              | CUSIP: 31392FDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22615 | PA      | $21748.02     | 0.01%             | 2042-05-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 31392MEM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14517 | PA      | $13101.31     | 0.01%             | 2032-07-25      | Variable      | 4.78%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150578 | PA      | $154011.09    | 0.06%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9051 | PA      | $8986.22      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W6                                                       | CUSIP: 31393BX75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24078 | PA      | $22152.19     | 0.01%             | 2042-09-25      | Floating      | 4.37%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 31393RLB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13027 | PA      | $12990.94     | 0.01%             | 2023-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2004-2F                                                | CUSIP: 36229RKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29823 | PA      | $28682.95     | 0.01%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-5                                                  | CUSIP: 3622ECAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3646999 | PA      | $1575893.61   | 0.62%             | 2037-05-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-AR2                                               | CUSIP: 3622N6AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882905 | PA      | $497847.08    | 0.20%             | 2037-05-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-OA1                                               | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468129 | PA      | $335991.61    | 0.13%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-3F                                                | CUSIP: 362334JR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452535 | PA      | $409519.58    | 0.16%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S1                                                            | CUSIP: 3623412J7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782059 | PA      | $84848.61     | 0.03%             | 2035-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2006-RP1                                             | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665321 | PA      | $547129.95    | 0.22%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR1                                               | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132919 | PA      | $126558.19    | 0.05%             | 2036-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-14                                                 | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770008 | PA      | $337166.98    | 0.13%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                | CUSIP: 362341EE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641154 | PA      | $493641.23    | 0.20%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP3                                             | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507296 | PA      | $434436.99    | 0.17%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR5                                               | CUSIP: 362341MC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24291 | PA      | $13998.30     | 0.01%             | 2035-10-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR6                                               | CUSIP: 362341SG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94753 | PA      | $81715.13     | 0.03%             | 2035-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-11                                                 | CUSIP: 362367AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483419 | PA      | $108620.51    | 0.04%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                 | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991530 | PA      | $260072.33    | 0.10%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust      | GSRPM Mortgage Loan Trust Series 2004-1                                        | CUSIP: 36242DGL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91522 | PA      | $90812.93     | 0.04%             | 2042-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-1F                                                | CUSIP: 36242DVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372309 | PA      | $339321.04    | 0.13%             | 2035-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP1                                             | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35456 | PA      | $29375.61     | 0.01%             | 2035-01-25      | Floating      | 4.74%                 | No            |                  3 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S5                                                            | CUSIP: 36244WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18574068 | PA      | $234742.78    | 0.09%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-S5                                                            | CUSIP: 36244WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6188681 | PA      | $85789.97     | 0.03%             | 2036-09-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2015-7R                                           | CUSIP: 36254RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36830 | PA      | $36510.51     | 0.01%             | 2037-09-26      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-OA1                                               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3306688 | PA      | $901385.37    | 0.36%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-10F                                               | CUSIP: 36266WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1696775 | PA      | $239720.86    | 0.09%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-AR2                                               | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542181 | PA      | $365675.85    | 0.14%             | 2036-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-7F                                                | CUSIP: 36298NAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1736548 | PA      | $633604.78    | 0.25%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2017-1                                           | CUSIP: 36417JBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109672 | PA      | $94422.82     | 0.04%             | 2057-11-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38376RNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50049 | PA      | $49501.06     | 0.02%             | 2066-01-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38377ULE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482932 | PA      | $481733.50    | 0.19%             | 2033-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38379WVK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157530 | PA      | $112363.82    | 0.04%             | 2046-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38381TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3239618 | PA      | $171406.57    | 0.07%             | 2049-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38383Y4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1536653 | PA      | $194692.24    | 0.08%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5140508 | PA      | $2096431.31   | 0.83%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505E57<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2636435 | PA      | $2388502.65   | 0.95%             | 2030-03-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3318497 | PA      | $2971234.24   | 1.18%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505PE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1254426 | PA      | $1169521.15   | 0.46%             | 2027-09-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505QR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625337 | PA      | $1529227.11   | 0.61%             | 2026-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505UW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147874 | PA      | $148227.07    | 0.06%             | 2029-02-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505VZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    837122 | PA      | $777094.08    | 0.31%             | 2029-05-15      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp         | Conseco Finance Corp                                                           | CUSIP: 393505Z47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2411285 | PA      | $1063396.59   | 0.42%             | 2031-05-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56247 | PA      | $48417.18     | 0.02%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                | CUSIP: 395383AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25072 | PA      | $24902.65     | 0.01%             | 2029-12-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin | Greenpoint Manufactured Housing                                                | CUSIP: 395386AY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2340189 | PA      | $1223938.82   | 0.48%             | 2031-06-20      | Variable      | 8.45%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2007-HE2                                   | CUSIP: 40430RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185070 | PA      | $95876.72     | 0.04%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-WF1                                       | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815397 | PA      | $270623.25    | 0.11%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-8                                          | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793099 | PA      | $405741.73    | 0.16%             | 2036-07-21      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-5                                          | CUSIP: 41161MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1579752 | PA      | $800485.21    | 0.32%             | 2046-07-19      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-16                                         | CUSIP: 41161PA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6280070 | PA      | $1836403.74   | 0.73%             | 2036-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-8                                          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280752 | PA      | $236533.19    | 0.09%             | 2034-11-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2004-8                                          | CUSIP: 41161PHC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294538 | PA      | $268997.65    | 0.11%             | 2034-11-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-14                                         | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55066 | PA      | $51391.93     | 0.02%             | 2035-12-19      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-14                                         | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718517 | PA      | $386040.33    | 0.15%             | 2035-12-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-16                                         | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2196824 | PA      | $1326828.40   | 0.53%             | 2036-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-4                                          | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367618 | PA      | $332389.39    | 0.13%             | 2047-07-19      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-C               | CUSIP: 43709BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74552 | PA      | $69672.47     | 0.03%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A               | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311089 | PA      | $239401.57    | 0.09%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A               | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33625 | PA      | $20343.05     | 0.01%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A               | CUSIP: 43710BAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3710580 | PA      | $1387375.47   | 0.55%             | 2037-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage S | Home Loan Trust 2006-HI5                                                       | CUSIP: 43718VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8137043 | PA      | $1874114.69   | 0.74%             | 2036-12-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-6                                                  | CUSIP: 45254NJW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190529 | PA      | $200761.24    | 0.08%             | 2034-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2004-11                                                 | CUSIP: 45254NMB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34317 | PA      | $31879.54     | 0.01%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-5                                                  | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524922 | PA      | $474605.42    | 0.19%             | 2035-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Corp Series 2005-2                                        | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54148 | PA      | $41993.23     | 0.02%             | 2036-03-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                              | CUSIP: 45257VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177724 | PA      | $152557.05    | 0.06%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM2                                         | CUSIP: 452761AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301837 | PA      | $227400.40    | 0.09%             | 2056-09-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR19                                     | CUSIP: 45660GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1259883 | PA      | $1071146.87   | 0.42%             | 2036-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                | CUSIP: 45660L4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740406 | PA      | $332337.20    | 0.13%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                | CUSIP: 45660L4F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2286624 | PA      | $753990.95    | 0.30%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR5                                      | CUSIP: 45660LGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818591 | PA      | $643520.46    | 0.25%             | 2035-05-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR5                                      | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348505 | PA      | $249016.38    | 0.10%             | 2035-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                 | CUSIP: 45661EBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858239 | PA      | $364941.60    | 0.14%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                 | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1713205 | PA      | $731940.60    | 0.29%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                      | CUSIP: 45661SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273528 | PA      | $156458.12    | 0.06%             | 2036-09-25      | Variable      | 3.53%                 | No            |                  3 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                       | CUSIP: 456652AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2734808 | PA      | $1163310.95   | 0.46%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR37                                     | CUSIP: 45668LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80971 | PA      | $66158.46     | 0.03%             | 2037-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                      | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198109 | PA      | $162135.40    | 0.06%             | 2037-03-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR9                                      | CUSIP: 45669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21940 | PA      | $12920.67     | 0.01%             | 2037-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR21IP                                   | CUSIP: 45670BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219331 | PA      | $189977.76    | 0.08%             | 2036-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F3                                       | CUSIP: 45671BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27447 | PA      | $17043.42     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV1                                             | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18694 | PA      | $18364.58     | 0.01%             | 2049-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                                 | CUSIP: 46591HBR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72606 | PA      | $65491.00     | 0.03%             | 2028-09-25      | Fixed         | 0.88%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV1                                             | CUSIP: 46591NBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23633 | PA      | $23288.56     | 0.01%             | 2050-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A1                                               | CUSIP: 466247BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71931 | PA      | $70018.69     | 0.03%             | 2034-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2004-A3                                               | CUSIP: 466247CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29509 | PA      | $26278.71     | 0.01%             | 2034-07-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A1                                               | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37796 | PA      | $35256.31     | 0.01%             | 2035-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A2                                               | CUSIP: 466247NM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87849 | PA      | $71552.05     | 0.03%             | 2035-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-4                                                | CUSIP: 46652VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452210 | PA      | $405971.72    | 0.16%             | 2051-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                                | CUSIP: 46653JBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414482 | PA      | $334458.03    | 0.13%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | JPMorgan Chase Bank NA - CACLN                                                 | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    215513 | PA      | $199133.79    | 0.08%             | 2028-12-26      | Fixed         | 0.89%                 | No            |                  3 | On Loan: No      |
| KORTH DIRECT MORTGAGE          | Korth Direct Mortgage Inc                                                      | CUSIP: 50067HDB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $792000.00    | 0.31%             | 2027-01-25      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-7                                                   | CUSIP: 52519BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739754 | PA      | $387797.73    | 0.15%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                   | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7990398 | PA      | $874657.70    | 0.35%             | 2036-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                   | CUSIP: 52521FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501866 | PA      | $190362.71    | 0.08%             | 2037-02-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-3                                                   | CUSIP: 52521JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1481855 | PA      | $366611.82    | 0.15%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                   | CUSIP: 52521NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555456 | PA      | $493143.84    | 0.20%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                   | CUSIP: 52521RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464657 | PA      | $407214.69    | 0.16%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-10                                                  | CUSIP: 52522QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203433 | PA      | $397698.61    | 0.16%             | 2038-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-6                                                         | CUSIP: 52524PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564702 | PA      | $442418.01    | 0.18%             | 2037-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-4                                                   | CUSIP: 52524UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3671580 | PA      | $1110979.47   | 0.44%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2004-2                                          | CUSIP: 542514FT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387263 | PA      | $360529.54    | 0.14%             | 2034-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-A                                          | CUSIP: 542515AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979915 | PA      | $22349.31     | 0.01%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-INV1 Trust                                                            | CUSIP: 552747AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330511 | PA      | $289508.51    | 0.11%             | 2056-01-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2020-NQM2 Trust                                                            | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106778 | PA      | $96126.55     | 0.04%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-NC2                                   | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020019 | PA      | $405815.26    | 0.16%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-NC2                                   | CUSIP: 55275BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465590 | PA      | $185235.25    | 0.07%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                            | CUSIP: 55275SAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1004010 | PA      | $312707.82    | 0.12%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-17T1                                               | CUSIP: 02146AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863634 | PA      | $358925.00    | 0.14%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                               | CUSIP: 02146TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597169 | PA      | $346074.98    | 0.14%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-NQM1 Trust                                                            | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614288 | PA      | $530441.05    | 0.21%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                            | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273375 | PA      | $229634.59    | 0.09%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                   | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170280 | PA      | $145862.53    | 0.06%             | 2035-07-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-7                                   | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357008 | PA      | $219348.82    | 0.09%             | 2035-09-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                 | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178732 | PA      | $153112.40    | 0.06%             | 2046-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-4                                   | CUSIP: 576433MA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215209 | PA      | $196989.55    | 0.08%             | 2034-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-4                                            | CUSIP: 576434EL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19238 | PA      | $19224.67     | 0.01%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu | Citigroup Global Markets Mortgage Securities VII Inc                           | CUSIP: 79548KUQ9<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |    228744 | PA      | $139968.36    | 0.06%             | 2030-12-25      | Variable      | 3.10%                 | No            |                  3 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                              | CUSIP: 12629ECG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8180443 | PA      | $965579.40    | 0.38%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                              | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353349 | PA      | $324639.25    | 0.13%             | 2037-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                              | CUSIP: 126378BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    522236 | PA      | $315611.42    | 0.12%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                              | CUSIP: 126378BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1758136 | PA      | $1052773.05   | 0.42%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                              | CUSIP: 126378BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939245 | PA      | $562342.88    | 0.22%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-4                                              | CUSIP: 126379AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105713 | PA      | $61540.86     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                              | CUSIP: 12638PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977944 | PA      | $744161.16    | 0.29%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2007-4R                                                            | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76128 | PA      | $64873.66     | 0.03%             | 2036-10-26      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-6                                                              | CUSIP: 12647MAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49225 | PA      | $45087.64     | 0.02%             | 2028-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2015-1R                                                            | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222545 | PA      | $214266.51    | 0.08%             | 2037-05-27      | Floating      | 4.17%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM4                                                                 | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126637 | PA      | $101905.83    | 0.04%             | 2066-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM3                                                                 | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120910 | PA      | $95245.78     | 0.04%             | 2066-04-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM7                                                                 | CUSIP: 12662QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240802 | PA      | $193294.22    | 0.08%             | 2066-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-9                                   | CUSIP: 12666RAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181933 | PA      | $168680.07    | 0.07%             | 2046-10-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-15                                  | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154285 | PA      | $153789.12    | 0.06%             | 2046-10-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-1                                   | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39463 | PA      | $37003.01     | 0.01%             | 2036-07-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-31                                        | CUSIP: 126694UL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221665 | PA      | $187715.52    | 0.07%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HY10                                      | CUSIP: 126694VR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1259289 | PA      | $965230.84    | 0.38%             | 2036-02-20      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2003-J2                                                 | CUSIP: 12669E4E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182786 | PA      | $165266.31    | 0.07%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-48                                        | CUSIP: 12669EV29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404316 | PA      | $212247.78    | 0.08%             | 2033-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-J3                                        | CUSIP: 12669FSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186637 | PA      | $176347.29    | 0.07%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-16                                        | CUSIP: 12669G3W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1949777 | PA      | $1250677.55   | 0.50%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-17                                        | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716219 | PA      | $609924.11    | 0.24%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-25                                        | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578352 | PA      | $478689.60    | 0.19%             | 2035-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-2                                         | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127062 | PA      | $112477.46    | 0.04%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-15                                        | CUSIP: 12669GQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481213 | PA      | $280743.10    | 0.11%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2007-6                                   | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174691 | PA      | $179006.12    | 0.07%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset Backed Notes Trust 2007-Sea2                                       | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1919624 | PA      | $1219845.32   | 0.48%             | 2047-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Charlie Mac                    | Charlie Mac Trust 2004-1                                                       | CUSIP: 160762AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32389 | PA      | $29186.73     | 0.01%             | 2034-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As | Chase Funding Trust Series 2003-2                                              | CUSIP: 161546EW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858209 | PA      | $813877.19    | 0.32%             | 2033-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As | Chase Funding Trust Series 2003-5                                              | CUSIP: 161546GN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85768 | PA      | $68473.01     | 0.03%             | 2032-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2004-S2                                    | CUSIP: 16162WGP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246919 | PA      | $230082.15    | 0.09%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                    | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120186 | PA      | $101008.00    | 0.04%             | 2035-12-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A1                                    | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117991 | PA      | $107104.84    | 0.04%             | 2037-03-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A3                                    | CUSIP: 161639AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145057 | PA      | $117802.40    | 0.05%             | 2037-12-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S1                                    | CUSIP: 16163FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6509695 | PA      | $2050723.98   | 0.81%             | 2037-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-3                                                  | CUSIP: 16165AAB0<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |    892239 | PA      | $269216.93    | 0.11%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                  | CUSIP: 16165VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748867 | PA      | $636088.29    | 0.25%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1  | CUSIP: 16165YAA0<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |    347595 | PA      | $303687.65    | 0.12%             | 2037-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHEC LOAN TRUST                | CHEC Loan Trust 2004-2                                                         | CUSIP: 162765AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457071 | PA      | $455774.85    | 0.18%             | 2034-04-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4             | CUSIP: 16678RAJ6<br>LEI: 549300YJP2VT3ZPGT715 | Long             | ABS-MBS          | CORP              | US        |    176646 | PA      | $163641.69    | 0.06%             | 2034-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1             | CUSIP: 16678RCU9<br>LEI: 549300IPR6D6ZFC6NF33 | Long             | ABS-MBS          | CORP              | US        |     26452 | PA      | $23202.93     | 0.01%             | 2036-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-2             | CUSIP: 16678RDL8<br>LEI: 549300QD5ZVFK417DY24 | Long             | ABS-MBS          | CORP              | US        |    150617 | PA      | $127375.67    | 0.05%             | 2036-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4             | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     69964 | PA      | $52681.46     | 0.02%             | 2047-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-1                                         | CUSIP: 170255AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437833 | PA      | $722208.77    | 0.29%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR1                                         | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60809 | PA      | $55005.47     | 0.02%             | 2036-03-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                              | CUSIP: 17307GL22<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    187836 | PA      | $177852.33    | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                            | CUSIP: 17307GLN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32273 | PA      | $28158.08     | 0.01%             | 2034-09-25      | Variable      | 3.79%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                              | CUSIP: 17307GMQ8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    325045 | PA      | $303886.34    | 0.12%             | 2033-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A1                             | CUSIP: 17309AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239163 | PA      | $210909.84    | 0.08%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-4                               | CUSIP: 17310DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123859 | PA      | $987311.95    | 0.39%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR1                                         | CUSIP: 17310UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929947 | PA      | $1075884.51   | 0.43%             | 2037-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                        | CUSIP: 17311FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282263 | PA      | $595280.91    | 0.24%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2007-5                               | CUSIP: 17312KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65937 | PA      | $55154.41     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-9                                           | CUSIP: 17313NAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671640 | PA      | $548622.49    | 0.22%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-10                                          | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32435 | PA      | $27747.41     | 0.01%             | 2037-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2014-12                                          | CUSIP: 17323HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2509533 | PA      | $1882602.26   | 0.75%             | 2037-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2015-5                                           | CUSIP: 17323XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335337 | PA      | $324643.61    | 0.13%             | 2034-08-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | CITIGROUP MORTGAGE LOAN TRUST 2021-INV2                                        | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346673 | PA      | $278774.21    | 0.11%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A6                             | CUSIP: 18976GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848413 | PA      | $722290.70    | 0.29%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-1 Mortgage Loan Trust                                                | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368136 | PA      | $297317.73    | 0.12%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2020-2 Mortgage Loan Trust                                                | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421806 | PA      | $393453.00    | 0.16%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8794764 | PA      | $3314266.43   | 1.31%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660851 | PA      | $142805.80    | 0.06%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1951594 | PA      | $1770919.14   | 0.70%             | 2033-12-01      | Variable      | 9.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 22540V2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101302 | PA      | $92043.15     | 0.04%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9                   | CUSIP: 22540VG63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924457 | PA      | $848638.06    | 0.34%             | 2032-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111655 | PA      | $73194.49     | 0.03%             | 2031-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust        | Home Equity Asset Trust 2002-2                                                 | CUSIP: 22541NCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94405 | PA      | $87248.62     | 0.03%             | 2032-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                   | CUSIP: 2254585Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177424 | PA      | $156588.12    | 0.06%             | 2035-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 225458F52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070914 | PA      | $445693.61    | 0.18%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4                   | CUSIP: 225458PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566304 | PA      | $410538.87    | 0.16%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2006-1                                          | CUSIP: 225470A78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94685 | PA      | $78298.66     | 0.03%             | 2036-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                  | CUSIP: 225470EU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253869 | PA      | $117129.54    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                               | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498880 | PA      | $222054.36    | 0.09%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                               | CUSIP: 02146TAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455919 | PA      | $264216.74    | 0.10%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                              | CUSIP: 225470M59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9650000 | PA      | $682257.90    | 0.27%             | 2036-04-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                              | CUSIP: 225470M75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2008353 | PA      | $140396.16    | 0.06%             | 2036-04-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                       | CUSIP: 225470YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72895 | PA      | $28137.39     | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                       | CUSIP: 225470ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214487 | PA      | $114447.56    | 0.05%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 2254W0HT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135685 | PA      | $128515.71    | 0.05%             | 2034-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 2254W0NL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196868 | PA      | $97552.80     | 0.04%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 2254W0PJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125390 | PA      | $92162.00     | 0.04%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                              | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270068 | PA      | $675614.98    | 0.27%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                              | CUSIP: 22942JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500307 | PA      | $1305710.11   | 0.52%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                              | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1897818 | PA      | $1007025.08   | 0.40%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-1                                              | CUSIP: 22943HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5064331 | PA      | $891559.28    | 0.35%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                              | CUSIP: 22944BBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237670 | PA      | $181754.05    | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-30T1                                               | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902303 | PA      | $668613.34    | 0.26%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-46                                                 | CUSIP: 02147JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453869 | PA      | $177776.38    | 0.07%             | 2047-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-2                                    | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392281 | PA      | $330065.29    | 0.13%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-2                                    | CUSIP: 24381WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343443 | PA      | $283384.07    | 0.11%             | 2066-04-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche ALT-A Securities Inc                                                  | CUSIP: 251510AA1<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |    435544 | PA      | $426066.11    | 0.17%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-4                | CUSIP: 251510FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75250 | PA      | $64773.69     | 0.03%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC  | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2              | CUSIP: 251511AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200348 | PA      | $987513.52    | 0.39%             | 2036-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                  | CUSIP: 25151UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33577 | PA      | $35088.35     | 0.01%             | 2037-03-25      | Floating      | 4.66%                 | No            |                  3 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1                              | CUSIP: 251563CA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37578 | PA      | $35211.68     | 0.01%             | 2033-12-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-5                    | CUSIP: 251563GG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41909 | PA      | $39623.68     | 0.02%             | 2034-07-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                               | CUSIP: 02147WAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577239 | PA      | $660741.26    | 0.26%             | 2036-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                               | CUSIP: 02147XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373058 | PA      | $221917.15    | 0.09%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1           | CUSIP: 25157GBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504218 | PA      | $399777.10    | 0.16%             | 2036-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust  | EquiFirst Mortgage Loan Trust 2004-1                                           | CUSIP: 29445FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531971 | PA      | $499940.49    | 0.20%             | 2034-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2004-T5                                               | CUSIP: 31394AYE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387150 | PA      | $354159.67    | 0.14%             | 2035-05-28      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2004-T5                                               | CUSIP: 31394AYR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    986085 | PA      | $912973.55    | 0.36%             | 2035-05-28      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 31394GWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14897 | PA      | $14462.43     | 0.01%             | 2033-08-15      | Floating      | 5.62%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89620 | PA      | $79313.51     | 0.03%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16512 | PA      | $15537.42     | 0.01%             | 2038-01-25      | Floating      | 5.09%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 31397ABC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14058 | PA      | $13212.74     | 0.01%             | 2036-08-15      | Floating      | 4.67%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                             | CUSIP: 31397KQS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11130 | PA      | $10491.25     | 0.00%             | 2037-06-15      | Floating      | 4.90%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through  | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253407 | PA      | $232881.37    | 0.09%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 31398PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20429 | PA      | $20216.39     | 0.01%             | 2025-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | Ellington Financial Mortgage Trust 2017-1                                      | CUSIP: 31574XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505197 | PA      | $400419.39    | 0.16%             | 2066-02-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                     | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   6307808 | NS      | $6307807.67   | 2.50%             |  |  |  | No            |                  1 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF11                                   | CUSIP: 32028PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374557 | PA      | $345926.22    | 0.14%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust Series 2006-FF18                            | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607848 | PA      | $537810.08    | 0.21%             | 2037-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                   | CUSIP: 32051G3A1<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |    356078 | PA      | $160773.79    | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA10                  | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188182 | PA      | $151060.72    | 0.06%             | 2035-12-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA6                   | CUSIP: 32051GTG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834064 | PA      | $467274.73    | 0.18%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA8                   | CUSIP: 32052AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240224 | PA      | $137890.83    | 0.05%             | 2037-02-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FirstKey Mortgage Trust        | FirstKey Mortgage Trust 2015-1                                                 | CUSIP: 33767CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54662 | PA      | $48746.30     | 0.02%             | 2045-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                               | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    143554 | PA      | $138900.63    | 0.05%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-3                                                 | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63958 | PA      | $49114.44     | 0.02%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-34                                                 | CUSIP: 02148AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807389 | PA      | $395995.52    | 0.16%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                               | CUSIP: 02148JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4007490 | PA      | $490520.82    | 0.19%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2004-C                                                 | CUSIP: 35729PEU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199714 | PA      | $188039.00    | 0.07%             | 2034-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-B                                                 | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80717 | PA      | $27374.97     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM7 Trust                                                           | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748298 | PA      | $1533323.22   | 0.61%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-INV2 Trust                                                           | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665148 | PA      | $555346.60    | 0.22%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Home Equity Loan Trust 2007-HE3                                          | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187081 | PA      | $162851.33    | 0.06%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                     | CUSIP: 36228FC20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490605 | PA      | $443400.58    | 0.18%             | 2033-11-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                               | CUSIP: 02148KAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2163049 | PA      | $640962.17    | 0.25%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                               | CUSIP: 02149CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317269 | PA      | $182372.84    | 0.07%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR5                        | CUSIP: 86360JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035374 | PA      | $814801.24    | 0.32%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                        | CUSIP: 86360KAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878638 | PA      | $680031.42    | 0.27%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A8                                               | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1172145 | PA      | $952776.88    | 0.38%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2007-A2                                       | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182656 | PA      | $151335.88    | 0.06%             | 2037-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S1                                       | CUSIP: 46627MFW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42868 | PA      | $41242.82     | 0.02%             | 2036-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-A6                                       | CUSIP: 466285AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961561 | PA      | $744792.89    | 0.29%             | 2036-11-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                               | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120943 | PA      | $68438.36     | 0.03%             | 2036-05-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A4                                               | CUSIP: 46628LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143902 | PA      | $105887.85    | 0.04%             | 2036-06-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                | CUSIP: 02149HAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315509 | PA      | $147065.10    | 0.06%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA2                                                | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345282 | PA      | $285349.32    | 0.11%             | 2047-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                               | CUSIP: 46628VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1113215 | PA      | $838560.15    | 0.33%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                               | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11343 | PA      | $11911.09     | 0.00%             | 2036-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A1                                               | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158458 | PA      | $147990.75    | 0.06%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S1                                               | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310855 | PA      | $134680.78    | 0.05%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                               | CUSIP: 46631NAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876995 | PA      | $312044.42    | 0.12%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2014-1                                                | CUSIP: 46641CBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60209 | PA      | $51460.47     | 0.02%             | 2044-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2014-5                                                | CUSIP: 46643KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237557 | PA      | $221470.78    | 0.09%             | 2029-10-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-4                                                | CUSIP: 46648UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6900 | PA      | $6339.34      | 0.00%             | 2048-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-3                                                | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494390 | PA      | $433005.96    | 0.17%             | 2048-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                                | CUSIP: 46651YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121587 | PA      | $100673.68    | 0.04%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-6                                            | CUSIP: 576434GH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45498 | PA      | $42505.71     | 0.02%             | 2033-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-4                                            | CUSIP: 576434Q80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654076 | PA      | $553956.87    | 0.22%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-8                                            | CUSIP: 576434UP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29657 | PA      | $29353.57     | 0.01%             | 2034-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-12                                           | CUSIP: 576434YE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61172 | PA      | $58101.10     | 0.02%             | 2034-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2006-2                                   | CUSIP: 576438AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59838 | PA      | $33377.39     | 0.01%             | 2036-04-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-FRE2                                  | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264623 | PA      | $185078.75    | 0.07%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                        | CUSIP: 86360KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437361 | PA      | $237965.02    | 0.09%             | 2036-05-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC6                  | CUSIP: 86362VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370802 | PA      | $351430.53    | 0.14%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2004-4                                        | CUSIP: 57643MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242424 | PA      | $208214.10    | 0.08%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-3                                            | CUSIP: 57645DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065181 | PA      | $390461.51    | 0.15%             | 2036-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-AM2                                   | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613600 | PA      | $545437.15    | 0.22%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust   | Mastr Specialized Loan Trust                                                   | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655087 | PA      | $257520.22    | 0.10%             | 2037-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2018-MTG2                                    | CUSIP: 585499BQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462682 | PA      | $398402.78    | 0.16%             | 2048-10-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-INV2                                    | CUSIP: 58549XAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46367 | PA      | $39689.45     | 0.02%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-J1                                                 | CUSIP: 02149MAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766190 | PA      | $507089.75    | 0.20%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-3T1                                                | CUSIP: 02149VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740263 | PA      | $605853.59    | 0.24%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-RM3                         | CUSIP: 590217AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5939596 | PA      | $185528.62    | 0.07%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed  | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                   | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447311 | PA      | $389965.08    | 0.15%             | 2036-08-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust   | METLIFE SECURITIZATION TRUST 2020-1                                            | CUSIP: 59166CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35836 | PA      | $30083.45     | 0.01%             | 2050-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2003-NC8                                | CUSIP: 61746RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119173 | PA      | $118793.44    | 0.05%             | 2033-09-25      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2004-WMC3                               | CUSIP: 61746RJM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208117 | PA      | $214842.25    | 0.09%             | 2035-01-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2004-5AR                                    | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32760 | PA      | $29767.53     | 0.01%             | 2034-07-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2004-11AR                                   | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97162 | PA      | $86351.97     | 0.03%             | 2035-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-4                                      | CUSIP: 61748HKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37047 | PA      | $18611.24     | 0.01%             | 2035-08-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-7                                      | CUSIP: 61748HPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142560 | PA      | $129178.99    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-9AR                                    | CUSIP: 61748HQY0<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |    354913 | PA      | $320796.83    | 0.13%             | 2035-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                     | CUSIP: 61748HRS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311309 | PA      | $198189.03    | 0.08%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                     | CUSIP: 61748HRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30580 | PA      | $21779.27     | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-3AR                                    | CUSIP: 61748HWT4<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |    560474 | PA      | $378223.63    | 0.15%             | 2036-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-12XS                                   | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4137200 | PA      | $986215.83    | 0.39%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                      | CUSIP: 61749JAE6<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |    107639 | PA      | $71064.29     | 0.03%             | 2036-06-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2006-HE6                                | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164643 | PA      | $52685.65     | 0.02%             | 2036-09-25      | Floating      | 4.51%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-10XS                                   | CUSIP: 61751MAV6<br>LEI: 549300CG0N64R5CUIN87 | Long             | ABS-MBS          | CORP              | US        |    549283 | PA      | $218164.08    | 0.09%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2007-HE1                                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559470 | PA      | $333500.54    | 0.13%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                    | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    639311 | PA      | $242036.10    | 0.10%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                    | CUSIP: 61752JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5946540 | PA      | $1682713.70   | 0.67%             | 2046-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-11T1                                               | CUSIP: 02150GBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3298059 | PA      | $1219577.03   | 0.48%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                | CUSIP: 02150JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225168 | PA      | $437138.44    | 0.17%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-14AR                                   | CUSIP: 61756VAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320547 | PA      | $289345.74    | 0.11%             | 2037-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                   | CUSIP: 61762BBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357671 | PA      | $302979.74    | 0.12%             | 2036-12-26      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust               | MortgageIT Trust 2005-1                                                        | CUSIP: 61913PAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67634 | PA      | $64124.04     | 0.03%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NMLT 2021-INV1 Trust                                                           | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1933594 | PA      | $1544813.75   | 0.61%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2019-NQM4                                  | CUSIP: 64828EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221087 | PA      | $197140.36    | 0.08%             | 2059-09-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2018-1                                     | CUSIP: 64830GBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154175 | PA      | $142360.11    | 0.06%             | 2057-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2022-NQM1                                  | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526999 | PA      | $453583.78    | 0.18%             | 2061-04-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-NQM3                                  | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378605 | PA      | $306620.87    | 0.12%             | 2056-11-27      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1             | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485122 | PA      | $363893.52    | 0.14%             | 2036-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1            | CUSIP: 65535VLB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26649 | PA      | $26014.24     | 0.01%             | 2035-03-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2              | CUSIP: 655378AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241550 | PA      | $1018995.34   | 0.40%             | 2037-06-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-WF1            | CUSIP: 65537BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949287 | PA      | $265101.54    | 0.10%             | 2036-06-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1              | CUSIP: 65538PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854896 | PA      | $786705.00    | 0.31%             | 2047-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-10R                                         | CUSIP: 65541BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1233874 | PA      | $979326.16    | 0.39%             | 2036-12-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-3                                  | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836483 | PA      | $1023101.99   | 0.40%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-5                                  | CUSIP: 66988YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005226 | PA      | $338912.63    | 0.13%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                 | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1382250 | PA      | $1341849.87   | 0.53%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-INV2 Trust                                                            | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534888 | PA      | $430125.03    | 0.17%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc | Oakwood Mortgage Investors Inc                                                 | CUSIP: 674135BW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94100 | PA      | $91728.04     | 0.04%             | 2027-05-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2006-3                                          | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010079 | PA      | $672328.24    | 0.27%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-1                                          | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597780 | PA      | $396453.13    | 0.16%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-FXD1                                       | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1853715 | PA      | $1751918.54   | 0.69%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back | Ownit Mortgage Loan Trust Series 2006-6                                        | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1547136 | PA      | $745741.44    | 0.30%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                   | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270011 | PA      | $229169.83    | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHHMC Mortgage Pass Through Ce | PHHMC Series 2007-3 Trust                                                      | CUSIP: 69337NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7911 | PA      | $7371.26      | 0.00%             | 2037-06-18      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                    | PRKCM 2021-AFC2 Trust                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437230 | PA      | $362924.92    | 0.14%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                  | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493276 | PA      | $398955.44    | 0.16%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2005-4                                                    | CUSIP: 74160MKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120507 | PA      | $107713.50    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-1                                                    | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628543 | PA      | $1134950.96   | 0.45%             | 2036-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2007-RP4 Trust                                                     | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697297 | PA      | $619675.41    | 0.25%             | 2046-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                     | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70885 | PA      | $60788.89     | 0.02%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                     | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842915 | PA      | $1972542.12   | 0.78%             | 2037-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                     | CUSIP: 74922KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674635 | PA      | $449498.08    | 0.18%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS8 Trust                                                     | CUSIP: 74922UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300368 | PA      | $207623.31    | 0.08%             | 2037-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                | CUSIP: 02150JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225168 | PA      | $111829.77    | 0.04%             | 2037-05-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OH1                                                | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81687 | PA      | $64585.87     | 0.03%             | 2047-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-9                                            | CUSIP: 74927TAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029139 | PA      | $508515.73    | 0.20%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-A                                                  | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261044 | PA      | $218651.93    | 0.09%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                           | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390411 | PA      | $347916.61    | 0.14%             | 2036-03-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                           | CUSIP: 74928UBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642909 | PA      | $605436.04    | 0.24%             | 2035-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management    | RCKT Mortgage Trust 2022-1                                                     | CUSIP: 74938FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363033 | PA      | $284073.56    | 0.11%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  3 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA3 Trust                                                    | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518977 | PA      | $406787.61    | 0.16%             | 2037-07-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-22                                                 | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086881 | PA      | $455359.02    | 0.18%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                 | CUSIP: 02151GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226225 | PA      | $56932.86     | 0.02%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA4 Trust                                                    | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117256 | PA      | $84848.56     | 0.03%             | 2037-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS8 Trust                                                     | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825194 | PA      | $643788.93    | 0.25%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C | RASC Series 2005-KS10 Trust                                                    | CUSIP: 75405WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39278 | PA      | $39064.59     | 0.02%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2002-3                                      | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381577 | PA      | $348639.72    | 0.14%             | 2032-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2003-4                                      | CUSIP: 759950BV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217262 | PA      | $193093.73    | 0.08%             | 2034-03-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-1                                      | CUSIP: 759950CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239243 | PA      | $171374.60    | 0.07%             | 2034-05-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2004-2                                      | CUSIP: 759950CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413441 | PA      | $323826.11    | 0.13%             | 2034-07-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS5 Trust                                                     | CUSIP: 76110H2X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792710 | PA      | $615611.37    | 0.24%             | 2035-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS7 Trust                                                     | CUSIP: 761118AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412853 | PA      | $337944.66    | 0.13%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA9 Trust                                                     | CUSIP: 761118FG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125019 | PA      | $106396.07    | 0.04%             | 2035-08-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                    | CUSIP: 761118HC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1186095 | PA      | $991863.25    | 0.39%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                    | CUSIP: 761118JL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419863 | PA      | $361634.69    | 0.14%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                   | CUSIP: 86363GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349485 | PA      | $316430.44    | 0.13%             | 2047-04-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-7                   | CUSIP: 86364DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41652 | PA      | $34527.17     | 0.01%             | 2037-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                     | CUSIP: 761118UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280931 | PA      | $43263.39     | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS2 Trust                                                     | CUSIP: 761118UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571086 | PA      | $416110.33    | 0.16%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                 | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360176 | PA      | $452036.23    | 0.18%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                 | CUSIP: 761119AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507493 | PA      | $206949.54    | 0.08%             | 2036-08-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A2                                 | CUSIP: 761120AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595115 | PA      | $915674.05    | 0.36%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP1 Trust                                                     | CUSIP: 76112BSA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139984 | PA      | $126183.07    | 0.05%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR4                                             | CUSIP: 76112BUF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125713 | PA      | $98494.91     | 0.04%             | 2035-07-19      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                | CUSIP: 76113LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524584 | PA      | $200390.95    | 0.08%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981905 | PA      | $375087.30    | 0.15%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A7CB                               | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426729 | PA      | $77928.47     | 0.03%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011009 | PA      | $777833.37    | 0.31%             | 2037-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                              | CUSIP: 76116RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2981767 | PA      | $1012995.52   | 0.40%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Resmae Mortgage Loan Trust     | ResMAE Mortgage Loan Trust 2006-1                                              | CUSIP: 76116RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295768 | PA      | $1119989.65   | 0.44%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus | Residential Mortgage Loan Trust 2020-2                                         | CUSIP: 76123MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81223 | PA      | $76146.36     | 0.03%             | 2060-05-25      | Variable      | 1.65%                 | No            |                  3 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-3                                        | CUSIP: 87804AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880287 | PA      | $336349.98    | 0.13%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2006-5                                                   | CUSIP: 8815612F0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119405 | PA      | $111942.53    | 0.04%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                 | CUSIP: 02151GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226225 | PA      | $31195.69     | 0.01%             | 2037-10-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-17CB                                               | CUSIP: 02151HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733721 | PA      | $706507.86    | 0.28%             | 2037-08-25      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                     | CUSIP: 762009BB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431100 | PA      | $1054757.90   | 0.42%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                               | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171624 | PA      | $102291.96    | 0.04%             | 2037-04-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-4                                               | CUSIP: 78473WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143290 | PA      | $110725.01    | 0.04%             | 2037-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-WM2                        | CUSIP: 81376GAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643051 | PA      | $442484.51    | 0.18%             | 2036-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-FR4                        | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368870 | PA      | $117726.63    | 0.05%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loa | Security National Mortgage Loan Trust 2006-3                                   | CUSIP: 81441WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346456 | PA      | $150669.32    | 0.06%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2005-1                                     | CUSIP: 885220HA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201917 | PA      | $188448.50    | 0.07%             | 2045-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust  | TIAA Bank Mortgage Loan Trust 2018-3                                           | CUSIP: 88632AAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173671 | PA      | $161094.77    | 0.06%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2007-3                                                  | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28817 | PA      | $21487.91     | 0.01%             | 2037-07-20      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-5                                                  | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    239678 | PA      | $200810.46    | 0.08%             | 2043-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                                  | CUSIP: 81745DAN1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    253495 | PA      | $178130.99    | 0.07%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2014-1                                                  | CUSIP: 81745NAR0<br>LEI: 549300IOX83SDPG3QD30 | Long             | ABS-MBS          | CORP              | US        |    100972 | PA      | $100474.82    | 0.04%             | 2044-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2015-3                                                  | CUSIP: 81746LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537470 | PA      | $476545.98    | 0.19%             | 2045-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH3                                                | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |    263589 | PA      | $254992.25    | 0.10%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH3                                                | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |     28267 | PA      | $27504.11     | 0.01%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH2                                                | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261489 | PA      | $232724.83    | 0.09%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-25                                                 | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270456 | PA      | $634383.24    | 0.25%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                               | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332962 | PA      | $221290.72    | 0.09%             | 2037-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2017-2                                               | CUSIP: 89173HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527242 | PA      | $506321.89    | 0.20%             | 2057-04-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| UCFC Manufactured Housing Cont | UCFC Manufactured Housing Contract                                             | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33067 | PA      | $29167.06     | 0.01%             | 2028-01-15      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                               | CUSIP: 02152AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735041 | PA      | $1049193.69   | 0.42%             | 2037-08-25      | Floating      | 18.01%                | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-2                                 | CUSIP: 02660CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382624 | PA      | $149860.38    | 0.06%             | 2047-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                    | CUSIP: 912796S34<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $12967770.27  | 5.13%             | 2023-01-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                    | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4934811.75   | 1.95%             | 2023-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2020-1                                                  | CUSIP: 81748MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43851 | PA      | $36221.31     | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC3             | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86195 | PA      | $50499.23     | 0.02%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2019-INV1                                  | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327722 | PA      | $308783.88    | 0.12%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-3                                     | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256147 | PA      | $234489.43    | 0.09%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97026 | PA      | $60533.17     | 0.02%             | 2036-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                  | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514466 | PA      | $297725.11    | 0.12%             | 2035-08-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                  | CUSIP: 863579WZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738058 | PA      | $539158.00    | 0.21%             | 2035-09-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551072 | PA      | $497541.04    | 0.20%             | 2035-10-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-37A       | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52647 | PA      | $48711.45     | 0.02%             | 2033-12-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-S3                   | CUSIP: 86359WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039965 | PA      | $350862.33    | 0.14%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust       | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1546404 | PA      | $554472.77    | 0.22%             | 2036-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust | CUSIP: 93935YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663169 | PA      | $88732.34     | 0.04%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR12 Trust                         | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108395 | PA      | $101953.56    | 0.04%             | 2036-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR14 Trust                         | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75402 | PA      | $64831.20     | 0.03%             | 2036-10-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-2                                 | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1066072 | PA      | $417591.52    | 0.17%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2004-3                                 | CUSIP: 02660TBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80048 | PA      | $67360.84     | 0.03%             | 2034-10-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                    | CUSIP: 912796Y78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4966657.65   | 1.97%             | 2023-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                    | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4965853.50   | 1.97%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-1                                 | CUSIP: 026932AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5917385 | PA      | $699182.21    | 0.28%             | 2047-05-25      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-A                                 | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113044 | PA      | $32959.22     | 0.01%             | 2046-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                                                    | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9917070.00   | 3.93%             | 2023-03-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-1                                              | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129256 | PA      | $98880.68     | 0.04%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  3 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2007-3                                     | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177653 | PA      | $161450.75    | 0.06%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2019-5                                                | CUSIP: 03464KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774524 | PA      | $731799.46    | 0.29%             | 2049-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-4                                                | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274329 | PA      | $245082.75    | 0.10%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-5                                                | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20309 | PA      | $18068.99     | 0.01%             | 2065-05-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2020-2                                                | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98606 | PA      | $89246.90     | 0.04%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-3                                                | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358728 | PA      | $295085.60    | 0.12%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-5                                                | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985792 | PA      | $805427.50    | 0.32%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W4                                                | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287751 | PA      | $70797.11     | 0.03%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-3                                              | CUSIP: 92539LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691288 | PA      | $553578.55    | 0.22%             | 2066-06-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru | Vista Point Securitization Trust 2020-2                                        | CUSIP: 92838TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651262 | PA      | $553794.08    | 0.22%             | 2065-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR12 Trust                 | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32737 | PA      | $29895.93     | 0.01%             | 2035-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                  | CUSIP: 92922FE95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66692 | PA      | $63849.75     | 0.03%             | 2045-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR5 Trust                  | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122097 | PA      | $114343.44    | 0.05%             | 2035-05-25      | Variable      | 3.31%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust                   | CUSIP: 92922FMB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30688 | PA      | $29149.11     | 0.01%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust                  | CUSIP: 92922FWM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180728 | PA      | $159693.54    | 0.06%             | 2034-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-AR11 Trust                 | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153836 | PA      | $138297.89    | 0.05%             | 2034-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust                  | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98943 | PA      | $86072.40     | 0.03%             | 2036-03-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                  | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186038 | PA      | $158464.32    | 0.06%             | 2037-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                  | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132816 | PA      | $92306.85     | 0.04%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                  | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229189 | PA      | $173765.90    | 0.07%             | 2046-08-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                 | CUSIP: 93363PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148650 | PA      | $120220.49    | 0.05%             | 2036-11-25      | Variable      | 3.33%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                 | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113202 | PA      | $99950.61     | 0.04%             | 2036-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                      | CUSIP: 93363XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324311 | PA      | $195919.94    | 0.08%             | 2047-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103933 | PA      | $974188.40    | 0.39%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217631 | PA      | $187912.64    | 0.07%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust | CUSIP: 93934FBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560577 | PA      | $532971.66    | 0.21%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636700 | PA      | $166943.36    | 0.07%             | 2021-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                    | CUSIP: 94985GBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302530 | PA      | $240802.27    | 0.10%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315914 | PA      | $86799.73     | 0.03%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust          | Arroyo Mortgage Trust 2022-2                                                   | CUSIP: 04285EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391634 | PA      | $381244.42    | 0.15%             | 2057-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                            | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51205 | PA      | $40093.74     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA6 Trust                                    | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116913 | PA      | $99785.10     | 0.04%             | 2037-12-28      | Variable      | 4.80%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2018-1                                  | CUSIP: 94989UAA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     30940 | PA      | $27135.30     | 0.01%             | 2047-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                         | CUSIP: 95003KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87252 | PA      | $70271.80     | 0.03%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust   | WinWater Mortgage Loan Trust 2015-A                                            | CUSIP: 97653BAC5<br>LEI: 549300XEB1FUZ3CHE748 | Long             | ABS-MBS          | CORP              | US        |    255696 | PA      | $228880.18    | 0.09%             | 2045-06-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust       | Yale Mortgage Loan Trust 2007-1                                                | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84466 | PA      | $27787.73     | 0.01%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2008-IND2                                                       | CUSIP: 05531EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981976 | PA      | $745239.80    | 0.29%             | 2038-04-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2016-R2 Trust                                          | CUSIP: 05890RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539893 | PA      | $1504043.52   | 0.60%             | 2033-05-01      | Variable      | 8.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-6 Trust                                           | CUSIP: 05946XM83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368503 | PA      | $285867.35    | 0.11%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-B Trust                                           | CUSIP: 05946XRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56350 | PA      | $47970.86     | 0.02%             | 2035-04-20      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-8 Trust                                           | CUSIP: 05946XX57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260232 | PA      | $207957.36    | 0.08%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                  | CUSIP: 059475AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750247 | PA      | $624362.83    | 0.25%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                 | CUSIP: 05948KU80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174458 | PA      | $153403.68    | 0.06%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2003-H Trust                                          | CUSIP: 05948XTH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884620 | PA      | $809582.90    | 0.32%             | 2033-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-E Trust                                          | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230514 | PA      | $197963.36    | 0.08%             | 2035-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2004-D Trust                                          | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66635 | PA      | $62012.77     | 0.02%             | 2034-05-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-F Trust                                          | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253789 | PA      | $228329.42    | 0.09%             | 2035-07-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-J Trust                                          | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53365 | PA      | $46512.35     | 0.02%             | 2035-11-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-5                                  | CUSIP: 05950BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254751 | PA      | $220524.18    | 0.09%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-4 Trust                                           | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234554 | PA      | $185041.66    | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                          | CUSIP: 05950GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285050 | PA      | $245032.04    | 0.10%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-2 Trust                                          | CUSIP: 05950GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878403 | PA      | $690259.10    | 0.27%             | 2046-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-G Trust                                           | CUSIP: 05950MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24160 | PA      | $23426.11     | 0.01%             | 2036-07-20      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-2 Trust                                          | CUSIP: 05952FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80076 | PA      | $59591.53     | 0.02%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-8 Trust                                           | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88048 | PA      | $62954.45     | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-4 Trust                                           | CUSIP: 05953YBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179607 | PA      | $140465.33    | 0.06%             | 2037-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                          | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476016 | PA      | $408278.32    | 0.16%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-2 Trust                                           | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344256 | PA      | $335904.73    | 0.13%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-D Trust                                           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48562 | PA      | $45548.59     | 0.02%             | 2035-05-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi | BankAmerica Manufactured Housing Contract Trust                                | CUSIP: 06606BAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $172000.38    | 0.07%             | 2021-06-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2004-3                                          | CUSIP: 07324SBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33710 | PA      | $33685.40     | 0.01%             | 2035-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2005-3                                          | CUSIP: 07324SCL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294347 | PA      | $262081.40    | 0.10%             | 2035-11-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2006-1                                          | CUSIP: 07324SDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195900 | PA      | $175285.93    | 0.07%             | 2036-04-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition  | Bayview Financial Mortgage Pass-Through Trust 2006-C                           | CUSIP: 07325DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195826 | PA      | $1018366.75   | 0.40%             | 2036-11-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-AC4                          | CUSIP: 07378RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657656 | PA      | $604603.74    | 0.24%             | 2037-02-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-4                                                  | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66363 | PA      | $58731.38     | 0.02%             | 2033-07-25      | Variable      | 3.57%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2003-6                                                  | CUSIP: 07384MXF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292988 | PA      | $224978.75    | 0.09%             | 2033-08-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-5                                                | CUSIP: 07386HJN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537796 | PA      | $444364.22    | 0.18%             | 2034-06-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2005-7                                                | CUSIP: 07386HVU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253644 | PA      | $108493.77    | 0.04%             | 2035-09-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2005-9                                                | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504793 | PA      | $335890.05    | 0.13%             | 2035-11-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-5                                                | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305592 | PA      | $686769.42    | 0.27%             | 2036-08-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-4                                                  | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170220 | PA      | $127239.24    | 0.05%             | 2036-10-25      | Variable      | 3.63%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                            | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    909419 | PA      | $539511.25    | 0.21%             | 2036-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2021-HE2                                       | CUSIP: 10569CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82840 | PA      | $81999.26     | 0.03%             | 2069-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2021-HE1                                       | CUSIP: 10569QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659362 | PA      | $650982.90    | 0.26%             | 2070-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Salomon Mortgage Loan Trust Series 2001-CB4                                    | CUSIP: 12489WDY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20057 | PA      | $19701.41     | 0.01%             | 2033-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                            | CUSIP: 1248M6AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124947 | PA      | $103265.59    | 0.04%             | 2046-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                            | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84715 | PA      | $71439.42     | 0.03%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust     | CDC Mortgage Capital Trust 2002-HE1                                            | CUSIP: 12506YAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8990 | PA      | $8813.89      | 0.00%             | 2033-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                         | CUSIP: 12543RAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525414 | PA      | $282194.55    | 0.11%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY1                                       | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501528 | PA      | $441797.53    | 0.17%             | 2037-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-17                                        | CUSIP: 12544KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314527 | PA      | $237436.90    | 0.09%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-10                                        | CUSIP: 12545CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400105 | PA      | $85837.98     | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV1                                                            | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259789 | PA      | $250111.54    | 0.10%             | 2049-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2020-INV1                                                            | CUSIP: 12560AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111331 | PA      | $92178.18     | 0.04%             | 2050-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A7                             | CUSIP: 12566TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383653 | PA      | $308840.75    | 0.12%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                              | CUSIP: 12629EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182793 | PA      | $560415.85    | 0.22%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T | CWABS Revolving Home Equity Loan Trust Series 2004-B                           | CUSIP: 1266715X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564340 | PA      | $497233.16    | 0.20%             | 2029-02-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Inc Asset-Backed Certificates Trust 2004-6                               | CUSIP: 126673AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831395 | PA      | $779428.66    | 0.31%             | 2034-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J1                                                 | CUSIP: 12667FT88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12737 | PA      | $12277.87     | 0.00%             | 2025-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                               | CUSIP: 12667FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216843 | PA      | $197512.27    | 0.08%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                               | CUSIP: 12667FYM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189308 | PA      | $177704.90    | 0.07%             | 2035-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-2                                                  | CUSIP: 12667FZ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91174 | PA      | $77562.30     | 0.03%             | 2035-03-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502385 | PA      | $342225.47    | 0.14%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-42CB                                               | CUSIP: 12667G4S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3429758 | PA      | $2177962.52   | 0.86%             | 2035-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2005-12R                               | CUSIP: 12667GAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720037 | PA      | $632572.60    | 0.25%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-19CB                                               | CUSIP: 12667GGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70879 | PA      | $57846.17     | 0.02%             | 2035-06-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J8                                                 | CUSIP: 12667GJ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142295 | PA      | $108102.34    | 0.04%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-27                                                 | CUSIP: 12667GM42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508399 | PA      | $434716.86    | 0.17%             | 2035-08-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-24                                                 | CUSIP: 12667GPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503088 | PA      | $294306.37    | 0.12%             | 2035-07-20      | Floating      | 4.95%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-17                                                 | CUSIP: 12667GSB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791892 | PA      | $624441.63    | 0.25%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-38                                                 | CUSIP: 12667GZ30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219627 | PA      | $177897.69    | 0.07%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-51                                                 | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    861873 | PA      | $701833.16    | 0.28%             | 2035-11-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-49CB                                               | CUSIP: 12668AMM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696065 | PA      | $475387.23    | 0.19%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-57CB                                               | CUSIP: 12668AYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193073 | PA      | $102666.24    | 0.04%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-76                                                 | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24441 | PA      | $18428.68     | 0.01%             | 2036-02-25      | Floating      | 3.05%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J1                                                 | CUSIP: 12668BKM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040393 | PA      | $137110.40    | 0.05%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J2                                                 | CUSIP: 12668BTE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263632 | PA      | $248696.19    | 0.10%             | 2036-04-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-10                                        | CUSIP: 1266942H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174562 | PA      | $82542.83     | 0.03%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-19                                        | CUSIP: 126694AM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340052 | PA      | $76575.54     | 0.03%             | 2035-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-21                                        | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196843 | PA      | $120306.61    | 0.05%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-25                                        | CUSIP: 126694JQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402165 | PA      | $208705.72    | 0.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Trust for Advised Portfolios

**Signature:** /s/ Eric McCormick

**Name of Signer:** Trust for Advised Portfolios

**Title:** Treasurer