# EDGAR Filing Document

**Accession Number:** 0001355064
**File Stem:** 0001752724-23-045559
**Filing Date:** 2023-2
**Character Count:** 219755
**Document Hash:** 57cfc82ad1ffe56566e7a4f9d1381f98
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-045559.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-045559

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MUTUAL FUND SERIES TRUST
- **CENTRAL INDEX KEY:** 0001355064
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21872
- **FILM NUMBER:** 23681014

**BUSINESS ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474
- **BUSINESS PHONE:** 631 549 1859

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CATALYST FUNDS
- **DATE OF NAME CHANGE:** 20060303

## Series and Classes Contracts Data

### Catalyst Enhanced Income Strategy Fund (Series ID: S000063591)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000206024 | Catalyst Enhanced Income Strategy Fund Class I | EIXIX           |
| C000206025 | Catalyst Enhanced Income Strategy Fund Class A | EIXAX           |
| C000206026 | Catalyst Enhanced Income Strategy Fund Class C | EIXCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MUTUAL FUND SERIES TRUST

- **b. Investment Company Act file number:** 811-21872

- **c. CIK number of Registrant:** 0001355064

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

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

  - **Street Address 1:** C/O GEMINI FUND SERVICES LLC

  - **City:** ELKHORN

  - **State:** NE

  - **Foreign country:** US

  - **Zip / Postal Code:** 68022

  - **Telephone number:** 631-470-2600

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

- **a. Name of Series:** Catalyst Enhanced Income Strategy Fund

- **b. EDGAR series identifier (if any):** S000063591

- **c. LEI of Series:** 549300TB16B3IVRO3396

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

- **a. Date of fiscal year-end:** 2023-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $497837417.84

**Total Liabilities:** $4384901.93

**Net Assets:** $493452515.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 158.87276200 | **1-Year:** 5957.89648800 | **5-Year:** 12304.45163500 | **10-Year:** 7418.23786400 | **30-Year:** 3924.93467300

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

- **3-Month:** 974.88724200 | **1-Year:** 7468.78774500 | **5-Year:** 30697.87239500 | **10-Year:** 55973.03644500 | **30-Year:** 17126.83449500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000206025 | -1.74%               | 0.14%                | 0.29%                |
| Class ID C000206026 | -1.80%               | 0.07%                | 0.23%                |
| Class ID C000206024 | -1.72%               | 0.16%                | 0.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-67779.70               | $-11518761.85                              |
| Month 2  | $-287915.22              | $-877841.38                                |
| Month 3  | $-3536014.98             | $2782290.24                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2006-AR2 3A1     | CUSIP: 65535VUS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11352059 | PA      | $2956979.88   | 0.60%             | 2036-04-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-8 M6        | CUSIP: 126673FA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573059 | PA      | $498025.37    | 0.10%             | 2034-08-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2004-7HE M1     | CUSIP: 881561FY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31535 | PA      | $27672.88     | 0.01%             | 2034-07-25      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2011-124 NS      | CUSIP: 3136A2F99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1020653 | PA      | $101487.26    | 0.02%             | 2041-12-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Citicorp Mtg Sec                                                 | CMSI 2007-7 1A2      | CUSIP: 173104AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380903 | PA      | $374170.53    | 0.08%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 1998-RF1 A      | CUSIP: 863572SK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1664808 | PA      | $1662774.09   | 0.34%             | 2027-04-15      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2002-A3 M1      | CUSIP: 589929B56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10217 | PA      | $9763.64      | 0.00%             | 2032-09-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-28CB A3   | CUSIP: 02147TAC0<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |    425662 | PA      | $242445.52    | 0.05%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-42 1A5    | CUSIP: 02148YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502645 | PA      | $304203.20    | 0.06%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2005-A4 A1      | CUSIP: 45660LHD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127222 | PA      | $71601.67     | 0.01%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Rali Ser 2006-Qs17                                               | RALI 2006-QS17 A4    | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83059 | PA      | $65790.25     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2004-1 1A1     | CUSIP: 17307GEW4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    337914 | PA      | $327136.26    | 0.07%             | 2031-02-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                              | STAR 2021-2 A3       | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254574 | PA      | $236765.04    | 0.05%             | 2065-05-25      | Floating      | 1.43%                 | Yes           |                  2 | On Loan: No      |
| ACE Secs 07-He5                                                  | ACE 2007-HE5 A2C     | CUSIP: 000797AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7724539 | PA      | $3161090.52   | 0.64%             | 2037-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2007-2 A3B       | CUSIP: 872227AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $99982.51     | 0.02%             | 2037-07-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2006-17 A6      | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100998 | PA      | $1423825.15   | 0.29%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2005-1 M2        | CUSIP: 45254NMS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1181814 | PA      | $1077751.08   | 0.22%             | 2035-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2013-42 PD       | CUSIP: 3136AEBZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     80813 | PA      | $66473.27     | 0.01%             | 2043-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-5 A4        | CUSIP: 872225AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20785000 | PA      | $3190796.80   | 0.65%             | 2036-11-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-SC1 1A2    | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700011 | PA      | $1371728.74   | 0.28%             | 2031-05-25      | Floating      | 9.30%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-177 MI      | CUSIP: 38383CGV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17667497 | PA      | $2368487.01   | 0.48%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2016-1 ST        | CUSIP: 38379TYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    245313 | PA      | $24561.88     | 0.00%             | 2046-01-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2017-1                                           | FSMT 2017-1 1A7      | CUSIP: 33850BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424726 | PA      | $379732.81    | 0.08%             | 2047-03-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Secs Mtg Ln Tr                                    | DBALT 2007-1 1A4A    | CUSIP: 25151YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3475397 | PA      | $3039463.71   | 0.62%             | 2037-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Corp              | JPMCC 2011-C3 C      | CUSIP: 46635TAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7005000 | PA      | $6547460.02   | 1.33%             | 2046-02-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Homebanc Mtg Trust                                               | HMBT 2004-2 A1       | CUSIP: 43739EAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123661 | PA      | $114487.58    | 0.02%             | 2034-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2015-3 DS        | CUSIP: 38379H8F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5773201 | PA      | $121126.96    | 0.02%             | 2041-11-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2022-69 QI       | CUSIP: 38383P2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11706869 | PA      | $1685637.01   | 0.34%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1999-2 A       | CUSIP: 36228FCG9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    196504 | PA      | $191251.53    | 0.04%             | 2027-09-19      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2007-J2 1A1     | CUSIP: 12545EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298995 | PA      | $255408.85    | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4205 AI          | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    295652 | PA      | $12907.79     | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ubs-Barclays Commercial Mortgage Trust 2012-C2                   | UBSBB 2012-C2 D      | CUSIP: 90269CAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7767000 | PA      | $1179613.13   | 0.24%             | 2063-05-10      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2017-38 S        | CUSIP: 3136AWJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    708591 | PA      | $78242.32     | 0.02%             | 2047-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Gsrpm Mtg Ln 07-1                                                | GSRPM 2007-1 A       | CUSIP: 362707AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2622272 | PA      | $2219851.83   | 0.45%             | 2046-10-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSR 2006-2F 2A1      | CUSIP: 362334BN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    437791 | PA      | $385668.85    | 0.08%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                 | INDA 2006-AR1 A3     | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573195 | PA      | $453110.00    | 0.09%             | 2036-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2003-1 M1       | CUSIP: 22541NZD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250593 | PA      | $245349.59    | 0.05%             | 2033-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB 2013-C14 C     | CUSIP: 46640LAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3880000 | PA      | $3645761.30   | 0.74%             | 2046-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2004-2F 6A1      | CUSIP: 36229RLK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47413 | PA      | $47660.17     | 0.01%             | 2034-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2007-7AX 2A4     | CUSIP: 61754HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7146801 | PA      | $291879.64    | 0.06%             | 2037-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                | INHEL 2004-C M3      | CUSIP: 456606FW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313129 | PA      | $268967.03    | 0.05%             | 2035-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank Of America Merrill Lynch Trust               | MSBAM 2016-C31 D     | CUSIP: 61766RAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2309262.20   | 0.47%             | 2049-11-15      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2006-SD3 21A1  | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35689 | PA      | $35223.10     | 0.01%             | 2036-07-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2006-2 1A4     | CUSIP: 93934FLU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    686578 | PA      | $627600.66    | 0.13%             | 2036-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Wamu A/Bkd 07-He1                                                | WMHE 2007-HE1 1A     | CUSIP: 933631AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461044 | PA      | $395171.08    | 0.08%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-43 4A3    | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2452177 | PA      | $2006563.28   | 0.41%             | 2035-10-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-SD4 A1    | CUSIP: 073879MC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74711 | PA      | $70179.86     | 0.01%             | 2044-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-20CB A7   | CUSIP: 02147MAG6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |   6234053 | PA      | $582208.83    | 0.12%             | 2036-07-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A4 1A6    | CUSIP: 12566VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140338 | PA      | $125397.36    | 0.03%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | LBMLT 2002-1 M3      | CUSIP: 542514CA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    918049 | PA      | $891090.27    | 0.18%             | 2032-05-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-FR3 M2    | CUSIP: 073879KR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214443 | PA      | $209721.54    | 0.04%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wfrbs Coml Mtg Tr                                                | WFRBS 2014-C22 E     | CUSIP: 92890KAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $1882677.00   | 0.38%             | 2057-09-15      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSR 2006-3F 2A7      | CUSIP: 362334JV7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    276465 | PA      | $251409.00    | 0.05%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ML Alt Nt Asset Tr                                               | MANA 2007-A2 A3D     | CUSIP: 59024FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685659 | PA      | $30894.57     | 0.01%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2007-A1 5A4    | CUSIP: 46630GAU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313903 | PA      | $294601.90    | 0.06%             | 2035-07-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-SD2 B1      | CUSIP: 1266717A8<br>LEI: 549300I38TM1UFUB6822 | Long             | ABS-O            | CORP              | US        |   1412854 | PA      | $1370189.71   | 0.28%             | 2032-08-25      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                  | NHEL 2004-1 M3       | CUSIP: 66987XEC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792766 | PA      | $777419.67    | 0.16%             | 2034-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-21 A2      | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999809 | PA      | $616630.37    | 0.12%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2005-4 CB11    | CUSIP: 9393366F5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224057 | PA      | $202713.98    | 0.04%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2010-R8 1A4     | CUSIP: 05956GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344161 | PA      | $238425.05    | 0.05%             | 2036-05-26      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-5 3A1      | CUSIP: 12637VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1864435 | PA      | $425447.91    | 0.09%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2004-3 4A10    | CUSIP: 55265K8A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801293 | PA      | $722129.49    | 0.15%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mtg Se 3                                               | TMST 2006-3 A1       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5707298 | PA      | $3879838.19   | 0.79%             | 2046-06-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                        | OBX 2021-NQM1 A1     | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452568 | PA      | $370508.93    | 0.08%             | 2066-02-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-34 MI       | CUSIP: 3136BHWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8907071 | PA      | $1250989.16   | 0.25%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust 2007-2                            | ARMT 2007-3 2A1      | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1621205 | PA      | $1154993.55   | 0.23%             | 2037-11-25      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-29T1 2A5  | CUSIP: 02147PAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439014 | PA      | $889387.88    | 0.18%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSFB 2005-10 6A3     | CUSIP: 225470EQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220569 | PA      | $107265.30    | 0.02%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAA 2005-12 AF3     | CUSIP: 362341SR1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    481824 | PA      | $325845.53    | 0.07%             | 2035-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2005-5 2A3      | CUSIP: 576434S96<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197312 | PA      | $185268.64    | 0.04%             | 2025-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-J13 2A4   | CUSIP: 12668AC78<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826516 | PA      | $592329.78    | 0.12%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-9 1A2       | CUSIP: 45254NKY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293859 | PA      | $266432.20    | 0.05%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2006-AR5 1A1   | CUSIP: 94983RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1493374 | PA      | $1405662.07   | 0.28%             | 2036-04-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                     | MSC 2006-T21 C       | CUSIP: 617451CW7<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-O            | CORP              | US        |   2740000 | PA      | $2703097.41   | 0.55%             | 2052-10-12      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-18 AF5B    | CUSIP: 3622ELAY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1655000 | PA      | $96265.56     | 0.02%             | 2036-11-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                | INHEL 2003-A AV2     | CUSIP: 456606EB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113886 | PA      | $112644.52    | 0.02%             | 2033-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2007-2A M1      | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1513222 | PA      | $1305345.45   | 0.26%             | 2037-07-25      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Spclty Undrw & Res                                               | SURF 2006-BC5 A2C    | CUSIP: 84751NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1216934 | PA      | $698364.40    | 0.14%             | 2037-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2004-2 B1        | CUSIP: 61913PAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306472 | PA      | $292674.88    | 0.06%             | 2034-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-6F 1A2      | CUSIP: 36228F2E5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     45394 | PA      | $43014.25     | 0.01%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RES Asst Sec 08-A8                                               | RAST 2007-A8 3A1     | CUSIP: 761128AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2377945 | PA      | $1456740.81   | 0.30%             | 2037-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2006-4CB 2A3   | CUSIP: 12668BPX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171505 | PA      | $134345.35    | 0.03%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                      | FFML 2003-FF5 M3     | CUSIP: 32027NFF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280256 | PA      | $259004.57    | 0.05%             | 2034-03-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C14                         | WFRBS 2013-C14 D     | CUSIP: 92890PBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5419488.00   | 1.10%             | 2046-06-15      | Floating      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2007-A3 1A1    | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462763 | PA      | $400495.59    | 0.08%             | 2037-05-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2007-A9 A3      | CUSIP: 761143AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1346675 | PA      | $543767.54    | 0.11%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-HE6 M2    | CUSIP: 073879CV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    777630 | PA      | $768587.14    | 0.16%             | 2034-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg Tst                                                | BOAMS 2007-2 A6      | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208199 | PA      | $157877.78    | 0.03%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4239 NI          | CUSIP: 3137B4AG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5250294 | PA      | $847460.95    | 0.17%             | 2043-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust                                        | GSMS 2011-GC5 C      | CUSIP: 36191YAJ7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   3880529 | PA      | $2968129.32   | 0.60%             | 2044-08-10      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-64CB 1A15 | CUSIP: 12668AA21<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1696060 | PA      | $1492319.88   | 0.30%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                               | RAMC 2005-2 AF4      | CUSIP: 75970NAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60219 | PA      | $58314.35     | 0.01%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2009-6 8A2     | CUSIP: 17315JAR3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     37264 | PA      | $37724.46     | 0.01%             | 2023-01-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Ucfc Funding Corp                                                | UCFCM 1998-1 M       | CUSIP: 90263ABS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783323 | PA      | $732831.38    | 0.15%             | 2029-07-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-6 AF4      | CUSIP: 362334MF8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    202673 | PA      | $61588.93     | 0.01%             | 2036-03-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2006-2 3A2     | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65847 | PA      | $57702.30     | 0.01%             | 2036-07-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-80 IA       | CUSIP: 3136BJUS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  14385579 | PA      | $1900018.51   | 0.39%             | 2051-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mtg Ln                               | BAYV 2007-A 2A       | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    583766 | PA      | $517170.52    | 0.10%             | 2037-05-28      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2018-28 ID       | CUSIP: 3136B1P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  19145869 | PA      | $873256.49    | 0.18%             | 2048-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wamu Wmalt 07-0c1                                                | WMALT 2007-4 1A1     | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237421 | PA      | $216844.37    | 0.04%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4580 MI          | CUSIP: 3137BPN70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    876390 | PA      | $34526.10     | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chaseflex Trust Series 2006-1                                    | CFLX 2006-1 A4       | CUSIP: 16165LAF7<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-O            | CORP              | US        |     99857 | PA      | $83408.01     | 0.02%             | 2036-06-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series Trust                                               | RFMSI 2006-SA4 2A1   | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1621945 | PA      | $1343756.32   | 0.27%             | 2036-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | HEAT 2003-3 M2       | CUSIP: 22541N3T4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44563 | PA      | $42472.82     | 0.01%             | 2033-08-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2005-AR18 2A1   | CUSIP: 92922F8Q4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75459 | PA      | $66593.45     | 0.01%             | 2036-01-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                               | JPALT 2006-S1 1A11   | CUSIP: 46627MEH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255044 | PA      | $143650.94    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-2 2A4       | CUSIP: 61748HVL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290672 | PA      | $257058.12    | 0.05%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2007-1 AF3      | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10873252 | PA      | $3288099.63   | 0.67%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2005-AR3 3A1    | CUSIP: 45660LFK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157459 | PA      | $147838.38    | 0.03%             | 2035-04-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4672 AI          | CUSIP: 3137BXJJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    524844 | PA      | $19055.50     | 0.00%             | 2045-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2006-QO3 A2     | CUSIP: 761118WQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2563837 | PA      | $782823.33    | 0.16%             | 2046-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                               | RASC 2003-KS11 MII2  | CUSIP: 76110WVW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747374 | PA      | $730353.50    | 0.15%             | 2034-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Csail Commercial Mortgage Trust                                  | CSAIL 2015-C1 D      | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $1861482.15   | 0.38%             | 2050-04-15      | Floating      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                  | RMLT 2020-1 A1       | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1959564 | PA      | $1874237.34   | 0.38%             | 2024-02-25      | Floating      | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Strctrd Asset Invt                                               | SAIL 2004-11 M2      | CUSIP: 86358EPR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645730 | PA      | $582018.75    | 0.12%             | 2035-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Altern Ln Tr 23cb                                                | CWALT 2007-23CB A5   | CUSIP: 02151EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1985395 | PA      | $1194709.73   | 0.24%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-5 1A10     | CUSIP: 05946XE41<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139873 | PA      | $134049.53    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-17XS A3B    | CUSIP: 61751DAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5243857 | PA      | $263033.44    | 0.05%             | 2046-10-25      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                              | TMST 2006-4 A2B      | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11489 | PA      | $9494.73      | 0.00%             | 2036-07-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Banc America Funding 2006-5 Trust                                | BAFC 2006-5 4A8      | CUSIP: 05950NBR8<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     63746 | PA      | $51735.58     | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                               | RASC 2004-KS10 M4    | CUSIP: 76110WG67<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254492 | PA      | $226085.68    | 0.05%             | 2034-11-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                  | BRAVO 2021-NQM2 A2   | CUSIP: 10569EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421985 | PA      | $397568.35    | 0.08%             | 2060-03-25      | Floating      | 1.28%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Asset Trust                                          | HEAT 2004-5 M6       | CUSIP: 437084EB8<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |   2769518 | PA      | $2661888.35   | 0.54%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-4 3CB4     | CUSIP: 05950AAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220831 | PA      | $188924.35    | 0.04%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ixis Real Estate                                                 | IXIS 2006-HE2 A3     | CUSIP: 46602WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409624 | PA      | $116314.82    | 0.02%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2003-SD2 B1    | CUSIP: 07384YLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477507 | PA      | $418633.64    | 0.08%             | 2043-06-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                   | CHASE 2006-S2 1A19   | CUSIP: 16163BAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471126 | PA      | $208495.64    | 0.04%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alter                                                | WFALT 2007-PA3 3A6   | CUSIP: 94985GBE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3676692 | PA      | $3127744.08   | 0.63%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2004-A7 A2      | CUSIP: 45660NU94<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295030 | PA      | $269773.94    | 0.05%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2006-3 2A3      | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2834465 | PA      | $1013763.83   | 0.21%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2019-37 CI       | CUSIP: 3136B44E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    929978 | PA      | $213269.44    | 0.04%             | 2048-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSFB 2005-10 3A3     | CUSIP: 225470DY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1362620 | PA      | $780259.46    | 0.16%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | LMT 2007-9 1A1       | CUSIP: 52522XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11318 | PA      | $14927.54     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-64CB 1A3  | CUSIP: 12668AZN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691407 | PA      | $614961.06    | 0.12%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                         | COLT 2020-3 A3       | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344663 | PA      | $324240.50    | 0.07%             | 2065-04-27      | Floating      | 2.38%                 | Yes           |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                               | CBASS 2007-CB1 AF1B  | CUSIP: 1248MGAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4010667 | PA      | $1283052.52   | 0.26%             | 2037-01-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2005-6 3A1      | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109392 | PA      | $77108.10     | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                                | CARR 2006-NC3 A3     | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964043 | PA      | $905929.99    | 0.18%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-7 4A7       | CUSIP: 61749JAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656838 | PA      | $366997.44    | 0.07%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2007-2 A2B       | CUSIP: 872227AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1963000 | PA      | $131327.06    | 0.03%             | 2037-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-A3 2A1    | CUSIP: 466247CW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5575 | PA      | $5308.41      | 0.00%             | 2034-07-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2004-5 1A1      | CUSIP: 576434RF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7109 | PA      | $6842.87      | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW Century Altern                                               | NCAMT 2006-ALT2 AF6B | CUSIP: 643529AU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2208000 | PA      | $132396.76    | 0.03%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2007-2 A6B       | CUSIP: 872227AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3295120 | PA      | $217248.25    | 0.04%             | 2037-07-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR3 6A1     | CUSIP: 36242D4W0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   3088697 | PA      | $2581705.05   | 0.52%             | 2035-05-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-6 A2A       | CUSIP: 87222PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    609824 | PA      | $161079.22    | 0.03%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bayview Fin T 07-B                                               | BAYV 2007-B 2A3      | CUSIP: 07324FAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2967985 | PA      | $996573.37    | 0.20%             | 2047-08-28      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Ramp Ser 2007-Rs1                                                | RAMP 2007-RS1 A3     | CUSIP: 74923RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2034195 | PA      | $528036.40    | 0.11%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bayview Coml Trust                                               | BAYC 2006-SP1 B1     | CUSIP: 07324MAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2841000 | PA      | $2724944.87   | 0.55%             | 2036-04-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2004-ECC2 M2     | CUSIP: 126673CR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185552 | PA      | $182497.81    | 0.04%             | 2034-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5050 GL          | CUSIP: 3137F7P58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    399000 | PA      | $191060.87    | 0.04%             | 2050-12-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-2 M2      | CUSIP: 073879HA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915923 | PA      | $897452.44    | 0.18%             | 2034-08-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2018-154 DI      | CUSIP: 38381AYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    590465 | PA      | $37296.50     | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rali Ser 06-Qs5 Tr                                               | RALI 2006-QS5 A6     | CUSIP: 75114TAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1339504 | PA      | $1074730.21   | 0.22%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-6 2A8      | CUSIP: 059487AW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353407 | PA      | $284348.39    | 0.06%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 1998-1 1A1       | CUSIP: 00105HDH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75432 | PA      | $74832.67     | 0.02%             | 2028-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-45 JI       | CUSIP: 3136BHV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7913236 | PA      | $1252198.41   | 0.25%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Csail Commercial Mortgage Trust                                  | CSAIL 2015-C2 D      | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-O            | CORP              | US        |   4177000 | PA      | $3017162.80   | 0.61%             | 2057-06-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Bayview Fin T 07-B                                               | BAYV 2007-B 2A4      | CUSIP: 07324FAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    971900 | PA      | $326351.29    | 0.07%             | 2047-08-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                 | MSAC 2004-NC8 M4     | CUSIP: 61744CHS8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    166598 | PA      | $164967.27    | 0.03%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-226 HL      | CUSIP: 38383FBK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1705801 | PA      | $1046216.54   | 0.21%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Chec Loan Trust                                                  | CHEC 2004-2 M1       | CUSIP: 162765AT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180852 | PA      | $176274.45    | 0.04%             | 2034-06-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust                                     | MMLT 2004-1 M1       | CUSIP: 59001FAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397331 | PA      | $380301.79    | 0.08%             | 2034-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2003-OPT2 M4    | CUSIP: 57643LBJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952123 | PA      | $764129.33    | 0.15%             | 2033-05-25      | Floating      | 10.16%                | No            |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                               | CBASS 2007-CB1 AF6   | CUSIP: 1248MGAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3491713 | PA      | $1117512.98   | 0.23%             | 2037-01-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 TRUST                                              | OBX 2022-NQM7 A3     | CUSIP: 67117DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720226 | PA      | $694465.32    | 0.14%             | 2062-08-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Bayview Finl Secs                                                | BAYV 2005-C M4       | CUSIP: 07325NBS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1470902.10   | 0.30%             | 2044-06-28      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2005-AR5 2A1     | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999432 | PA      | $609308.15    | 0.12%             | 2035-10-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4103 DS          | CUSIP: 3137AUA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     79012 | PA      | $290.30       | 0.00%             | 2040-09-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D | INABS 2006-D 2A3     | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92214 | PA      | $78953.45     | 0.02%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-HYB2 1A4   | CUSIP: 12669GZP9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |     84920 | PA      | $79105.01     | 0.02%             | 2035-05-20      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9    | JPMCC 2012-LC9 C     | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $132824.06    | 0.03%             | 2047-12-15      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Banc Amer Fdg 07-A                                               | BAFC 2007-A 2A2      | CUSIP: 05952DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150151 | PA      | $127084.21    | 0.03%             | 2047-02-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Fdg Ii                                               | RFMS2 2006-HSA2 AI3  | CUSIP: 76110VTP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3972085 | PA      | $235560.92    | 0.05%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2011-C2                           | MSC 2012-C4 E        | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3100408.80   | 0.63%             | 2045-03-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-15 AF6     | CUSIP: 3622E8AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1623849 | PA      | $465863.19    | 0.09%             | 2036-09-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                     | MARP 2005-1 1A5      | CUSIP: 576436AV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794879 | PA      | $670710.19    | 0.14%             | 2034-08-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                   | CHASE 2005-S2 A1     | CUSIP: 16162WLM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189761 | PA      | $178409.15    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2006-A13 A1     | CUSIP: 76113HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894783 | PA      | $341387.54    | 0.07%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Coml Mtg Tr 2018                                       | CGCMT 2015-GC35 D    | CUSIP: 17324KAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4565000 | PA      | $3036672.69   | 0.62%             | 2048-11-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Abfc 2006-He1 Tr                                                 | ABFC 2006-HE1 A2D    | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1878782 | PA      | $1117995.06   | 0.23%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| J P Morgan Mtg Acquisition Tr                                    | JPMAC 2007-CH2 AF3   | CUSIP: 46630MAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128080 | PA      | $71110.28     | 0.01%             | 2030-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-3CB 2A1   | CUSIP: 12667FY58<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243513 | PA      | $224456.20    | 0.05%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-FR3 M5    | CUSIP: 073879KU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412395 | PA      | $361227.28    | 0.07%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-6 2A10     | CUSIP: 059487AY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490153 | PA      | $394373.18    | 0.08%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gsamp Tr 2007-Fm2                                                | GSAMP 2007-FM2 A2A   | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280804 | PA      | $170663.89    | 0.03%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2006-2 1A1      | CUSIP: 576438AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195315 | PA      | $179909.72    | 0.04%             | 2036-04-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2007-A5 2A5     | CUSIP: 76114HAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257809 | PA      | $732355.52    | 0.15%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                        | ABFC 2004-OPT4 M2    | CUSIP: 04542BHE5<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |   1955532 | PA      | $1821874.94   | 0.37%             | 2033-12-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2006-WMC2 A5    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5444709 | PA      | $1462261.63   | 0.30%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-11CB 2A1  | CUSIP: 12667GJD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405113 | PA      | $330246.80    | 0.07%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW Century Altern                                               | NCAMT 2006-ALT1 AF2  | CUSIP: 643528AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1701741 | PA      | $404705.26    | 0.08%             | 2036-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Suntrust Alt Loan                                                | STALT 2006-1F 2A     | CUSIP: 86800RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180033 | PA      | $506335.61    | 0.10%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A6 1A2    | CUSIP: 466247TM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149478 | PA      | $137632.57    | 0.03%             | 2035-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alt Loan                                               | JPALT 2005-S1 1A6    | CUSIP: 46627MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371253 | PA      | $587799.00    | 0.12%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2006-AR5 2A4A  | CUSIP: 17309FAX6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    395479 | PA      | $418225.58    | 0.08%             | 2036-07-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2005-5 3A2A    | CUSIP: 17307GZG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776902 | PA      | $467205.51    | 0.09%             | 2035-10-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-65CB 1A13 | CUSIP: 12668AY74<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    449191 | PA      | $322030.93    | 0.07%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2022-NQM5                           | IMPRL 2022-NQM5 A3   | CUSIP: 45276QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1914329 | PA      | $1885256.49   | 0.38%             | 2067-08-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2002-AR1 M2     | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73969 | PA      | $63120.59     | 0.01%             | 2032-09-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 1999-B A4        | CUSIP: 09774XBE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1420764 | PA      | $212157.63    | 0.04%             | 2029-12-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding Llc                                          | CCMFC 2004-1A A2     | CUSIP: 16678RAT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108688 | PA      | $101082.15    | 0.02%             | 2035-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11      | ARMT 2005-12 5A1     | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4338620 | PA      | $1268592.97   | 0.26%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Rfmsi Series 2007-S6 Trust                                       | RFMSI 2007-S6 1A16   | CUSIP: 762009AR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197692 | PA      | $147547.15    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2007-12T1 A3   | CUSIP: 02150LAC1<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    668213 | PA      | $333166.31    | 0.07%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2007-6 1A1A    | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333272 | PA      | $275845.25    | 0.06%             | 2037-03-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Inc                                     | MSC 2006-HQ10 B      | CUSIP: 61750HAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2626409 | PA      | $2431525.11   | 0.49%             | 2041-11-12      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-83 EI       | CUSIP: 38382QSA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3901088 | PA      | $546667.31    | 0.11%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GSMS 2013-GC13 C     | CUSIP: 36198EAY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360000 | PA      | $316829.05    | 0.06%             | 2046-07-10      | Floating      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | GMACM 2005-AR1 4A    | CUSIP: 76112BKP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48581 | PA      | $47094.52     | 0.01%             | 2035-03-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                 | EQABS 2003-1 M1      | CUSIP: 294751BX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185603 | PA      | $180935.35    | 0.04%             | 2033-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-24 IH       | CUSIP: 38382NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18264093 | PA      | $2271925.26   | 0.46%             | 2050-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                  | NHEL 2004-1 M4       | CUSIP: 66987XED3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167479 | PA      | $157926.85    | 0.03%             | 2034-06-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-HYB6 A3    | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649370 | PA      | $600247.11    | 0.12%             | 2034-11-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2007-S1 2A10   | CUSIP: 46630RAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223818 | PA      | $101145.06    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2005-AP3 A3      | CUSIP: 65535VPD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1252589 | PA      | $642730.49    | 0.13%             | 2035-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Park Pl Secs Inc                                                 | PPSI 2004-WCW2 M6    | CUSIP: 70069FBC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3173453 | PA      | $2696631.46   | 0.55%             | 2034-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-156 QI      | CUSIP: 38383APF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7378988 | PA      | $911858.50    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-18 AF4B    | CUSIP: 3622ELAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427020 | PA      | $83085.81     | 0.02%             | 2036-11-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Coml Mtg Tr 2018                                       | CGCMT 2015-GC35 C    | CUSIP: 17324KAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4383657.50   | 0.89%             | 2048-11-10      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2007-HY3 1A1    | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753553 | PA      | $588366.28    | 0.12%             | 2037-03-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                            | CWL 2006-11 1AF5     | CUSIP: 12666TAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310820 | PA      | $231466.73    | 0.05%             | 2046-09-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2005-AR5 4A1    | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129076 | PA      | $92927.33     | 0.02%             | 2035-05-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-9 M2        | CUSIP: 45254NLC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    771136 | PA      | $704820.00    | 0.14%             | 2035-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2007-A7 A6      | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361374 | PA      | $146384.28    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mtg Inv Trust                                      | MLMI 2006-RM2 A1B    | CUSIP: 590216AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  44650621 | PA      | $1860828.01   | 0.38%             | 2037-05-25      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                               | SARM 2005-7 3A1      | CUSIP: 863579PK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166190 | PA      | $159153.28    | 0.03%             | 2035-04-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2004-14 3A2      | CUSIP: 36242DPG2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     47368 | PA      | $42455.96     | 0.01%             | 2034-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                    | CXHE 2002-A AF6      | CUSIP: 152314EL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10580 | PA      | $10363.23     | 0.00%             | 2032-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2006-A8 2A2     | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600078 | PA      | $202740.78    | 0.04%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-41 BI       | CUSIP: 38382PAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10326497 | PA      | $1409618.54   | 0.29%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                               | RASC 2004-KS10 M3    | CUSIP: 76110WG59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497522 | PA      | $466369.27    | 0.09%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2020-33 AI       | CUSIP: 38382DVW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15930699 | PA      | $2434561.30   | 0.49%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2004-4 4A1      | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27808 | PA      | $25962.85     | 0.01%             | 2034-05-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                   | CHASE 2006-S3 1A6    | CUSIP: 16162XAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318308 | PA      | $145118.48    | 0.03%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2004-HE1 B1     | CUSIP: 61746REZ0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |     58606 | PA      | $56949.74     | 0.01%             | 2034-01-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2005-AA6 2A1   | CUSIP: 32051GPY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9633 | PA      | $7649.39      | 0.00%             | 2035-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 3980 TS          | CUSIP: 3137AKM57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    184690 | PA      | $19183.78     | 0.00%             | 2041-09-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust           | JPMCC 2012-WLDN A    | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2798174 | PA      | $2250567.69   | 0.46%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHAMS 2004-AA3 A1    | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59055 | PA      | $53334.00     | 0.01%             | 2034-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-24 A36     | CUSIP: 126694LC0<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    288004 | PA      | $164933.10    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5       | MSBAM 2012-CKSV A2   | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1951289 | PA      | $1591181.50   | 0.32%             | 2030-10-15      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | CBASS 2004-CB8 M3    | CUSIP: 59020UPT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1727392 | PA      | $1548491.20   | 0.31%             | 2035-12-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Finance America Mt                                               | FINA 2004-3 M4       | CUSIP: 317350BW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246381 | PA      | $207189.47    | 0.04%             | 2034-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMS 2018-SRP5 A     | CUSIP: 36255TAA0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   6329374 | PA      | $5331571.36   | 1.08%             | 2031-09-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2005-6HE M6     | CUSIP: 881561RE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3018137 | PA      | $2739126.26   | 0.56%             | 2036-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2005-A11 2A1    | CUSIP: 45660LA41<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6382135 | PA      | $2877315.33   | 0.58%             | 2035-10-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                  | NHEL 2003-1 M1       | CUSIP: 66987XCF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351509 | PA      | $321251.66    | 0.07%             | 2033-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD           | FHR 4680 LI          | CUSIP: 3137BYA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    221633 | PA      | $7783.12      | 0.00%             | 2043-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services Inc                                 | GECMS 1998-HE2 A6    | CUSIP: 36157RHU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116651 | PA      | $110890.87    | 0.02%             | 2028-09-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2006-AF2 AF1    | CUSIP: 59023NAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284205 | PA      | $137724.37    | 0.03%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2004-NC5 M1     | CUSIP: 61746RFV8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    211533 | PA      | $197029.99    | 0.04%             | 2034-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Resid Asset Secur                                                | RAST 2006-A6 1A13    | CUSIP: 76113FAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3674618 | PA      | $1091750.04   | 0.22%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2004-2 M6       | CUSIP: 35729PEJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167612 | PA      | $138974.03    | 0.03%             | 2034-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2005-12 13A1   | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85250 | PA      | $63833.37     | 0.01%             | 2036-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-Pa2 Trust                      | WFALT 2007-PA2 2A1   | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40163 | PA      | $32543.47     | 0.01%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                              | TMST 2007-3 3A1      | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328940 | PA      | $270623.58    | 0.05%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Bombardier Cap Mtg                                               | BCM 2000-A A4        | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1611849 | PA      | $256140.78    | 0.05%             | 2030-06-15      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-20 IA       | CUSIP: 3136B9JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    741369 | PA      | $98019.32     | 0.02%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-89 JL       | CUSIP: 38382QYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    290582 | PA      | $158478.13    | 0.03%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A1 1A5    | CUSIP: 12566QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1113393 | PA      | $984545.31    | 0.20%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Ln Ob Tr                                               | HALO 2007-2 3A6      | CUSIP: 40432BAZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473202 | PA      | $170159.53    | 0.03%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Resid Asset Secur                                                | RAST 2006-A6 1A1     | CUSIP: 76113FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741286 | PA      | $231390.89    | 0.05%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dsla Mortgage Loan Trust                                         | DSLA 2004-AR2 A2B    | CUSIP: 23332UAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497581 | PA      | $456586.34    | 0.09%             | 2044-11-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-45T1 2A5  | CUSIP: 02149JAU0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |   1657628 | PA      | $939223.60    | 0.19%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                          | BAYC 2007-6A A4A     | CUSIP: 07326FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11041952 | PA      | $9716973.39   | 1.97%             | 2037-12-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2006-2 AF5      | CUSIP: 759676AH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2062139 | PA      | $901290.15    | 0.18%             | 2036-08-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Banc Amer Alternative Loan Trust                                 | BOAA 2006-5 CB13     | CUSIP: 05950BAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271254 | PA      | $236051.79    | 0.05%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2004-KR1 MI     | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2924464 | PA      | $2853705.46   | 0.58%             | 2034-04-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-46CB A14  | CUSIP: 12667G7H0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910360 | PA      | $656949.15    | 0.13%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2018-154 SP      | CUSIP: 38381AUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5184435 | PA      | $503323.61    | 0.10%             | 2048-11-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | RAST 2006-A1 1A1     | CUSIP: 45660L6H7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485425 | PA      | $237944.56    | 0.05%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                | AFC 1998-2 2A        | CUSIP: 00105HDN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317431 | PA      | $306471.35    | 0.06%             | 2028-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2005-H 1A1      | CUSIP: 05946XG98<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    248560 | PA      | $232194.69    | 0.05%             | 2035-11-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                         | AOMT 2021-1 A1       | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3244443 | PA      | $2668529.25   | 0.54%             | 2066-01-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4100 JI          | CUSIP: 3137ASYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1006294 | PA      | $133991.02    | 0.03%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST AMERN FDS INC                                              | FRST AM-GV OB-U      | CUSIP: 31846V211<br>LEI: 549300J5J5SJCZ9IA369 | Long             | STIV             | RF                | US        |  17554252 | PA      | $17554251.56  | 3.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-5 3A3      | CUSIP: 12637VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570769 | PA      | $358435.86    | 0.07%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carrngtn Mtg Fre2                                                | CARR 2006-FRE2 A5    | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4514551 | PA      | $3682160.54   | 0.75%             | 2035-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg Tst                                                | BOAMS 2007-2 A1      | CUSIP: 05952FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2186486 | PA      | $1605528.09   | 0.33%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Indymac Imsc Mortg                                               | IMSC 2007-F2 1A4     | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2059058 | PA      | $1533601.44   | 0.31%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2007-1F 3A1      | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264694 | PA      | $181270.54    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5071 KI          | CUSIP: 3137F9RJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5083954 | PA      | $505045.06    | 0.10%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Alt 2006-J8                                                | CWALT 2006-J4 2A2    | CUSIP: 23242WAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1678930 | PA      | $1068981.54   | 0.22%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2005-3 2A4     | CUSIP: 17307GTM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159603 | PA      | $134128.48    | 0.03%             | 2035-08-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-2 6A        | CUSIP: 61748HVW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915020 | PA      | $459573.61    | 0.09%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2007-SEA1 2A4   | CUSIP: 61757MAF5<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |   8875000 | PA      | $849663.21    | 0.17%             | 2047-02-25      | Floating      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2007-A9 A7      | CUSIP: 761143AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1507344 | PA      | $608643.58    | 0.12%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2004-AP2 A5      | CUSIP: 65535VDB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479880 | PA      | $418882.85    | 0.08%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2007-HY3 4A1    | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    766860 | PA      | $744131.23    | 0.15%             | 2047-06-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-8                                | VERUS 2022-8 A2      | CUSIP: 924922AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239783 | PA      | $235942.03    | 0.05%             | 2067-10-25      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                   | OOMLT 2007-FXD2 2A6  | CUSIP: 68403BAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    699341 | PA      | $654858.35    | 0.13%             | 2037-03-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-3 3A        | CUSIP: 87804AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4633297 | PA      | $1216447.58   | 0.25%             | 2036-07-25      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2022-121 SA      | CUSIP: 38383UCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  49383356 | PA      | $809798.15    | 0.16%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2022-22 PS       | CUSIP: 38383MNY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18451592 | PA      | $493327.30    | 0.10%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RES Asst Sec 08-A8                                               | RAST 2007-A8 1A2     | CUSIP: 761128AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213523 | PA      | $128466.31    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2000-H 2B1     | CUSIP: 32051DCN0<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | ABS-O            | CORP              | US        |     27106 | PA      | $26444.06     | 0.01%             | 2030-05-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2003-46 6A1     | CUSIP: 12669E3F1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663036 | PA      | $615028.18    | 0.12%             | 2034-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-16CB A5   | CUSIP: 021460AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2648972 | PA      | $1587212.73   | 0.32%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                               | CBASS 2007-CB1 AF3   | CUSIP: 1248MGAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2658128 | PA      | $850937.87    | 0.17%             | 2037-01-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Carrington Mtg Ln                                                | CARR 2004-NC2 M1     | CUSIP: 144531AQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94448 | PA      | $86825.05     | 0.02%             | 2034-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| 1ST Horizon Mtg                                                  | FHASI 2007-AR3 2A2   | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245378 | PA      | $211504.03    | 0.04%             | 2037-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5071 IS          | CUSIP: 3137FFAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6374692 | PA      | $772364.00    | 0.16%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-S1 1A7    | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137977 | PA      | $140827.44    | 0.03%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHL MrtgPass Tst                                                 | CWHL 2007-8 1A4      | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323376 | PA      | $156399.19    | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2005-4 1M2       | CUSIP: 45254NPH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458141 | PA      | $414268.96    | 0.08%             | 2035-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2007-J2 2A5     | CUSIP: 12545EAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166873 | PA      | $70154.36     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                 | EQABS 2004-3 M2      | CUSIP: 294751FA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655785 | PA      | $547967.56    | 0.11%             | 2034-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-2 3A1       | CUSIP: 878048AG2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    164504 | PA      | $15604.77     | 0.00%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc Amer Mtg Tst                                                | BOAMS 2007-2 A3      | CUSIP: 05952FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615825 | PA      | $472296.44    | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-AR4 4A1     | CUSIP: 362341FP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112739 | PA      | $106561.41    | 0.02%             | 2035-07-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Cmalt Citimortgage                                               | CMALT 2007-A1 1A3    | CUSIP: 12566QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546323 | PA      | $483099.96    | 0.10%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2003-5 4A1      | CUSIP: 576433FG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10869 | PA      | $9633.52      | 0.00%             | 2033-11-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-HE7 M5    | CUSIP: 073879EY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111644 | PA      | $102521.51    | 0.02%             | 2034-08-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | BAFC 2004-3 1A11     | CUSIP: 05946XGZ0<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |      5538 | PA      | $5228.83      | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carrngtn Mtg Fre2                                                | CARR 2006-FRE2 A3    | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2451323 | PA      | $1999767.19   | 0.41%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2005-AR4 5A3     | CUSIP: 65535VNL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594815 | PA      | $295868.59    | 0.06%             | 2035-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                               | EFMT 2021-2 A1       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2066100 | PA      | $1602515.64   | 0.32%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Strctrd Asset Invt                                               | SAIL 2004-5 M5       | CUSIP: 86358EJJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202777 | PA      | $180890.27    | 0.04%             | 2034-05-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                  | LXS 2007-3 1BA2      | CUSIP: 525245AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413490 | PA      | $396157.93    | 0.08%             | 2037-03-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                      | DELHE 1998-1 B1A     | CUSIP: 24763LDN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430338 | PA      | $420213.37    | 0.09%             | 2030-05-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2006-A 2A1     | CUSIP: 05949CRS7<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    592278 | PA      | $529023.05    | 0.11%             | 2036-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | CGCMT 2014-GC21 E    | CUSIP: 17322MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6357126 | PA      | $5029616.33   | 1.02%             | 2047-05-10      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                               | SARM 2004-17 A1      | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181698 | PA      | $156318.64    | 0.03%             | 2034-11-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Financial Trust                                   | CHASE 2006-S4 A5     | CUSIP: 16162YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631365 | PA      | $309992.89    | 0.06%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-5 3A4      | CUSIP: 12637VAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664451 | PA      | $151621.84    | 0.03%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                | MASTR 2005-1 1A1     | CUSIP: 57643MKB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       351 | PA      | $158.04       | 0.00%             | 2020-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2006-A2 2A2    | CUSIP: 466247J53<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32831 | PA      | $28375.30     | 0.01%             | 2036-04-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32              | JPMBB 2015-C32 D     | CUSIP: 46590JBE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $532661.25    | 0.11%             | 2048-11-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2004-2 M1       | CUSIP: 251563DP4<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    101658 | PA      | $93256.49     | 0.02%             | 2034-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity                                               | NHELI 2006-AF1 A4    | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845284 | PA      | $191451.42    | 0.04%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2004-CB2 1A     | CUSIP: 92922FTW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26666 | PA      | $25901.41     | 0.01%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-18 AF3B    | CUSIP: 3622ELAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2076558 | PA      | $122116.15    | 0.02%             | 2036-11-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4314 SE          | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    413513 | PA      | $40641.58     | 0.01%             | 2044-03-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-A 1A1     | CUSIP: 05949AH52<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |    111545 | PA      | $95146.45     | 0.02%             | 2035-02-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2022-MH1                                  | CMHAT 2022-MH1 A     | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982746 | PA      | $864135.98    | 0.18%             | 2054-08-25      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2017-112 SC      | CUSIP: 3136B0QA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1024045 | PA      | $113059.50    | 0.02%             | 2048-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-86CB A4   | CUSIP: 12668BFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    567570 | PA      | $363823.40    | 0.07%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                          | AHM 2004-4 6A2       | CUSIP: 02660TCK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $6790032.00   | 1.38%             | 2045-02-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Indymac MBS Inc                                                  | INDX 2004-AR2 AX2    | CUSIP: 45660NG90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1088763 | PA      | $856462.25    | 0.17%             | 2034-06-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWL 2005-17 1AF4     | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460577 | PA      | $370367.11    | 0.08%             | 2036-05-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                           | BSARM 2004-7 1A1     | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93264 | PA      | $78967.75     | 0.02%             | 2034-10-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Mastr Reperforming                                               | MARP 2006-2 1A1      | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7322321 | PA      | $5876786.98   | 1.19%             | 2036-05-25      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                     | SAST 2000-1 BF1      | CUSIP: 805564FL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668014 | PA      | $726951.63    | 0.15%             | 2030-02-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4226 IM          | CUSIP: 3137B3FK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4623510 | PA      | $147702.65    | 0.03%             | 2031-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-29 7A1     | CUSIP: 22541Q4D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33192 | PA      | $30842.45     | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                        | RAMP 2004-SL1 A8     | CUSIP: 760985W98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    556694 | PA      | $498292.06    | 0.10%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-56 IM       | CUSIP: 3136BGK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3040476 | PA      | $106254.60    | 0.02%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-25 PI       | CUSIP: 3136B9LD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4103784 | PA      | $708830.26    | 0.14%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5       | MSBAM 2012-CKSV C    | CUSIP: 553514AL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $170686.73    | 0.03%             | 2030-10-15      | Floating      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | FHLT 2006-B 2A4      | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385756 | PA      | $827204.72    | 0.17%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-7 9A5      | CUSIP: 22942KCB4<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |   3002923 | PA      | $617294.28    | 0.13%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSMC 2006-3 5A7      | CUSIP: 225470R21<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4842627 | PA      | $1402514.24   | 0.28%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CG-CCRE Commercial Mortgage Trust 2014-1FL1                      | CGCC 2014-FL1 D      | CUSIP: 12528MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $2680250.00   | 0.54%             | 2031-06-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2005-A1 1A      | CUSIP: 59020UQC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196409 | PA      | $188486.05    | 0.04%             | 2034-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-A 2A1     | CUSIP: 05949AH86<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     63401 | PA      | $60545.17     | 0.01%             | 2035-02-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2005-5 6A3      | CUSIP: 225458UK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389076 | PA      | $371288.36    | 0.08%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-28CB 3A5  | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113178 | PA      | $55063.10     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                          | WBCMT 2006-C24 E     | CUSIP: 92976BFY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2185710 | PA      | $2127426.06   | 0.43%             | 2045-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Mastr Adjustable Rate Mortgages Trust                            | MARM 2005-2 3A1      | CUSIP: 576433XW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496163 | PA      | $450833.79    | 0.09%             | 2035-03-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4639 GS          | CUSIP: 3137BTEB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10135584 | PA      | $650936.59    | 0.13%             | 2036-03-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2005-6AR 1B3     | CUSIP: 61748HNE7<br>LEI: 5493009TSYV65TPO7151 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $922384.30    | 0.19%             | 2035-11-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Starm Mtg Ln Tr                                                  | STARM 2007-2 3A3     | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405417 | PA      | $245771.99    | 0.05%             | 2037-04-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MALT 2005-3 2A1      | CUSIP: 576434M50<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86451 | PA      | $77751.32     | 0.02%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4431 ST          | CUSIP: 3137BFXN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    419048 | PA      | $38371.49     | 0.01%             | 2045-01-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                               | CMSI 2008-1 1A1      | CUSIP: 17314BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4888089 | PA      | $4471615.63   | 0.91%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc                                 | MSAC 2007-HE5 A2C    | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174206 | PA      | $75083.86     | 0.02%             | 2037-03-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2020-61 SF       | CUSIP: 38382ET64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1725636 | PA      | $161175.63    | 0.03%             | 2043-07-20      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2016-1 A7      | CUSIP: 46646BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263313 | PA      | $235324.46    | 0.05%             | 2046-05-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2007-1 AF4      | CUSIP: 75970JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2781357 | PA      | $821212.36    | 0.17%             | 2037-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-5 3A6      | CUSIP: 12637VAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1693274 | PA      | $391134.70    | 0.08%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7       | MSBAM 2013-C7 C      | CUSIP: 61690KAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $4015812.66   | 0.81%             | 2046-02-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2005-3F 1A3      | CUSIP: 36242DD26<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    485354 | PA      | $432762.03    | 0.09%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-16 SJ       | CUSIP: 3136B84W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    302518 | PA      | $27803.96     | 0.01%             | 2050-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| PHH AlternatMrgt                                                 | PHHAM 2007-2 2A2     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345468 | PA      | $289950.17    | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc America Mortgage Securitites Inc                            | BOAMS 2005-G 4A2     | CUSIP: 05949CEM4<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |     13693 | PA      | $12044.60     | 0.00%             | 2035-08-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2003-AR9 2B1    | CUSIP: 92922FCB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79940 | PA      | $69085.92     | 0.01%             | 2033-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2003-2 M1       | CUSIP: 759950AY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345101 | PA      | $324058.44    | 0.07%             | 2033-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Gmacm Mortgage Loan Trust                                        | GMACM 2006-J1 A2     | CUSIP: 36185MEC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372402 | PA      | $316416.18    | 0.06%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-11CB 2A6  | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    708702 | PA      | $577730.77    | 0.12%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Seas                                               | CSSLT 2006-1 M1      | CUSIP: 22545UAD1<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |   4725000 | PA      | $4501548.61   | 0.91%             | 2034-10-25      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-7                                | VERUS 2022-7 A3      | CUSIP: 92539NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    959638 | PA      | $917580.55    | 0.19%             | 2067-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | CBASS 2004-CB6 M2    | CUSIP: 59020UJD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24212 | PA      | $23678.64     | 0.00%             | 2035-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-214 HI      | CUSIP: 38383FCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3943602 | PA      | $521289.03    | 0.11%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-84 2A1    | CUSIP: 12668BAV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1646592 | PA      | $1449996.82   | 0.29%             | 2036-02-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2019-20 ES       | CUSIP: 38381RAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14273990 | PA      | $196991.06    | 0.04%             | 2049-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables Llc Trust                   | SABR 2007-HE1 A2B    | CUSIP: 81377JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12971238 | PA      | $2972355.21   | 0.60%             | 2036-12-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-8 3A4      | CUSIP: 22541NU23<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546048 | PA      | $523917.87    | 0.11%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-S3 1A1    | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981507 | PA      | $535238.04    | 0.11%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delta Funding Series 2000-2                                      | DELHE 1999-3 A1A     | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685744 | PA      | $638073.94    | 0.13%             | 2029-09-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-J1 1A8    | CUSIP: 12667F3U7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418606 | PA      | $402434.88    | 0.08%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wf-Rbs Com Mg Tst                                                | WFRBS 2013-C15 D     | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-O            | CORP              | US        |   6546000 | PA      | $5255776.85   | 1.07%             | 2046-08-15      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2006-6 32A1    | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2079980 | PA      | $1114010.27   | 0.23%             | 2036-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2019-112 AS      | CUSIP: 38381YP73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  23240024 | PA      | $263012.00    | 0.05%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-95 IB       | CUSIP: 3136BDQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3329445 | PA      | $531969.45    | 0.11%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cwmbs Mtg P/Thru                                                 | CWHL 2006-J4 A3      | CUSIP: 12669YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114750 | PA      | $44936.93     | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2020-141 ML      | CUSIP: 38382JNX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    952000 | PA      | $497603.55    | 0.10%             | 2050-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2007-17 3A1     | CUSIP: 12544KAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830718 | PA      | $253447.51    | 0.05%             | 2037-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2003-56 M       | CUSIP: 12669FBW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86668 | PA      | $86867.75     | 0.02%             | 2033-12-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Banc Americ 2006-J                                               | BAFC 2006-J 4A1      | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418129 | PA      | $382476.62    | 0.08%             | 2047-01-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Securitized 07-Br5                                               | SABR 2007-BR5 A2A    | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5786868 | PA      | $4376613.27   | 0.89%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2004-25CB A1   | CUSIP: 12667FWJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780433 | PA      | $677775.68    | 0.14%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | LBMLT 2004-3 M1      | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27335 | PA      | $25987.01     | 0.01%             | 2034-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Irwin Hm Eqty Loan                                               | IRWHE 2004-1 2B1     | CUSIP: 464126CL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33427 | PA      | $33004.07     | 0.01%             | 2034-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2004-5AR 1A1     | CUSIP: 61748HAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70943 | PA      | $69706.32     | 0.01%             | 2034-07-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                          | EMCM 2001-A A        | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739754 | PA      | $693213.88    | 0.14%             | 2040-05-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2007-2 AF2      | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330202 | PA      | $101887.83    | 0.02%             | 2037-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2005-11 2A2     | CUSIP: 881561C69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890238 | PA      | $858681.28    | 0.17%             | 2036-11-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Washington Mut Mtg                                               | WMALT 2005-10 2A9    | CUSIP: 93934FGH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342660 | PA      | $320371.99    | 0.06%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwheq Revolving He                                               | CWHEL 2006-I 2A      | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    588061 | PA      | $542421.79    | 0.11%             | 2037-01-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-8AR 3A      | CUSIP: 61749LAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575593 | PA      | $436594.03    | 0.09%             | 2036-06-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Hmh Tr 2017-Nss                                                  | HMH 2017-NSS E       | CUSIP: 40390AAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $897750.00    | 0.18%             | 2031-07-05      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-69 A1     | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1977442 | PA      | $1723541.45   | 0.35%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                    | CMLTI 2007-AR7 A3A   | CUSIP: 17312YAD4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   3116994 | PA      | $2688900.83   | 0.54%             | 2047-05-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                        | ABFC 2003-AHL1 A1    | CUSIP: 04542BCJ9<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |    102846 | PA      | $99186.64     | 0.02%             | 2033-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Resident Asset Sec                                               | RAST 2007-A1 A9      | CUSIP: 761136AJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4293340 | PA      | $1424401.73   | 0.29%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5090 SA          | CUSIP: 3137F9ZY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19993679 | PA      | $107392.05    | 0.02%             | 2051-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                              | TMST 2007-2 A2A      | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085042 | PA      | $1868469.05   | 0.38%             | 2037-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Trust                                        | TBW 2006-6 A3        | CUSIP: 87222PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881442 | PA      | $263478.49    | 0.05%             | 2037-01-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4449 PI          | CUSIP: 3137BGN39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     80588 | PA      | $8018.02      | 0.00%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2009-R9 3A3     | CUSIP: 05954UAJ7<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    428173 | PA      | $300602.89    | 0.06%             | 2056-11-25      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Chase Fdg Mtg Ln                                                 | CFAB 2003-3 2M2      | CUSIP: 161546FP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350304 | PA      | $339444.61    | 0.07%             | 2032-11-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2002-4 M2       | CUSIP: 759950AN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19817 | PA      | $14894.09     | 0.00%             | 2033-03-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns 06-4                                                | BSARM 2006-4 2A1     | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252177 | PA      | $222982.71    | 0.05%             | 2036-10-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-HE7 M1    | CUSIP: 073879EU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164808 | PA      | $157059.51    | 0.03%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Securitized A/Bkd Rec Llc Tr 06-Fr4                              | SABR 2006-FR4 A2B    | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10252239 | PA      | $3348357.67   | 0.68%             | 2036-08-25      | Floating      | 0.67%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                          | BAYV 2004-B A1       | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121967 | PA      | $883194.57    | 0.18%             | 2039-05-28      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2006-QO2 A2     | CUSIP: 761118VZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3752667 | PA      | $836425.27    | 0.17%             | 2046-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Indymac ABS, Inc.                                                | INHEL 2004-C M7      | CUSIP: 456606GA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184628 | PA      | $152849.32    | 0.03%             | 2035-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust                                  | NHEL 2006-4 A2C      | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    898310 | PA      | $391817.33    | 0.08%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Amresco Residential Securities Corporation                       | AMRES 1997-3 M2F     | CUSIP: 03215PCZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167056 | PA      | $149598.79    | 0.03%             | 2027-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2017-30 MI       | CUSIP: 3136AWQV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1331925 | PA      | $71415.30     | 0.01%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J P Morgan Chase Commercial Mortgage Securities Trust 2013-WT    | JPMCC 2007-C1 AJ     | CUSIP: 46630DAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2486306 | PA      | $2347744.52   | 0.48%             | 2051-02-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust Series 2006-1                         | CSFB 2005-12 1A1     | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697799 | PA      | $178846.46    | 0.04%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-156 BI      | CUSIP: 38383ARS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11314247 | PA      | $1765033.86   | 0.36%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                        | NCHET 2003-A M1      | CUSIP: 64352VDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    526736 | PA      | $514321.14    | 0.10%             | 2033-10-25      | Floating      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2012-36 QS       | CUSIP: 38378DXZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    211000 | PA      | $15023.36     | 0.00%             | 2042-03-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2006-HYB2 1A1   | CUSIP: 126694C63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412516 | PA      | $334526.63    | 0.07%             | 2036-04-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Centex Home Loan Equity Trust                                    | CXHE 2004-C M3       | CUSIP: 152314KT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309749 | PA      | $289498.43    | 0.06%             | 2034-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2003-4HE M1     | CUSIP: 881561BV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402520 | PA      | $397644.17    | 0.08%             | 2034-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                      | FFML 2004-FF7 M4     | CUSIP: 32027NLD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292770 | PA      | $287888.91    | 0.06%             | 2034-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2004-HE1 M2     | CUSIP: 59020UFK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664986 | PA      | $588838.03    | 0.12%             | 2035-04-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                  | LXS 2007-3 1BA1      | CUSIP: 525245AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439717 | PA      | $412316.09    | 0.08%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Notes Trust 2006-SD3                          | CWL 2006-SD3 A1      | CUSIP: 23244AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236380 | PA      | $230058.56    | 0.05%             | 2036-07-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp Alt Ln tr                           | NAA 2007-3 A1        | CUSIP: 65537UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2103343 | PA      | $2133483.84   | 0.43%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Banc America Funding Trust                                       | BAFC 2006-H 2A2      | CUSIP: 05950PAE3<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    446672 | PA      | $378262.86    | 0.08%             | 2046-09-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Security National Mortgage Loan Trust 2006-1                     | SNMLT 2006-1A 1A3    | CUSIP: 81441LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140675 | PA      | $138850.40    | 0.03%             | 2036-09-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2006-A2 2A1    | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1243716 | PA      | $1063937.47   | 0.22%             | 2036-04-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2003-AR28 6M3   | CUSIP: 22541QU83<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193435 | PA      | $198121.82    | 0.04%             | 2033-12-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLMI 2006-AR1 A1     | CUSIP: 59020VAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513417 | PA      | $196359.45    | 0.04%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-118 GI      | CUSIP: 38382U2X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5379072 | PA      | $787614.51    | 0.16%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2005-5 24A1    | CUSIP: 07386HUL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534645 | PA      | $457217.90    | 0.09%             | 2035-07-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | CWHL 2005-HYB9 5A1   | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    532581 | PA      | $482932.10    | 0.10%             | 2036-02-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2003-5F 2A1      | CUSIP: 36228FTH9<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    178722 | PA      | $168275.49    | 0.03%             | 2032-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-28 IK       | CUSIP: 3136B9RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3471094 | PA      | $397297.91    | 0.08%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Adj Rate Mtg Loan Trust                               | SARM 2004-19 1A2     | CUSIP: 863579JE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214920 | PA      | $201737.32    | 0.04%             | 2035-01-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2007-1 A2      | CUSIP: 74162FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    859423 | PA      | $711004.08    | 0.14%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A4 B1     | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808992 | PA      | $725812.96    | 0.15%             | 2035-07-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2005-A1 4A1    | CUSIP: 466247LU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35910 | PA      | $34271.79     | 0.01%             | 2035-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                      | GSMS 2014-GC22 D     | CUSIP: 36253BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3327300 | PA      | $2950679.59   | 0.60%             | 2047-06-10      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Alternative A Trust                                 | BALTA 2005-4 23A2    | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    873049 | PA      | $813133.93    | 0.16%             | 2035-05-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5       | MSBAM 2012-CKSV B    | CUSIP: 553514AJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $2920372.96   | 0.59%             | 2030-10-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2006-4CB 2A6   | CUSIP: 12668BQA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131534 | PA      | $886368.11    | 0.18%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-10 1A1      | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190528 | PA      | $1080632.77   | 0.22%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Corp                                        | ABFC 2003-AHL1 M1    | CUSIP: 04542BCL4<br>LEI: 5493009YQSUTUX056896 | Long             | ABS-O            | CORP              | US        |      2247 | PA      | $2160.33      | 0.00%             | 2033-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CWABS Inc.                                                       | ECR 2005-1 M4        | CUSIP: 126673VS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    626282 | PA      | $558617.99    | 0.11%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| C-Bass                                                           | CBASS 2002-CB4 B1    | CUSIP: 12489WFF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37734 | PA      | $37655.68     | 0.01%             | 2033-02-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 4818 BI          | CUSIP: 3137FGV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    165600 | PA      | $12218.74     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | CGCMT 2014-GC21 D    | CUSIP: 17322MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $2549294.30   | 0.52%             | 2047-05-10      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | BSABS 2004-HE3 M5    | CUSIP: 07384YSB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457270 | PA      | $413858.65    | 0.08%             | 2034-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-69 IK       | CUSIP: 3136BJLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6817135 | PA      | $1214951.81   | 0.25%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2004-R12 M5     | CUSIP: 03072SXH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3409661 | PA      | $2530079.40   | 0.51%             | 2035-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-24 LI       | CUSIP: 38382NPH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8743377 | PA      | $1288808.79   | 0.26%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-20CB A5   | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5386356 | PA      | $847145.07    | 0.17%             | 2036-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                               | SASC 2005-NC2 M7     | CUSIP: 86359DCT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3392722 | PA      | $3101606.46   | 0.63%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                               | CMSI 2006-3 1A10     | CUSIP: 17310BAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720049 | PA      | $637418.22    | 0.13%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ge-Wmc A/Bkd Ctfs                                                | GEWMC 2006-1 A2C     | CUSIP: 36829JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3290133 | PA      | $1478859.00   | 0.30%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                | SASC 2005-WF1 M8     | CUSIP: 86359BW64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278525 | PA      | $259564.46    | 0.05%             | 2035-02-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-J12 1A5   | CUSIP: 12668AST3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357819 | PA      | $722444.95    | 0.15%             | 2035-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2007-3 AF3      | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179682 | PA      | $84321.70     | 0.02%             | 2037-09-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2012-LTRT                              | COMM 2012-LTRT B     | CUSIP: 12624NAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2964000 | PA      | $2523266.54   | 0.51%             | 2030-10-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2013-CR                                | COMM 2013-CR12 C     | CUSIP: 12591KAK1<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-O            | CORP              | US        |   4108000 | PA      | $2816402.90   | 0.57%             | 2046-10-10      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2005-18 A1      | CUSIP: 126694EH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299742 | PA      | $176464.20    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                 | MSAC 2004-SD2 M1     | CUSIP: 61744CEA0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |    378584 | PA      | $372961.48    | 0.08%             | 2034-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                        | MSBAM 2013-C12 D     | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4056000 | PA      | $3663204.39   | 0.74%             | 2046-10-15      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2017-6 MI        | CUSIP: 3136AVDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     42597 | PA      | $3078.42      | 0.00%             | 2044-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2022-83 SJ       | CUSIP: 38383RA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19518874 | PA      | $240940.98    | 0.05%             | 2052-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                           | MLCC 2003-B B1       | CUSIP: 589929K64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039162 | PA      | $889757.12    | 0.18%             | 2028-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust             | DMSI 2004-4 3AR1     | CUSIP: 251563EZ1<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    573653 | PA      | $543783.14    | 0.11%             | 2034-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MHL 2005-1 2M1       | CUSIP: 61913PAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6766 | PA      | $6453.23      | 0.00%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2005-8 2A1      | CUSIP: 225458X45<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2778561 | PA      | $1050150.64   | 0.21%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chaseflex Trust                                                  | CFLX 2005-2 2A2      | CUSIP: 16165TBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213401 | PA      | $130240.97    | 0.03%             | 2035-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WAMU 2005-AR16 1A3   | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217054 | PA      | $195448.83    | 0.04%             | 2035-12-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Rfmsi Ser 2007-S1                                                | RFMSI 2007-S1 A4     | CUSIP: 749581AH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334920 | PA      | $1069170.62   | 0.22%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2006-AC3 1A1   | CUSIP: 07387NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193855 | PA      | $66741.38     | 0.01%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | WFCM 2013-LC12 C     | CUSIP: 94988QAS0<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2261678.10   | 0.46%             | 2046-07-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5071 IF          | CUSIP: 3137FFAH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    948169 | PA      | $84205.70     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSR 2006-AR1 2A1     | CUSIP: 3623414A4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    123738 | PA      | $118987.52    | 0.02%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2012-126 DI      | CUSIP: 3136A9ZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    373344 | PA      | $19519.20     | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-23CB 1A6  | CUSIP: 02147RAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    816936 | PA      | $762608.38    | 0.15%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc Americ 2006-J                                               | BAFC 2006-J 2A3      | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44576 | PA      | $37750.92     | 0.01%             | 2047-01-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Renaissance Hm Eqt                                               | RAMC 2007-1 AF5      | CUSIP: 75970JAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431110 | PA      | $137079.85    | 0.03%             | 2037-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                   | RALI 2005-QO1 A2     | CUSIP: 761118EP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316962 | PA      | $259443.89    | 0.05%             | 2035-08-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2005-5 M1        | CUSIP: 45254NPY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296412 | PA      | $264334.91    | 0.05%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-105 EI      | CUSIP: 38382TZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12107583 | PA      | $1719325.20   | 0.35%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 2004-AR5 7A3    | CUSIP: 22541SLH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9101 | PA      | $9042.49      | 0.00%             | 2034-06-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Ge-Wmc A/Bkd Ctfs                                                | GEWMC 2006-1 A2B     | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8434706 | PA      | $3791384.17   | 0.77%             | 2036-08-25      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2021-69 JS       | CUSIP: 3136BJGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  23286228 | PA      | $545589.34    | 0.11%             | 2051-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust 2006-6                           | NHEL 2006-6 A2B      | CUSIP: 66988RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2133049 | PA      | $760298.85    | 0.15%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA 2006-3 A4       | CUSIP: 362334BT0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |  11286673 | PA      | $1089903.22   | 0.22%             | 2036-03-25      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                        | CWHL 2004-5 2A9      | CUSIP: 12669FWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392206 | PA      | $376925.57    | 0.08%             | 2034-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JPMMT 2004-A6 B1     | CUSIP: 466247HE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477872 | PA      | $423436.51    | 0.09%             | 2034-12-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                            | WFCM 2015-SG1 D      | CUSIP: 94989QBD1<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-O            | CORP              | US        |   3106000 | PA      | $2230057.37   | 0.45%             | 2047-12-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Spclty Undrw & Res                                               | SURF 2007-AB1 A2D    | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    569625 | PA      | $342992.44    | 0.07%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2015-Dc1                               | COMM 2015-DC1 C      | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1337098.05   | 0.27%             | 2048-02-10      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Fdg I                                                | RFMSI 2006-S3 A2     | CUSIP: 76111XN82<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50529 | PA      | $40734.81     | 0.01%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-J3 4A2    | CUSIP: 021469AM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286302 | PA      | $267064.92    | 0.05%             | 2026-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Naac Reperforming                                                | NAA 2004-R3 A1       | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1027861 | PA      | $910059.28    | 0.18%             | 2035-02-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Starwood Retail Property Trust                                   | SRPT 2014-STAR A     | CUSIP: 85571XAA5<br>LEI: 5493004YMVUQ9Z7JGZ50 | Long             | ABS-O            | CORP              | US        |  14727923 | PA      | $10420005.45  | 2.11%             | 2027-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2006-17XS A2B    | CUSIP: 61751DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2136266 | PA      | $107165.14    | 0.02%             | 2046-10-25      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2017-68 IL       | CUSIP: 38376UP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3024108 | PA      | $248621.01    | 0.05%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Secs                                 | WFMBS 2006-7 2A1     | CUSIP: 94982XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261516 | PA      | $217453.60    | 0.04%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2006-9T1 A7    | CUSIP: 12668BVG5<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-O            | CORP              | US        |   1828153 | PA      | $840405.75    | 0.17%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2019-34 KI       | CUSIP: 3136B5KQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1008271 | PA      | $156845.07    | 0.03%             | 2049-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CWHL 2006-12 A1      | CUSIP: 125432AE4<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |    952916 | PA      | $543560.83    | 0.11%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSAA 2005-3 B2       | CUSIP: 36242DWX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147967 | PA      | $138391.40    | 0.03%             | 2034-12-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                   | TMTS 2006-3 2A3      | CUSIP: 881561W26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23587000 | PA      | $7352178.76   | 1.49%             | 2037-04-25      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp 2005-11      | CSFB 2005-11 8A4     | CUSIP: 2254W0PH2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    294334 | PA      | $229078.17    | 0.05%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Spclty Undrw & Res                                               | SURF 2006-BC5 A2E    | CUSIP: 84751NAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3626167 | PA      | $2102169.34   | 0.43%             | 2037-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ML                                                | MSM 2007-7AX 2A6     | CUSIP: 61754HAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4580762 | PA      | $187081.08    | 0.04%             | 2037-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| C-Bass 2007-Cb1 Tr                                               | CBASS 2007-CB1 AF2   | CUSIP: 1248MGAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2683528 | PA      | $859103.68    | 0.17%             | 2037-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                   | SAMI 2007-AR3 2A1    | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207217 | PA      | $180790.16    | 0.04%             | 2047-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                      | GSMS 2014-GC22 E     | CUSIP: 36253BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5726000 | PA      | $4182348.85   | 0.85%             | 2047-06-10      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2007-5 8A2      | CUSIP: 22944BDM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34193 | PA      | $32204.10     | 0.01%             | 2024-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                              | CWALT 2005-3CB 1A4   | CUSIP: 12667FX26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133823 | PA      | $113214.62    | 0.02%             | 2035-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2021-49 IP       | CUSIP: 38382P2H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3715243 | PA      | $415687.34    | 0.08%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                               | GSR 2006-9F 4A1      | CUSIP: 3622X7AF3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    516885 | PA      | $246487.59    | 0.05%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-NQM4 TRUST                                             | GCAT 2022-NQM4 A3    | CUSIP: 36170HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973600 | PA      | $934709.50    | 0.19%             | 2067-09-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2020-122 YI      | CUSIP: 38382HQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4655372 | PA      | $618475.45    | 0.13%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Resid Asset Secur                                                | RAST 2006-A6 1A14    | CUSIP: 76113FAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2838068 | PA      | $843204.67    | 0.17%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rfmsi Ser 2007-S1                                                | RFMSI 2007-S1 A5     | CUSIP: 749581AJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672488 | PA      | $538613.73    | 0.11%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2016-3 NI        | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    314083 | PA      | $59384.34     | 0.01%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | MABS 2005-WMC1 M4    | CUSIP: 57643LGZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106958 | PA      | $108602.64    | 0.02%             | 2035-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2020-95 IU       | CUSIP: 3136BDNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  17553545 | PA      | $2936925.76   | 0.60%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Carrngtn Mtg Fre2                                                | CARR 2006-FRE2 A2    | CUSIP: 14454AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10208213 | PA      | $8327450.82   | 1.69%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-29T1 2A7  | CUSIP: 02147PAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557455 | PA      | $364662.94    | 0.07%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | CWALT 2006-32CB A9   | CUSIP: 02147XAJ6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |   1015178 | PA      | $609682.30    | 0.12%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2012-94 YS       | CUSIP: 3136A8XW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    737543 | PA      | $17859.08     | 0.00%             | 2039-06-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                          | HEAT 2004-8 M5       | CUSIP: 437084GV2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-O            | CORP              | US        |    735695 | PA      | $680653.59    | 0.14%             | 2035-03-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                           | CMHAT 2019-MH1 M     | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $463905.90    | 0.09%             | 2044-11-01      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2014-118 AI      | CUSIP: 38379EHF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    622498 | PA      | $39282.01     | 0.01%             | 2040-05-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Prime Mtg Trust                                                  | PRIME 2004-1 1A6     | CUSIP: 74160MEU2<br>LEI: 549300FSD8T39P5Q0O47 | Long             | ABS-O            | CORP              | US        |    129972 | PA      | $120705.33    | 0.02%             | 2034-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                           | FHR 5177 AS          | CUSIP: 3137H4RS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15618890 | PA      | $334005.27    | 0.07%             | 2051-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust                     | BSABS 2004-FR2 M5    | CUSIP: 073879FK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334034 | PA      | $294337.98    | 0.06%             | 2034-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | IMM 2004-10 4A1      | CUSIP: 45254NLP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162497 | PA      | $147717.28    | 0.03%             | 2035-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                                   | AMSI 2006-R2 M3      | CUSIP: 03072SZ99<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3464037.60   | 0.70%             | 2036-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                      | GSMPS 1998-5 A       | CUSIP: 36228FAT3<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    107563 | PA      | $102770.26    | 0.02%             | 2027-06-19      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Palisades Center Tst                                             | PCT 2016-PLSD A      | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $4355000.00   | 0.88%             | 2033-04-13      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                               | WMALT 2006-7 A1A     | CUSIP: 93935HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1186610 | PA      | $348120.62    | 0.07%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Gsamp Tr 2007-Fm2                                                | GSAMP 2007-FM2 A2B   | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118808 | PA      | $72207.45     | 0.01%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                       | CSMC 2006-9 4A1      | CUSIP: 126380AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5578217 | PA      | $3622956.91   | 0.73%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                          | EMCM 2004-B M2       | CUSIP: 268668DZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4245000 | PA      | $3737161.31   | 0.76%             | 2041-01-25      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp              | CSFB 1998-C1 H       | CUSIP: 22540AGB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3030 | PA      | $3058.78      | 0.00%             | 2040-05-17      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** MUTUAL FUND SERIES TRUST

**Signature:** Erik Naviloff

**Name of Signer:** Erik Naviloff

**Title:** Treasurer