# EDGAR Filing Document

**Accession Number:** 0000864508
**File Stem:** 0001752724-25-177855
**Filing Date:** 2025-7
**Character Count:** 113499
**Document Hash:** 53db6bcb7032c68a190b7993cd01c8fb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-177855.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-177855

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Cavanal Hill Funds
- **CENTRAL INDEX KEY:** 0000864508

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** OH

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06114
- **FILM NUMBER:** 251149436

**BUSINESS ADDRESS:**
- **STREET 1:** 4400 EASTON COMMONS #200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43219
- **BUSINESS PHONE:** 800-762-7085

**MAIL ADDRESS:**
- **STREET 1:** 4400 EASTON COMMONS #200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43219

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN PLUS FUNDS
- **DATE OF NAME CHANGE:** 19900910

## Series and Classes Contracts Data

### Limited Duration Fund (Series ID: S000008938)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000024285 | Investor      | APSTX           |
| C000024286 | Institutional | AISTX           |
| C000102307 | Class A       | AASTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Cavanal Hill Funds

- **b. Investment Company Act file number:** 811-06114

- **c. CIK number of Registrant:** 0000864508

- **d. LEI of Registrant:** 5493008U4I3BDPVDR774

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

  - **Street Address 1:** 4400 Easton Commons

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43219

  - **Telephone number:** 800-762-7085

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

- **a. Name of Series:** Limited Duration Fund

- **b. EDGAR series identifier (if any):** S000008938

- **c. LEI of Series:** 549300E9XGUQJ2M47608

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $29313651.11

**Total Liabilities:** $131773.38

**Net Assets:** $29181877.73

**Cash Not Reported:** $2276.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -100.05171740 | **1-Year:** -1177.82535888 | **5-Year:** -2498.83168014 | **10-Year:** -1462.68896874 | **30-Year:** -186.89168520

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

- **3-Month:** -1.42939980 | **1-Year:** -20.19866340 | **5-Year:** -42.78303133 | **10-Year:** -32.79937970 | **30-Year:** -2.08114795

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000024286 | 0.42%                | 0.39%                | 0.08%                |
| Class ID C000102307 | 0.29%                | 0.37%                | 0.06%                |
| Class ID C000024285 | 0.29%                | 0.37%                | 0.17%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-777.28                 | $13103.61                                  |
| Month 2  | $-31907.79               | $62271.94                                  |
| Month 3  | $-1282.74                | $-50092.71                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN HOME MORTGAGE INVESTMENT TRUST                                                       | AMERICAN HOME MORTGAGE INVESTMENT TRUST            | CUSIP: 02660TER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1225 | PA      | $1044.79      | 0.00%             | 2035-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST        | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2155 | PA      | $2073.78      | 0.01%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31406BXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9003 | PA      | $9136.48      | 0.03%             | 2035-01-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Cavanal Hill Funds: Cavanal Hill Government Securities Money Market Fund; Select Class Shares | CAVANAL HILL GOVERNMENT SECURITIES MONEY MARKET    | CUSIP: 14956P810<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2221805 | NS      | $2221805.46   | 7.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIEMAE GRANTOR TRUST                            | CUSIP: 31393AV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598173 | PA      | $583304.74    | 2.00%             | 2033-09-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SONIC CAPITAL LLC                                                                             | SONIC CAPITAL LLC                                  | CUSIP: 83546DAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770667 | PA      | $697200.04    | 2.39%             | 2051-08-20      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORPORATION                                                            | CHASE MORTGAGE FINANCE CORP                        | CUSIP: 16163EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11750 | PA      | $739.56       | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FMMSR                                                                                         | FMC GMSR ISSUER TRUST                              | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $514030.60    | 1.76%             | 2027-07-25      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| GALTON FUNDING MORTGAGE TRUST                                                                 | GFMT CMO VRN 7 25 56                               | CUSIP: 36416UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9728 | PA      | $8825.69      | 0.03%             | 2056-07-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST                                                | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER | CUSIP: 863579FR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15748 | PA      | $14077.14     | 0.05%             | 2034-12-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22540VR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20358 | PA      | $2949.15      | 0.01%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST MALT                | CUSIP: 576434NY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217116 | PA      | $225613.61    | 0.77%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434SJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16395 | PA      | $16573.72     | 0.06%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VINE                                                                                          | VR FUNDING LLC                                     | CUSIP: 91835CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168622 | PA      | $158042.73    | 0.54%             | 2050-11-15      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                                            | WENDY S FUNDING LLC                                | CUSIP: 95058XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221851 | PA      | $218333.28    | 0.75%             | 2049-06-15      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GINNIE MAE II POOL                                 | CUSIP: 36225CEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       387 | PA      | $390.56       | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                                                                 | BROADCOM INC                                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146125.66    | 0.50%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                                                      | U S TREASURY NOTE                                  | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1230000 | PA      | $1100898.04   | 3.77%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137AERH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31378 | PA      | $30951.51     | 0.11%             | 2041-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED                                                           | TEXTAINER MARINE CONTAINERS VII LTD                | CUSIP: 88315LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343780 | PA      | $327933.85    | 1.12%             | 2045-08-21      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST MALT                | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2109 | PA      | $2144.13      | 0.01%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B3LV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324081 | PA      | $285937.44    | 0.98%             | 2048-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMACM MORTGAGE LOAN TRUST                                                                     | GMAC MORTGAGE CORPORATION LOAN TRUST               | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13606 | PA      | $11758.94     | 0.04%             | 2035-11-19      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AFTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53249 | PA      | $50066.63     | 0.17%             | 2042-06-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI, LLC                                                                      | ENTERGY MISSISSIPPI LLC                            | CUSIP: 29364NAU2<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    275000 | PA      | $265797.47    | 0.91%             | 2027-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326 | PA      | $333.93       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST                                                       | AMERICAN HOME MORTGAGE INVESTMENT TRUST            | CUSIP: 02660YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327920 | PA      | $45049.18     | 0.15%             | 2036-06-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST                                                                               | CHASEFLEX TRUST                                    | CUSIP: 16165TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9465 | PA      | $8856.35      | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WASHINGTON MUTUAL                                  | CUSIP: 92922FGN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       486 | PA      | $473.16       | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMC HOME EQUITY LOAN TRUST                                                                    | IMC HOME EQUITY LOAN TRUST                         | CUSIP: 449670EB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $0.96         | 0.00%             | 2029-06-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| HI-FI MUSIC IP ISSUER II L.P                                                                  | HI FI MUSIC IP ISSUER II L P                       | CUSIP: 428357AA5<br>LEI: 635400DIIFNAZIG5QF27 | Long             | ABS-MBS          | CORP              | CA        |    595000 | PA      | $577459.88    | 1.98%             | 2062-02-01      | Fixed         | 3.94%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST        | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2353 | PA      | $2218.82      | 0.01%             | 2035-10-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE SECURITIES INCORPORATED                                                 | BEAR STEARNS MORTGAGE SECURITIES INC               | CUSIP: 073914VW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       335 | PA      | $333.74       | 0.00%             | 2031-03-25      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTORS                                                           | STRUCTURED ASSET MORTGAGE INVESTMENTS INC          | CUSIP: 86359LPY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       327 | PA      | $332.18       | 0.00%             | 2035-12-27      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31385YX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12907 | PA      | $12988.97     | 0.04%             | 2030-02-01      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET-BACKED CERTIFICATES TRUST                                                         | COUNTRYWIDE ASSET BACKED CERTIFICATES              | CUSIP: 126671PV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27 | PA      | $27.25        | 0.00%             | 2032-05-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22541QQ39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9047 | PA      | $9218.51      | 0.03%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust                                                            | UNITED AIRLINES 2020 1 CLASS A PASS THROUGH TRUST  | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103349 | PA      | $105154.53    | 0.36%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137BHUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12483 | PA      | $12283.48     | 0.04%             | 2037-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                      | GOVERNMENT NATIONAL MORTGAGE ASSOC                 | CUSIP: 36206RSR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       809 | PA      | $808.07       | 0.00%             | 2026-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3020 | PA      | $2909.82      | 0.01%             | 2035-11-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GHC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5209 | PA      | $5430.32      | 0.02%             | 2034-08-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST                           | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10891 | PA      | $7801.15      | 0.03%             | 2036-10-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12668BLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14817 | PA      | $6070.38      | 0.02%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC FIN AUTH WIS REV                                                                       | PUBLIC FINANCIAL AUTHORITY WI                      | CUSIP: 74442PDM4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     20000 | PA      | $19984.50     | 0.07%             | 2025-10-01      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136ALHN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40341 | PA      | $36972.81     | 0.13%             | 2044-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                                           | BANK OF AMERICA MORRTGAGE SECURITIES               | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3432 | PA      | $3156.71      | 0.01%             | 2036-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 36228FPF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8878 | PA      | $8500.38      | 0.03%             | 2033-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST MALT                | CUSIP: 576434LU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16701 | PA      | $16693.38     | 0.06%             | 2034-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | CHL MORTGAGE PASS THROUGH TRUST 2004 2             | CUSIP: 12669FKS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6696 | PA      | $6095.85      | 0.02%             | 2034-02-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| THE CHARLES SCHWAB CORPORATION                                                                | CHARLES SCHWAB CORP THE                            | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $790717.52    | 2.71%             | 2199-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION, LLC                                                       | VIRGINIA POWER FUEL SECURITIZATION LLC             | CUSIP: 92808VAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $100642.66    | 0.34%             | 2033-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOC                 | CUSIP: 36202CPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       368 | PA      | $368.63       | 0.00%             | 2026-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12667FSH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52116 | PA      | $53198.53     | 0.18%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31281BD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1623 | PA      | $1611.38      | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST                                                                      | BEAR STEARNS ALT A TRUST                           | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7350 | PA      | $5193.57      | 0.02%             | 2035-07-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434QE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7958 | PA      | $8053.45      | 0.03%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GQA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2971 | PA      | $2999.67      | 0.01%             | 2035-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ADJ RATE MORTGAGE TRUST               | CUSIP: 07384M2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1544 | PA      | $1558.29      | 0.01%             | 2034-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 38383WQ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    180454 | PA      | $182359.33    | 0.62%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                                           | BANK OF AMERICA MORRTGAGE SECURITIES               | CUSIP: 05949AGR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2375 | PA      | $2320.09      | 0.01%             | 2034-06-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED                                          | RESIDENTIAL FUNDING MORTGAGE SECURITIES I          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7117 | PA      | $7149.93      | 0.02%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                                     | TOWD POINT MORTGAGE TRUST                          | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10360 | PA      | $10208.52     | 0.03%             | 2058-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 36242DET6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56 | PA      | $56.25        | 0.00%             | 2019-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST                           | CUSIP: 466247TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79603 | PA      | $73356.21     | 0.25%             | 2035-09-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                                      | MORGAN STANLEY MORTGAGE LOAN TRUST                 | CUSIP: 61748HBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2643 | PA      | $2557.67      | 0.01%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| ZAXBYS FUNDING LLC                                                                            | ZAXBY S FUNDING LLC                                | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630438 | PA      | $576459.63    | 1.98%             | 2051-07-30      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                                  | MLCC MORTGAGE INVESTORS INC                        | CUSIP: 59020UNP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3574 | PA      | $3375.90      | 0.01%             | 2034-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)                                                | RESIDENTIAL ASSET SECURITIZATION TRUST             | CUSIP: 45660LT41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33230 | PA      | $14803.09     | 0.05%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31394ALV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557925 | PA      | $561921.61    | 1.93%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 313920XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       760 | PA      | $764.78       | 0.00%             | 2031-10-25      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST                                                                      | BEAR STEARNS ALT A TRUST 2006 1                    | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49161 | PA      | $35076.44     | 0.12%             | 2036-02-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FHLMC                                              | CUSIP: 31349GY37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1962 | PA      | $2000.74      | 0.01%             | 2034-08-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTORS                                                           | STRUCTURED ASSET MORTGAGE INVESTMENTS INC          | CUSIP: 86358HHV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35467 | PA      | $35971.30     | 0.12%             | 2029-05-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST                                                              | INDYMAC INDX MORTGAGE LOAN TRUST                   | CUSIP: 45660NQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6296 | PA      | $6041.65      | 0.02%             | 2034-08-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST                                                                | HARBORVIEW MORTGAGE LOAN TRUST                     | CUSIP: 41161PJM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43834 | PA      | $38996.77     | 0.13%             | 2035-01-19      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                                           | BANC OF AMERICA MORTGAGE 2003 H TRUST              | CUSIP: 05948XTJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2985 | PA      | $2839.07      | 0.01%             | 2033-09-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.                                                     | RESIDENTIAL ASSET MORTG PRODUCTS                   | CUSIP: 76112BUX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9036 | PA      | $7224.93      | 0.02%             | 2032-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                                           | GS MORTGAGE BACKED SECURITIES TRUST                | CUSIP: 36258WAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95634 | PA      | $81900.69     | 0.28%             | 2050-10-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST                           | CUSIP: 46648HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336292 | PA      | $293236.47    | 1.00%             | 2047-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FIRST HORIZON MORTGAGE PASS-THROUGH TRUST                                                     | FIRST HORIZON MORTGAGE PASS THROUGH TRUST          | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3564 | PA      | $3283.20      | 0.01%             | 2035-10-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOC                 | CUSIP: 36202CUT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        11 | PA      | $11.79        | 0.00%             | 2027-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137AN2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74539 | PA      | $70586.85     | 0.24%             | 2041-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136APWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79440 | PA      | $73576.21     | 0.25%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31398NJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33270 | PA      | $31659.35     | 0.11%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XMJD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91685 | PA      | $88924.87     | 0.30%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137ADZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118367 | PA      | $109495.53    | 0.38%             | 2039-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GINNIE MAE II POOL                                 | CUSIP: 36225DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4008 | PA      | $4055.19      | 0.01%             | 2034-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                                      | ANGEL OAK MORTGAGE TRUST                           | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211151 | PA      | $206942.51    | 0.71%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WAMU MORTGAGE PASS THROUGH CERTIFICATES SERIES 200 | CUSIP: 93362FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       881 | PA      | $807.05       | 0.00%             | 2046-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| United States of America                                                                      | U S TREASURY NOTE                                  | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $865265.63    | 2.97%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST                                           | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES      | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1434 | PA      | $1454.41      | 0.00%             | 2034-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2773 | PA      | $2621.46      | 0.01%             | 2035-08-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL LLC                                                                                | FLEXENTIAL ISSUER 2021 1                           | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086000 | PA      | $1038611.20   | 3.56%             | 2051-11-27      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136ACYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101487 | PA      | $89983.36     | 0.31%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B26V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16452 | PA      | $16351.10     | 0.06%             | 2030-02-25      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST                           | CUSIP: 46652FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424245 | PA      | $351163.84    | 1.20%             | 2050-11-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC                                                                | DEUTSCHE ALT A SECURITIES INC                      | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2559 | PA      | $2210.02      | 0.01%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ARM TRUST 2003 7                      | CUSIP: 07384MYT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502 | PA      | $512.22       | 0.00%             | 2033-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RESIDENTIAL ACCREDIT LOANS INC                     | CUSIP: 74922EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17232 | PA      | $13958.11     | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST        | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1779 | PA      | $1737.59      | 0.01%             | 2034-09-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FREDDIE MAC                                        | CUSIP: 3133T8BT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $76.20        | 0.00%             | 2026-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE WHOLE LOAN                              | CUSIP: 31359S2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3598 | PA      | $3657.58      | 0.01%             | 2031-07-25      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22541NPC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18936 | PA      | $12927.17     | 0.04%             | 2032-11-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST                                                                | HARBORVIEW MORTGAGE LOAN TRUST                     | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2 | PA      | $1.97         | 0.00%             | 2035-12-19      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                                                   | FEDERAL HOME LOAN BANK                             | CUSIP: 3130AKXP6<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    250000 | PA      | $218929.34    | 0.75%             | 2030-02-19      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6739 | PA      | $6020.15      | 0.02%             | 2035-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | CWALT CORPORATE BOND                               | CUSIP: 02148HAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14900 | PA      | $8298.02      | 0.03%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                                                   | FEDERAL HOME LOAN BANK                             | CUSIP: 3130APXZ3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    180000 | PA      | $156604.37    | 0.54%             | 2031-11-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)                                                | RESIDENTIAL ASSET SECURITIES CORP                  | CUSIP: 76114HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23668 | PA      | $11937.78     | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GFR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2117 | PA      | $2178.61      | 0.01%             | 2034-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AIO ISSUER LLC                                                                                | AIO ISSUER 2024 1 LLC                              | CUSIP: 009053AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $536391.19    | 1.84%             | 2054-10-26      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIEMAE WHOLE LOAN                               | CUSIP: 31393E6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419779 | PA      | $411052.29    | 1.41%             | 2043-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET-BACKED CERTIFICATES TRUST                                                         | CWABS ASSET BACKED CERTIFICATES TRUST 2007 4       | CUSIP: 12668WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664856 | PA      | $634642.00    | 2.17%             | 2047-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RESIDENTIAL ACCREDIT LOANS INC                     | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14509 | PA      | $14136.15     | 0.05%             | 2034-09-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                                  | WELLS FARGO MORTGAGE BACKED SECURITIES TRUST       | CUSIP: 94981FAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5648 | PA      | $5275.16      | 0.02%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                                           | GS MORTGAGE BACKED SECURITIES CORP TRUST           | CUSIP: 36257LAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273946 | PA      | $255865.44    | 0.88%             | 2049-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | COUNTRYWIDE HOME LOANS                             | CUSIP: 12669EH33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173 | PA      | $145.87       | 0.00%             | 2033-09-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RALI SERIES 2006 QA1 TRUST                         | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12310 | PA      | $8233.55      | 0.03%             | 2036-01-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22541SAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2382 | PA      | $2344.33      | 0.01%             | 2199-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORPORATION                                                            | CHASE MORTGAGE FINANCE CORPORATION                 | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7223 | PA      | $5873.95      | 0.02%             | 2037-07-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                                                   | FEDERAL HOME LOAN BANK                             | CUSIP: 3130ANQ78<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |     35000 | PA      | $33624.43     | 0.12%             | 2026-08-27      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RESIDENTIAL ACCREDIT LOANS INC                     | CUSIP: 76110HYF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99 | PA      | $92.27        | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST                                                                               | CHASEFLEX TRUST                                    | CUSIP: 16165TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41256 | PA      | $26073.90     | 0.09%             | 2035-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST                                                                               | GOODGREEN 2020 1 TRUST                             | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    992841 | PA      | $823200.03    | 2.82%             | 2055-04-15      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST                                                                       | FLAGSTAR MORTGAGE TRUST                            | CUSIP: 33852FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178863 | PA      | $157028.76    | 0.54%             | 2051-06-01      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION                                                       | STRUCTURED ASSET SECURITIES CORPORATION            | CUSIP: 86359AH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5008 | PA      | $4850.05      | 0.02%             | 2033-07-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CO             | CUSIP: 22541QVP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57421 | PA      | $54926.15     | 0.19%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WINWATER MORTGAGE LOAN TRUST                                                                  | WINWATER MORTGAGE LOAN TRUST 2014 1                | CUSIP: 97652PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91766 | PA      | $87861.36     | 0.30%             | 2044-06-20      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H9WZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130390 | PA      | $132231.54    | 0.45%             | 2045-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                                      | ANGEL OAK MORTGAGE TRUST                           | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23137 | PA      | $22780.29     | 0.08%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       388 | PA      | $386.83       | 0.00%             | 2032-01-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | COUNTRYWIDE HOME LOANS                             | CUSIP: 12669FDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4843 | PA      | $4755.49      | 0.02%             | 2034-02-19      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                                  | MLCC MORTGAGE INVESTORS INC SERIES 2004            | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       406 | PA      | $384.27       | 0.00%             | 2034-02-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CREDIT SUISSE FIRST BOSTON MOTGAGE SECURITIES CO   | CUSIP: 2254W0KC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1718 | PA      | $1751.26      | 0.01%             | 2019-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST                                                                       | PNMAC GMSR ISSUER TRUST                            | CUSIP: 69354WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505703.35    | 1.73%             | 2029-03-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | COUNTRYWIDE HOME LOANS                             | CUSIP: 12669FY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57 | PA      | $57.25        | 0.00%             | 2024-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 313921DF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       322 | PA      | $331.02       | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GOVERNMENT NATIONAL MORTGAGE ASSOC                 | CUSIP: 36202CMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $2.39         | 0.00%             | 2026-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137AXGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11029 | PA      | $10896.37     | 0.04%             | 2042-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GINNIE MAE II POOL                                 | CUSIP: 36202KY58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        85 | PA      | $84.61        | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 2254W0BZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142846 | PA      | $145620.67    | 0.50%             | 2032-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)                                                | RESIDENTIAL ASSET SECURITIES CORP                  | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38901 | PA      | $24344.81     | 0.08%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WASHINGTON MUTUAL MORTGAGE PASS THOUGH CERTIFICAT  | CUSIP: 93363PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33433 | PA      | $29577.49     | 0.10%             | 2036-11-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST MALT                | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10367 | PA      | $10261.57     | 0.04%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GCK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1116 | PA      | $1112.71      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST                           | CUSIP: 46629CAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1076 | PA      | $837.01       | 0.00%             | 2036-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST                                                                | WILLIS ENGINE SECURITIZATION TRUST                 | CUSIP: 97064GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131926 | PA      | $120370.50    | 0.41%             | 2046-05-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                    | GINNIE MAE II POOL                                 | CUSIP: 36225CJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       680 | PA      | $682.24       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WASHINGTON MUTUAL                                  | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2157 | PA      | $2012.61      | 0.01%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                                                                        | TACO BELL FUNDING LLC                              | CUSIP: 87342RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656250 | PA      | $654831.12    | 2.24%             | 2046-05-25      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                                      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 38384GZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90006 | PA      | $91981.49     | 0.32%             | 2034-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31402VMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       788 | PA      | $795.62       | 0.00%             | 2033-09-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31392JAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6914 | PA      | $7188.16      | 0.02%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 02149FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14845 | PA      | $7510.02      | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RESIDENTIAL ACCREDIT LOANS INC                     | CUSIP: 76110HTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5554 | PA      | $4852.93      | 0.02%             | 2019-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGE TRUST                                                          | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004 13      | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9356 | PA      | $9209.87      | 0.03%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                                     | TOWD POINT MORTGAGE TRUST                          | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157376 | PA      | $153873.62    | 0.53%             | 2057-10-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434LV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3858 | PA      | $3860.73      | 0.01%             | 2034-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                                     | TOWD POINT MORTGAGE TRUST                          | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29283 | PA      | $28831.86     | 0.10%             | 2058-03-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| B.A.T CAPITAL CORPORATION                                                                     | BAT CAPITAL CORP                                   | CUSIP: 05526DBJ3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    606000 | PA      | $595626.64    | 2.04%             | 2026-09-06      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AJAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87339 | PA      | $83623.03     | 0.29%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                                           | BANKOF AMERICA MORTGAGE SECURITIES                 | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1852 | PA      | $1642.84      | 0.01%             | 2046-11-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| THE WESTERN UNION COMPANY                                                                     | WESTERN UNION CO THE                               | CUSIP: 959802AZ2<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $978121.74    | 3.35%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3137B2JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100898 | PA      | $99163.58     | 0.34%             | 2032-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MORTGAGE CORP                                                           | WASHINGTON MUTUAL MORTGAGE PASS THROUGH            | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176 | PA      | $181.89       | 0.00%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST                                                                  | SAXON ASSET SECURITIES TRUST                       | CUSIP: 805564PB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       538 | PA      | $529.66       | 0.00%             | 2033-12-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED                                          | RESIDENTIAL FUNDING MTG SEC                        | CUSIP: 76111XZR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3063 | PA      | $2338.68      | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10732 | PA      | $9184.26      | 0.03%             | 2035-04-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                                             | CITIGROUP MORTGAGE LOAN TRUST INC                  | CUSIP: 17307GGY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43176 | PA      | $43971.19     | 0.15%             | 2034-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                                                   | FEDERAL HOME LOAN BANK                             | CUSIP: 3130ALLW2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    250000 | PA      | $231223.66    | 0.79%             | 2029-03-29      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5724 | PA      | $5840.92      | 0.02%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.                                                     | RAAC SERIES 2007 SP1 TRUST                         | CUSIP: 74978AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3516 | PA      | $3515.26      | 0.01%             | 2037-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INCORPORATED                                                       | RESIDENTIAL ACCREDIT LOANS INC                     | CUSIP: 751151AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18338 | PA      | $7610.03      | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE GRANTOR TRUST                           | CUSIP: 31392A7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $169.13       | 0.00%             | 2031-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                                        | BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST        | CUSIP: 07384M4G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1421 | PA      | $1415.90      | 0.00%             | 2035-01-25      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12667FDB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5316 | PA      | $5464.59      | 0.02%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN BROTHERS HOLDINGS INC                                                                  | LEHMAN BROTHERS HOLDINGS                           | CUSIP: 52517P4C2<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $800.00       | 0.00%             | 2012-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                                     | DRIVEN BRANDS FUNDING LLC                          | CUSIP: 26208LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635447 | PA      | $623485.10    | 2.14%             | 2049-10-20      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AFJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119612 | PA      | $101066.14    | 0.35%             | 2042-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                                   | BANK OF AMERICA CORP                               | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134427.21    | 0.46%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION                                                       | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN           | CUSIP: 86359BGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       412 | PA      | $401.90       | 0.00%             | 2034-02-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE POOL                                    | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49 | PA      | $48.64        | 0.00%             | 2032-06-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO.                                                                          | EMERSON ELECTRIC CO                                | CUSIP: 291011BR4<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216915.29    | 0.74%             | 2031-12-21      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12667FX26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2003 | PA      | $1665.07      | 0.01%             | 2035-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136BPQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126756 | PA      | $129401.60    | 0.44%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WAMU MORTGAGE PASS THROUGH CERTIFICATES SERIES 200 | CUSIP: 93363EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5070 | PA      | $4405.19      | 0.02%             | 2036-09-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN ASSET-BACKED CERTIFICATES                                          | SOUNDVIEW HOME EQUITY LOAN TRUST                   | CUSIP: 83611MHM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33105 | PA      | $30440.82     | 0.10%             | 2035-05-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORPORATION                                                           | BANC OF AMERICA FUNDING 2004 B TRUST               | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3177 | PA      | $3101.19      | 0.01%             | 2034-11-20      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 362341WA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20044 | PA      | $6582.36      | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | COUNTRYWIDE HOME LOANS                             | CUSIP: 12669FJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2650 | PA      | $2497.42      | 0.01%             | 2034-02-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                                                   | FEDERAL HOME LOAN BANK                             | CUSIP: 3130AVWN8<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    300000 | PA      | $298979.29    | 1.02%             | 2030-05-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST                                                              | INDYMAC INDX MORTGAGE LOAN TRUST 2006 AR13         | CUSIP: 45661XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16404 | PA      | $10649.12     | 0.04%             | 2036-07-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST                                                                       | HOMEBANC MORTGAGE TRUST                            | CUSIP: 43739ECL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5873 | PA      | $5202.89      | 0.02%             | 2037-04-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORPORATION                                                 | FEDERAL FARM CREDIT BANK                           | CUSIP: 3133ENFB1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    350000 | PA      | $308771.38    | 1.06%             | 2031-05-23      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST                                                              | INDYMAC INDX MORTGAGE LOAN TRUST                   | CUSIP: 45660GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27586 | PA      | $17285.92     | 0.06%             | 2036-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FMMSR                                                                                         | FMC GMSR ISSUER TRUST                              | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503584.35    | 1.73%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST                                                              | INDYMAC INDX MORTGAGE LOAN TRUST                   | CUSIP: 45660NQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13304 | PA      | $12574.99     | 0.04%             | 2034-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.                                                     | RESIDENTIAL ASSET MORTGAGE PRODUCTS INC            | CUSIP: 760985JL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41321 | PA      | $40874.54     | 0.14%             | 2032-03-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS PHASE I SPONSOR LLC                                                        | NEW ECONOMY ASSETS PHASE 1 SPONSOR LLC             | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835000 | PA      | $759954.29    | 2.60%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31411FJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1500 | PA      | $1528.61      | 0.01%             | 2037-01-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                               | SBA TOWER TRUST                                    | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $577779.45    | 1.98%             | 2050-07-15      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171015 | PA      | $68097.78     | 0.23%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434A79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3765 | PA      | $2932.82      | 0.01%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST MALT                | CUSIP: 576434PB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1988 | PA      | $2061.23      | 0.01%             | 2034-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC                                                                | DEUTSCHE ALT A SECURITIES MLT                      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       747 | PA      | $619.39       | 0.00%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST                                                                          | PRIME MORTGAGE TRUST                               | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       549 | PA      | $543.90       | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434PX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5023 | PA      | $4891.95      | 0.02%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136G45Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $226156.88    | 0.77%             | 2028-10-27      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AE4V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45200 | PA      | $43364.14     | 0.15%             | 2042-06-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST                                                                 | FREMONT HOME LOAN TRUST                            | CUSIP: 35729PFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457984 | PA      | $303593.74    | 1.04%             | 2034-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FNMA                                               | CUSIP: 3136A1Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40805 | PA      | $38572.03     | 0.13%             | 2041-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                                  | MLCC MORTGAGE INVESTORS INC SERIES 2004            | CUSIP: 59020UGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4477 | PA      | $4394.86      | 0.02%             | 2034-07-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE WHOLE LOAN                                  | CUSIP: 31393T4J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215945 | PA      | $217427.32    | 0.75%             | 2033-11-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FREDDIE MAC                                        | CUSIP: 3137BCRG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228646 | PA      | $219784.05    | 0.75%             | 2036-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 22541SRP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13633 | PA      | $13245.66     | 0.05%             | 2034-11-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC                                                                | DEUTSCHE ALT A SECURITIES INC                      | CUSIP: 251510CG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       708 | PA      | $695.02       | 0.00%             | 2033-10-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| PHILADELPHIA PA AUTH FOR INDL DEV CITY SVC AGREEMENT REV                                      | PHILADELPHIA AUTHORITY FOR INDUSTRIAL DEVELOPMENT  | CUSIP: 71783DAD7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     70000 | PA      | $69640.71     | 0.24%             | 2026-04-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST 2006 A2                   | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1947 | PA      | $1690.74      | 0.01%             | 2036-04-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET SECURITIES CORPORATION                                                           | NOMURA ASSET ACCEPTANCE CORPORATION                | CUSIP: 65535VKX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126 | PA      | $126.26       | 0.00%             | 2035-03-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)                                                | RESIDENTIAL ASSET SECURITIES CORP                  | CUSIP: 76112HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40468 | PA      | $11241.26     | 0.04%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FREDDIE MAC                                        | CUSIP: 3128QGEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1319 | PA      | $1335.90      | 0.00%             | 2036-04-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212648 | PA      | $210935.41    | 0.72%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AMD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5954 | PA      | $5866.83      | 0.02%             | 2044-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN ASSET-BACKED CERTIFICATES                                          | SOUNDVIEW HOME LOAN TRUST 2005 OPT3                | CUSIP: 83611MGU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48927 | PA      | $48570.80     | 0.17%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106939 | PA      | $103735.32    | 0.36%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORPORATION                                                 | FEDERAL FARM CREDIT BANK                           | CUSIP: 3133ENLS7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    250000 | PA      | $216892.69    | 0.74%             | 2032-01-26      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                   | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137ASFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9139 | PA      | $8991.65      | 0.03%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCWEN RESIDENTIAL MBS CORPORATION                                                             | OCWEN RESIDENTIAL MBS CORP                         | CUSIP: 675748AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27269 | PA      | $16351.62     | 0.06%             | 2040-10-25      | Variable      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| CLI FUNDING LLC                                                                               | CLI FUNDING VIII LLC                               | CUSIP: 12565KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429863 | PA      | $389450.78    | 1.33%             | 2046-02-18      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TR                                                                     | MASTER ALTERNATIVE LOANS TRUST                     | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4644 | PA      | $4655.10      | 0.02%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136A5HW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2624 | PA      | $2612.51      | 0.01%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON CORPORATION                                                        | CS FIRST BOSTON MORTGAGE SECURITIES CORP           | CUSIP: 2254W0FJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10965 | PA      | $11286.08     | 0.04%             | 2033-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                                      | U S TREASURY NOTE                                  | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $399890.62    | 1.37%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I INC                                                      | MORGAN STANLEY MORTGAGE LOAN TRUST 2004 6AR        | CUSIP: 61748HBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1169 | PA      | $1123.19      | 0.00%             | 2034-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST                                                  | WELLS FARGO MORTGAGE BACKED SECURITIES 2021 2 TRUS | CUSIP: 949798AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125575 | PA      | $110359.54    | 0.38%             | 2051-06-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                                    | JP MORGAN MORTGAGE TRUST 2005 A1                   | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6543 | PA      | $6265.26      | 0.02%             | 2035-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST                                                                         | LEHMAN MORTGAGE TRUST                              | CUSIP: 52520MDP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8044 | PA      | $3779.85      | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                                       | GSR MORTGAGE LOAN TRUST                            | CUSIP: 36242DLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128445 | PA      | $124954.03    | 0.43%             | 2034-11-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                                         | WASHINGTON MUTUAL MORTGAGE PASS THROUGH CERT       | CUSIP: 92922FWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2957 | PA      | $2827.62      | 0.01%             | 2044-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 38378TQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    370997 | PA      | $334080.62    | 1.14%             | 2042-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                                                                  | TRUIST FINANCIAL CORP                              | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    800000 | PA      | $794867.92    | 2.72%             | 2199-12-31      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                                    | COUNTRYWIDE HOME LOANS                             | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5629 | PA      | $2634.62      | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT                                   | WASHINGTON MUTUAL MORTGAGE PASS THROUGH CERT       | CUSIP: 92922FX86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20445 | PA      | $18740.53     | 0.06%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                         | FANNIE MAE                                         | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $55.29        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)                                               | COUNTRYWIDE ALTERNATIVE LOAN TRUST                 | CUSIP: 12668AC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8020 | PA      | $5431.51      | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST                                                           | CITIGROUP MORTGAGE ALTERNATIVE LOAN TRUST          | CUSIP: 17309KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10849 | PA      | $9415.32      | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** Cavanal Hill Funds

**Signature:** Jerica Newbill

**Name of Signer:** Jerica Newbill

**Title:** Treasurer