As filed with the Securities and Exchange Commission on August 24, 2018

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22378

DoubleLine Funds Trust

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

DoubleLine Funds Trust

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrants telephone number, including area code

Date of fiscal year end: March 31, 2019

Date of reporting period: June 30, 2018


Item 1. Schedule of Investments.


DoubleLine Total Return Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares        

  

Security Description

   Rate     

Maturity

   Value $  

Asset Backed Obligations - 4.0%

 

     
21,125,778    Aqua Finance Trust, Series 2017-A-A      3.72%     11/15/2035      20,758,931  
5,797,572    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%     06/15/2023      5,818,348  
2,425,915    AVANT Loans Funding Trust, Series 2017-B-A      2.29%     06/15/2020      2,423,736  
19,285,000    CAL Funding Ltd., Series 2018-1A-A      3.96%     02/25/2043      19,231,644  
25,429,865    Castlelake Aircraft Securitization Trust, Series 2015-1A-A      4.70%     12/15/2040      25,747,891  
39,642,999    Castlelake Aircraft Securitization Trust, Series 2016-1-A      4.45%       08/15/2041      39,687,439  
52,272,553    Castlelake Aircraft Securitization Trust, Series 2017-1-A      3.97%       07/15/2042      51,853,223  
19,000,000    Castlelake Aircraft Securitization Trust, Series 2018-1-A      4.13%     06/15/2043      19,131,157  
4,304,420    Citi Held For Asset Issuance, Series 2015-PM1-C      5.01%     12/15/2021      4,322,334  
21,073,755    Citi Held For Asset Issuance, Series 2015-PM2-C      5.96%     03/15/2022      21,146,428  
66,687    Citi Held For Asset Issuance, Series 2016-MF1-A      4.48%     08/15/2022      66,730  
36,844,537    CLI Funding LLC, Series 2018-1A-A      4.03%     04/18/2043      37,009,026  
66,825,000    Coinstar Funding LLC, Series 2017-1A-A2      5.22%     04/25/2047      67,879,679  
26,892,872    Colony American Finance Ltd., Series 2016-1-A      2.54%     06/15/2048      26,434,789  
8,161,356    Commonbond Student Loan Trust, Series 2015-A-A      3.20%     06/25/2032      8,124,365  
14,676,513    Commonbond Student Loan Trust, Series 2016-A-A1      3.32%     05/25/2040      14,671,784  
6,763,336    Consumer Installment Loan Trust, Series 2016-LD1-A      3.96%     07/15/2022      6,764,230  
23,497,319    Consumer Installment Loan Trust, Series 2018-6-PT      8.43%     06/17/2041      23,591,637  
21,000,000    Credit Acceptance Auto Loan Trust, Series 2017-3A-A      2.65%     06/15/2026      20,755,818  
41,000,000    Credit Acceptance Auto Loan Trust, Series 2018-1A-A      3.01%     02/16/2027      40,628,249  
16,447,500    DB Master Finance LLC, Series 2015-1A-A2II      3.98%     02/20/2045      16,510,172  
11,345,222    Drive Auto Receivables Trust, Series 2018-2-A1      2.45%       05/15/2019      11,346,388  
3,375,008    Eaglewood Consumer Loan Trust, Series 2014-1-A      3.50%  ^     10/15/2019      3,375,841  
12,356,002    Earnest Student Loan Program LLC, Series 2016-B-A2      3.02%     05/25/2034      12,285,039  
15,626,252    Earnest Student Loan Program LLC, Series 2016-D-A2      2.72%     01/25/2041      15,400,017  
63,793,329    ECAF Ltd., Series 2015-1A-A2      4.95%     06/15/2040      64,628,957  
6,918,702    Element Rail Leasing LLC, Series 2016-1A-A1      3.97%     03/19/2046      6,982,607  
9,111,000    Falcon Aerospace Ltd., Series 2017-1-A      4.58%     02/15/2042      9,194,694  
8,000,000    Ford Credit Auto Lease Trust, Series 2017-A-A3      1.88%       04/15/2020      7,959,876  
8,822,959    Foundation Finance Trust, Series 2016-1A-A      3.96%     06/15/2035      8,837,578  
28,363,500    Global SC Finance Ltd., Series 2018-1A-A      4.29%     05/17/2038      28,633,730  
47,000,000    GM Financial Automobile Leasing Trust, Series 2018-1-A2A      2.39%       04/20/2020      46,866,172  
42,011,578    Harbour Aircraft Investments Ltd., Series 2017-1-A      4.00%       11/15/2037      41,742,451  
9,605,254    HERO Funding Trust, Series 2016-3A-A2      3.91%     09/20/2042      9,716,603  
23,149,163    HERO Funding Trust, Series 2016-4A-A2      4.29%     09/20/2047      23,835,828  
63,321,500    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%     07/30/2047      63,587,697  
91,145,833    Labrador Aviation Finance Ltd., Series 2016-1A-A1      4.30%     01/15/2042      92,483,945  
186,843    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%     01/17/2023      186,728  
11,000,000    Lendmark Funding Trust, Series 2017-2A-A      2.80%     05/20/2026      10,861,635  
23,000,000    Mariner Finance Issuance Trust, Series 2017-AA-A      3.62%     02/20/2029      23,101,761  
2,982,279    MarketPlace Loan Trust, Series 2015-CB1-A      4.00%     07/15/2021      2,981,269  
5,168,461    MarketPlace Loan Trust, Series 2015-LD1-A      4.00%     12/15/2021      5,166,125  
3,731,475    MarketPlace Loan Trust, Series 2016-LD1-A      5.25%     03/15/2022      3,747,308  
9,754,903    Marlette Funding Trust, Series 2017-2A-A      2.39%     07/15/2024      9,734,740  
5,559,214    Marlette Funding Trust, Series 2017-3A-A      2.36%     12/15/2024      5,537,793  
16,322,698    Marlette Funding Trust, Series 2018-1A-A      2.61%     03/15/2028      16,278,951  
22,384,410    Mosaic Solar Loan Trust, Series 2018-1A-A      4.01%     06/22/2043      22,473,562  
28,500,000    Mosaic Solar Loan Trust, Series 2018-2-GS      4.20%     02/20/2044      28,643,640  
37,852,199    Mosaic Solar Loans LLC, Series 2017-2A-A      3.82%     09/20/2042      37,636,824  
23,000,000    Navient Private Education Loan Trust, Series 2017-A-B      3.91%     12/16/2058      22,280,661  
30,000,000    Navient Private Education Loan Trust, Series 2018-BA-B      4.13%     12/15/2059      30,403,623  
216,817    OneMain Direct Auto Receivables Trust, Series 2016-1A-A      2.04%     01/15/2021      216,771  
1,993,530    OneMain Financial Issuance Trust, Series 2015-2A-A      2.57%     07/18/2025      1,995,535  
61,156,666    OneMain Financial Issuance Trust, Series 2016-2A-A      4.10%     03/20/2028      61,599,954  
75,000,000    OneMain Financial Issuance Trust, Series 2017-1A-A1      2.37%     09/14/2032      73,571,198  
17,000,000    Oportun Funding LLC, Series 2016-B-A      3.69%     07/08/2021      16,996,960  
25,000,000    Oxford Finance Funding LLC, Series 2016-1A-A      3.97%     06/17/2024      24,897,063  
4,000,000    Progress Residential Trust, Series 2016-SFR2-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.59%     01/17/2034      4,025,062  
5,127,086    Prosper Marketplace Issuance Trust Series, Series 2018-1A-A      3.11%     06/17/2024      5,128,940  
21,408,427    Renew, Series 2017-2A-A      3.22%     09/22/2053      20,827,809  
22,000,000    Santander Drive Auto Receivables Trust, Series 2018-3-A1      2.45%       06/17/2019      22,001,104  
25,764,588    SCF Equipment Leasing LLC, Series 2017-2A-A      3.41%     12/20/2023      25,513,290  
39,732,717    Shenton Aircraft Investment Ltd., Series 2015-1A-A      4.75%     10/15/2042      40,516,684  
2,946,778    SoFi Consumer Loan Program LLC, Series 2016-1-A      3.26%     08/25/2025      2,941,683  
19,454,690    SoFi Consumer Loan Program LLC, Series 2017-6-A1      2.20%     11/25/2026      19,370,317  
18,750,000    SoFi Consumer Loan Program LLC, Series 2017-6-A2      2.82%     11/25/2026      18,607,564  
8,017,075    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%     10/27/2025      8,012,794  
27,432,483    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%     02/25/2026      27,418,698  
13,901,952    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%     09/25/2026      13,828,558  
10,000,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%     09/25/2026      9,850,140  
9,029,031    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%     02/25/2027      8,989,720  
8,768,719    SoFi Consumer Loan Program Trust, Series 2018-2-A1      2.93%     04/26/2027      8,766,564  
14,075,371    SoFi Professional Loan Program, Series 2016-A-A2      2.76%     12/26/2036      13,917,924  
20,000,000    SoFi Professional Loan Program, Series 2017-E-B      3.49%     11/26/2040      19,574,298  
13,000,000    SoFi Professional Loan Program, Series 2017-E-C      4.16%     11/26/2040      12,743,301  
22,800,000    SoFi Professional Loan Program, Series 2018-A-B      3.61%     02/25/2042      22,477,204  
18,000,000    SoFi Professional Loan Program, Series 2018-B-BFX      3.83%     08/25/2047      17,999,348  
67,519,335    SpringCastle America Funding LLC, Series 2016-AA-A      3.05%     04/25/2029      67,356,823  
14,000,000    Springleaf Funding Trust, Series 2016-AA-A      2.90%     11/15/2029      13,931,646  
71,750,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%     07/15/2030      70,615,188  
40,584,766    Sprite Ltd., Series 2017-1-A      4.25%     12/15/2037      41,005,427  
3,561,294    Spruce Asset Backed Securities Trust, Series 2016-E1-A      4.32%     06/15/2028      3,590,579  
37,000,000    STARR, Series 2018-1-A      4.09%     05/15/2043      36,941,614  
4,517,500    TAL Advantage LLC, Series 2013-2A-A      3.55%     11/20/2038      4,485,392  
4,895,611    Textainer Marine Containers Ltd., Series 2017-1A-A      3.72%     05/20/2042      4,868,943  
25,350,000    Triton Container Finance LLC, Series 2018-1A-A      3.95%     03/20/2043      25,280,564  
45,000,000    Triton Container Finance LLC, Series 2018-2A-A      4.19%     06/22/2043      45,252,315  
3,553,263    Upstart Securitization Trust, Series 2017-2-A      2.51%     03/20/2025      3,546,732  
18,039,667    Vantage Data Centers Issuer LLC, Series 2018-1A-A2      4.07%     02/16/2043      18,061,664  
20,250,000    Vivint Colar Financing LLC, Series 2018-1A-A      4.73%     04/30/2048      20,422,024  
           

 

 

 

Total Asset Backed Obligations (Cost $1,993,354,232)

 

        1,995,617,047  
           

 

 

 

Collateralized Loan Obligations - 5.2%

        
16,146,538    Acacia Ltd., Series 5A-A, (3 Month LIBOR USD + 0.38%)      1.56%     11/08/2039      15,847,827  
10,000,000    Adams Mill Ltd., Series 2014-1A-C1R, (3 Month LIBOR USD + 2.35%)      4.70%     07/15/2026      10,014,926  
14,980,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%     07/20/2026      14,999,658  
68,250,000    AIMCO, Series 2015-AA-AR, (3 Month LIBOR USD + 0.85%, 0.85% Floor)      3.20%     01/15/2028      68,222,262  
25,000,000    ALM LLC, Series 2016-19A-A1, (3 Month LIBOR USD + 1.55%)      3.90%     07/15/2028      25,102,845  
18,760,000    Anchorage Capital Ltd., Series 2014-5RA-A, (3 Month LIBOR USD + 0.99%)      3.34%     01/15/2030      18,750,818  
32,686,020    Apidos Ltd., Series 2013-16A-A1R, (3 Month LIBOR USD + 0.98%)      3.34%     01/19/2025      32,702,041  
23,000,000    Apidos Ltd., Series 2015-20A-A1R, (3 Month LIBOR USD + 1.33%)      3.68%     01/16/2027      23,002,017  
75,000,000    Arrowpoint Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.52%, 1.52% Floor)      3.86%     11/15/2028      75,808,609  
3,750,000    Babson Ltd., Series 2014-IIA-D, (3 Month LIBOR USD + 3.60%)      5.95%     10/17/2026      3,759,311  
75,000,000    BlueMountain Ltd., Series 2012-2A-AR, (3 Month LIBOR USD + 1.42%, 1.42% Floor)      3.75%     11/20/2028      75,209,102  
33,150,000    BlueMountain Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.40%)      3.76%     01/20/2029      33,271,043  
22,500,000    BlueMountain Ltd., Series 2016-2A-A2, (3 Month LIBOR USD + 2.00%)      4.33%     08/20/2028      23,012,591  
20,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-A1A, (3 Month LIBOR USD + 1.55%)      3.91%     01/20/2028      20,077,794  
8,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-A2A, (3 Month LIBOR USD + 2.25%)      4.61%     01/20/2028      8,052,402  
4,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-B2, (3 Month LIBOR USD + 3.25%)      5.61%     01/20/2028      4,044,926  
43,000,000    Cathedral Lake Ltd., Series 2016-4A-A, (3 Month LIBOR USD + 1.65%)      4.01%     10/20/2028      43,982,423  
50,000,000    CBAM Ltd., Series 2018-6A-A, (3 Month LIBOR USD + 0.94%)      0.00%     07/15/2031      49,995,469  
11,000,000    Cent Ltd., Series 2014-21A-A1AR, (3 Month LIBOR USD + 1.21%)      3.58%     07/27/2026      11,003,840  
7,250,000    Cent Ltd., Series 2014-22A-C, (3 Month LIBOR USD + 3.75%)      6.11%     11/07/2026      7,272,869  
98,000,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%     07/20/2030      98,753,688  
61,250,000    CVP Ltd., Series 2017-2A-A, (3 Month LIBOR USD + 1.19%, 1.19% Floor)      3.12%     01/20/2031      61,394,827  
35,250,000    Elevation Ltd., Series 2014-2A-A1R, (3 Month LIBOR USD + 1.23%)      3.58%     10/15/2029      35,336,837  
50,000,000    Galaxy Ltd., Series 2016-22A-A1, (3 Month LIBOR USD + 1.58%)      3.93%     07/16/2028      50,035,188  
19,330,990    GLG Ore Hill Ltd., Series 2013-1A-A, (3 Month LIBOR USD + 1.12%)      3.47%     07/15/2025      19,351,136  
46,000,000    Greywolf Ltd., Series 2018-1A-A1, (3 Month LIBOR USD + 1.03%)      3.54%     04/26/2031      45,997,602  
6,500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%     04/28/2025      6,516,809  
1,750,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D, (3 Month LIBOR USD + 5.00%)      7.36%     04/28/2025      1,695,356  
5,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D, (3 Month LIBOR USD + 3.65%)      6.01%     10/22/2025      5,006,969  
14,350,000    Halcyon Loan Advisors Funding Ltd., Series 2015-2A-A, (3 Month LIBOR USD + 1.39%)      3.75%     07/25/2027      14,407,756  
85,500,000    Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 0.90%)      3.26%     10/18/2027      85,283,582  
31,000,000    Harbourview Ltd., Series 7RA-A1, (3 Month LIBOR USD + 1.13%, 1.13% Floor)      3.27%     07/18/2031      30,894,116  
39,000,000    Hildene Ltd., Series 2014-3A-AR, (3 Month LIBOR USD + 1.20%)      3.56%     10/20/2026      39,022,620  
5,000,000    Hildene Ltd., Series 2015-4A-A1A, (3 Month LIBOR USD + 1.50%)      3.86%     07/23/2027      5,013,891  
7,867,770    ICE Global Credit Ltd., Series 2013-1A-A1, (3 Month LIBOR USD + 1.75%, 1.75% Floor)      4.11%     04/20/2024      7,882,399  
30,702,923    Jamestown Ltd., Series 2013-3A-A1AR, (3 Month LIBOR USD + 1.14%)      3.49%     01/15/2026      30,735,158  
37,266,284    Jamestown Ltd., Series 2014-4A-A1AR, (3 Month LIBOR USD + 0.69%)      3.04%     07/15/2026      37,132,244  
20,000,000    Jamestown Ltd., Series 2016-9A-A1A, (3 Month LIBOR USD + 1.57%)      3.93%     10/20/2028      20,036,681  
56,695,000    Jamestown Ltd., Series 2018-6RA-A1, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.60%     04/25/2030      56,678,195  
20,000,000    KVK Ltd., Series 2013-1A-AR, (3 Month LIBOR USD + 0.90%)      3.25%     01/15/2028      20,003,170  
22,200,000    LCM LP, Series 16A-AR, (3 Month LIBOR USD + 1.03%)      3.38%     07/15/2026      22,214,547  
2,750,000    LCM LP, Series 16A-DR, (3 Month LIBOR USD + 3.00%)      5.35%     07/15/2026      2,756,824  
20,000,000    Madison Park Funding Ltd., Series 2013-11A-AR, (3 Month LIBOR USD + 1.16%)      3.52%     07/23/2029      20,008,014  
5,500,000    Madison Park Funding Ltd., Series 2014-15A-CR, (3 Month LIBOR USD + 3.45%)      5.82%     01/27/2026      5,509,346  
5,000,000    Madison Park Funding Ltd., Series 2014-15A-DR, (3 Month LIBOR USD + 5.44%)      7.81%     01/27/2026      5,012,453  
24,000,000    Magnetite Ltd., Series 2015-12A-AR, (3 Month LIBOR USD + 1.33%)      3.68%     04/15/2027      24,014,742  
64,500,000    Marathon Ltd., Series 2013-5A-A1R, (3 Month LIBOR USD + 0.87%)      3.20%     11/21/2027      64,380,798  
41,000,000    Marathon Ltd., Series 2014-7A-A1R, (3 Month LIBOR USD + 1.32%)      3.68%     10/28/2025      41,030,771  
75,000,000    Midocean Credit, Series 2017-7A-A1, (3 Month LIBOR USD + 1.32%)      3.67%     07/15/2029      75,164,077  
60,500,000    MP Ltd., Series 2013-1A-AR, (3 Month LIBOR USD + 1.25%)      3.61%     10/20/2030      60,704,407  
52,000,000    MP Ltd., Series 2013-2A-ARR, (3 Month LIBOR USD + 1.28%)      3.64%     07/25/2029      52,114,416  
40,000,000    MP Ltd., Series 2015-2A-AR, (3 Month LIBOR USD + 0.91%)      3.27%     10/28/2027      39,943,800  
30,000,000    Nassau Ltd., Series 2018-IA-A, (3 Month LIBOR USD + 1.15%)      3.69%     07/15/2031      30,007,434  
2,250,000    Neuberger Berman Ltd., Series 2017-16SA-A, (3 Month LIBOR USD + 0.85%)      3.20%     01/15/2028      2,247,002  
9,307,487    NewMark Capital Funding Ltd., Series 2013-1A-A2, (3 Month LIBOR USD + 1.12%)      3.44%     06/02/2025      9,318,375  
19,500,000    Northwoods Capital Ltd., Series 2017-16A-A, (3 Month LIBOR USD + 1.27%)      3.61%     11/15/2030      19,495,190  
39,250,000    Northwoods Capital Ltd., Series 2018-11BA-A1, (3 Month LIBOR USD + 1.10%, 1.10% Floor)      3.46%     04/19/2031      39,189,383  
50,000,000    Ocean Trails, Series 2014-5A-A2R, (3 Month LIBOR USD + 1.22%)      3.56%     10/13/2026      50,066,122  
36,000,000    OCP Ltd., Series 2015-9A-A1R, (3 Month LIBOR USD + 0.80%)      3.15%     07/15/2027      35,977,593  
60,650,000    OCP Ltd., Series 2016-12A-A1, (3 Month LIBOR USD + 1.57%)      3.93%     10/18/2028      60,796,871  
5,500,000    Octagon Investment Partners Ltd., Series 2014-1A-C, (3 Month LIBOR USD + 3.65%)      6.01%     11/14/2026      5,519,822  
5,550,000    Octagon Investment Partners Ltd., Series 2015-1A-A1R, (3 Month LIBOR USD + 0.90%)      3.23%     05/21/2027      5,548,622  
20,000,000    Octagon Loan Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.14%)      3.47%     11/18/2026      20,007,760  
25,000,000    OFSI Fund Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      0.00%     07/15/2031      25,000,000  
36,297,715    Palmer Square Loan Funding Ltd., Series 2017-1A-A1, (3 Month LIBOR USD + 0.74%)      3.09%     10/15/2025      36,276,424  
35,000,000    Regatta Funding Ltd., Series 2016-1A-A1, (3 Month LIBOR USD + 1.52%)      3.84%     12/20/2028      35,105,651  
25,500,000    Rockford Tower Ltd., Series 2017-3A-A, (3 Month LIBOR USD + 1.19%)      3.15%     10/20/2030      25,530,376  
39,000,000    Rockford Tower Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.10%)      3.36%     05/20/2031      38,997,941  
24,590,000    Sound Harbor Loan Fund Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.20%)      3.56%     10/30/2026      24,618,330  
50,000,000    Sounds Point Ltd., Series 2018-4R-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.65%     04/18/2031      50,060,220  
30,000,000    Steele Creek Ltd., Series 2014-1RA-A, (3 Month LIBOR USD + 1.07%, 1.07% Floor)      3.41%     04/21/2031      29,805,649  
20,000,000    Steele Creek Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.26%)      3.59%     05/21/2029      20,114,610  
34,000,000    Steele Creek Ltd., Series 2016-1A-AR, (3 Month LIBOR USD + 1.12%, 1.12% Floor)      3.46%     06/15/2031      33,999,486  
17,000,000    TCI-Cent Ltd., Series 2016-1A-A1, (3 Month LIBOR USD + 1.52%)      3.89%     12/21/2029      17,276,430  
10,000,000    TCI-Cent Ltd., Series 2016-1A-A2, (3 Month LIBOR USD + 2.20%)      4.57%     12/21/2029      10,086,876  
30,000,000    TCI-Flatiron Ltd., Series 2016-1A-A, (3 Month LIBOR USD + 1.55%)      3.90%     07/17/2028      30,119,480  
1,500,000    TCI-Flatiron Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.20%)      4.55%     07/17/2028      1,509,565  
62,945,000    Venture Ltd., Series 2015-20A-AR, (3 Month LIBOR USD + 0.82%)      3.17%     04/15/2027      62,647,003  
13,000,000    Venture Ltd., Series 2016-23A-A, (3 Month LIBOR USD + 1.65%)      4.01%     07/19/2028      12,999,912  
30,500,000    Vibrant Ltd., Series 2016-5A-A, (3 Month LIBOR USD + 1.55%)      3.91%     01/20/2029      30,703,311  
35,000,000    Voya Ltd., Series 2014-4A-A1R, (3 Month LIBOR USD + 0.95%)      3.30%     10/14/2026      34,999,834  
25,000,000    Wellfleet Ltd., Series 2017-2A-A1, (3 Month LIBOR USD + 1.25%)      3.61%     10/20/2029      25,045,794  
10,000,000    WhiteHorse Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 0.90%)      3.26%     05/01/2026      9,991,016  
17,000,000    WhiteHorse Ltd., Series 2015-10A-A1R, (3 Month LIBOR USD + 0.93%, 0.93% Floor)      3.01%     04/17/2027      17,009,686  
40,000,000    Wind River Ltd., Series 2014-2A-AR, (3 Month LIBOR USD + 1.14%, 1.14% Floor)      3.49%     01/15/2031      40,060,131  
45,000,000    Wind River Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.50%)      3.86%     11/01/2028      45,152,784  
10,000,000    York Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.63%)      3.99%     01/20/2030      10,081,496  
30,000,000    Zais Ltd., Series 2014-2A-A1AR, (3 Month LIBOR USD + 1.20%)      3.56%     07/25/2026      30,041,203  
2,500,000    Zais Ltd., Series 2016-2A-A1, (3 Month LIBOR USD + 1.53%)      3.88%     10/15/2028      2,504,846  
           

 

 

 

Total Collateralized Loan Obligations (Cost $2,619,127,706)

 

        2,626,077,420  
           

 

 

 

Non-Agency Commercial Mortgage Backed Obligations - 7.0%

        
10,139,000    20 Times Square Trust, Series 2018-20TS-F      3.20%  #^     05/15/2035      9,478,064  
7,727,000    20 Times Square Trust, Series 2018-20TS-G      3.20%  #^     05/15/2035      7,069,177  
3,500,000    Arbor Realty Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.25%)      3.32%     08/15/2027      3,528,959  
5,500,000    Arbor Realty Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.55%)      3.62%     08/15/2027      5,513,777  
18,093,000    Arbor Realty Ltd., Series 2018-FL1-B, (1 Month LIBOR USD + 1.15%)      3.06%     06/15/2028      18,153,593  
2,602,000    AREIT Trust, Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%     02/15/2035      2,605,903  
1,706,000    AREIT Trust, Series 2018-CRE1-B, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.72%     02/15/2035      1,713,460  
3,483,290    Ashford Hospitality Trust, Series 2018-ASHF-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.97%     04/15/2035      3,485,869  
11,007,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%     12/15/2036      11,003,237  
29,257,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.93%     06/15/2035      29,297,354  
28,877,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.26%     06/15/2035      28,949,117  
13,685,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%     06/15/2035      13,752,265  
43,903,842    Banc of America Commercial Mortgage Trust, Series 2007-5-XW      0.00%  #^I/O     02/10/2051      439  
4,000,000    Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B      4.51%     09/15/2048      4,103,797  
58,268,898    Banc of America Commercial Mortgage Trust, Series 2015-UBS7-XA      1.01%  #I/O     09/15/2048      2,817,400  
66,641,698    Banc of America Commercial Mortgage Trust, Series 2016-UB10-XA      2.15%  #I/O     07/15/2049      6,698,317  
40,052,457    BANK, Series 2017-BNK4-XA      1.61%  #I/O     05/15/2050      3,619,228  
191,666,810    BANK, Series 2017-BNK5-XA      1.24%  #I/O     06/15/2060      13,037,675  
1,750,000    BANK, Series 2018-BN10-AS      3.90%       02/15/2061      1,742,733  
152,892,047    BANK, Series 2018-BN10-XA      0.90%  #I/O     02/15/2061      8,740,273  
27,365,000    Barclays Commercial Mortgage Securities LLC, Series 2015-STP-D      4.43%  #^     09/10/2028      27,195,602  
12,089,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%     08/15/2036      12,101,724  
13,777,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%     08/15/2036      13,792,119  
29,711,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%     08/15/2036      29,852,044  
30,209,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%     08/15/2036      30,411,980  
14,259,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%     11/15/2034      14,278,426  
4,500,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%     01/12/2045      4,133,102  
33,680,000    Bremar Hotels and Resorts Trust, Series 2018-PRME-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%     06/15/2035      33,711,652  
8,643,000    Bsprt Issuer Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%     10/15/2034      8,655,277  
3,025,000    Bsprt Issuer Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.10%, 1.10% Floor)      3.17%     10/15/2034      3,032,673  
3,025,000    Bsprt Issuer Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.40%, 1.40% Floor)      3.47%     10/15/2034      3,033,192  
6,663,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%     03/15/2037      6,642,351  
18,462,782    BX Trust, Series 2017-APPL-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.12%     07/15/2034      18,557,455  
31,755,261    BX Trust, Series 2017-APPL-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%     07/15/2034      32,009,481  
7,369,000    BX Trust, Series 2017-IMC-D, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%     10/15/2032      7,391,903  
12,055,000    BX Trust, Series 2017-IMC-E, (1 Month LIBOR USD + 3.25%, 3.25% Floor)      5.32%     10/15/2032      12,117,351  
41,842,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%     07/15/2034      41,933,651  
75,275,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%     07/15/2034      75,675,538  
20,102,000    BX Trust, Series 2018-BILT-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%     05/15/2030      20,097,827  
35,415,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%     03/15/2037      35,313,883  
8,634,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 2.42%, 2.42% Floor)      4.32%     05/15/2035      8,665,124  
4,437,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 1.97%, 1.97% Floor)      3.87%     05/15/2035      4,447,589  
53,522,000    BX Trust, Series 2018-GW-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%     05/15/2035      53,648,761  
2,447,000    BX Trust, Series 2018-GW-D, (1 Month LIBOR USD + 1.77%, 1.77% Floor)      3.67%     05/15/2035      2,450,376  
16,882,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%     04/15/2035      16,771,754  
50,128,070    CD Mortgage Trust, Series 2017-CD6-XA      1.12%  #I/O     11/13/2050      3,138,869  
7,155,000    CFCRE Commercial Mortgage Trust, Series 2016-C4-C      5.04%     05/10/2058      7,252,466  
100,450,520    CFCRE Commercial Mortgage Trust, Series 2016-C4-XA      1.90%  #I/O     05/10/2058      10,147,542  
45,319,744    CFCRE Commercial Mortgage Trust, Series 2017-C8-XA      1.83%  #I/O     06/15/2050      4,692,266  
3,128,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-B      4.69%     02/15/2033      3,184,092  
3,128,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-C      5.29%     02/15/2033      3,191,355  
1,877,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-D      6.10%     02/15/2033      1,931,899  
5,436,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%     07/15/2032      5,448,411  
7,611,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E, (1 Month LIBOR USD + 2.15%, 2.25% Floor)      4.22%     07/15/2032      7,606,909  
43,737,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%     11/15/2036      44,076,793  
24,582,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%     11/15/2036      24,824,846  
4,861,747    Citigroup Commercial Mortgage Trust, Series 2008-C7-AM      6.34%     12/10/2049      4,854,991  
211,608,433    Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA      1.97%  #^I/O     09/10/2045      12,257,778  
189,631,888    Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA      1.35%  #I/O     03/10/2047      8,613,042  
98,778,745    Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA      1.38%  #I/O     05/10/2047      5,233,565  
9,011,000    Citigroup Commercial Mortgage Trust, Series 2014-GC25-A4      3.64%       10/10/2047      9,062,527  
192,431,206    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA      1.18%  #I/O     10/10/2047      10,003,883  
6,265,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-B      3.77%       02/10/2048      6,164,819  
8,216,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      7,123,416  
216,171,562    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.54%  #I/O     02/10/2048      15,154,556  
14,310,000    Citigroup Commercial Mortgage Trust, Series 2015-GC33-C      4.72%     09/10/2058      14,002,899  
177,699,631    Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA      1.10%  #I/O     09/10/2058      8,953,591  
20,725,000    Citigroup Commercial Mortgage Trust, Series 2015-GC35-C      4.65%     11/10/2048      20,182,674  
151,483,007    Citigroup Commercial Mortgage Trust, Series 2016-C1-XA      2.09%  #I/O     05/10/2049      17,171,129  
217,408,801    Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA      1.48%  #I/O     02/10/2049      16,479,152  
114,156,159    Citigroup Commercial Mortgage Trust, Series 2016-P3-XA      1.87%  #I/O     04/15/2049      10,943,534  
78,724,500    Citigroup Commercial Mortgage Trust, Series 2016-P4-XA      2.16%  #I/O     07/10/2049      9,129,295  
38,090,395    Citigroup Commercial Mortgage Trust, Series 2016-P5-XA      1.69%  #I/O     10/10/2049      3,350,054  
119,512,078    Citigroup Commercial Mortgage Trust, Series 2017-P7-XA      1.29%  #I/O     04/14/2050      8,986,794  
86,283,000    Citigroup Mortgage Loan Trust, Inc., Series 2016-GC37-XA      1.96%  #I/O     04/10/2049      9,115,066  
13,806,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%     06/11/2032      13,839,239  
88,477,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%     06/11/2032      88,962,075  
28,027,000    CLNS Trust, Series 2017-IKPR-F, (1 Month LIBOR USD + 4.50%, 4.50% Floor)      6.55%     06/11/2032      28,277,472  
6,533,061    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%     04/15/2047      6,562,204  
34,234,000    Cold Storage Trust, Series 2017-ICE3-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%     04/15/2036      34,415,012  
41,768,000    Cold Storage Trust, Series 2017-ICE3-C, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%     04/15/2036      41,964,594  
32,954,571    Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA      1.82%  #I/O     08/15/2045      1,820,898  
145,356,189    Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA      2.04%  #I/O     10/15/2045      9,509,100  
121,806,777    Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA      2.38%  #^I/O     12/10/2044      6,918,089  
162,651,040    Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA      0.95%  #I/O     08/10/2046      4,681,064  
224,106,752    Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA      1.43%  #I/O     10/10/2046      9,943,572  
843,000    Commercial Mortgage Pass-Through Certificates, Series 2013-CR13-C      4.90%     11/10/2046      857,055  
9,850,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C      4.87%     08/10/2047      9,785,719  
5,211,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-A4      3.59%       11/10/2047      5,225,018  
30,400,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C      4.65%     11/10/2047      30,126,102  
71,378,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR21-A3      3.53%       12/10/2047      71,322,982  
15,011,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-A4      3.82%       06/10/2047      15,237,723  
118,477,850    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XA      1.45%  #I/O     06/10/2047      5,595,804  
8,215,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CALW-D      3.98%  #^     02/10/2034      8,207,185  
20,970,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D      4.26%  #^     03/10/2048      17,557,669  
219,609,321    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA      1.12%  #I/O     03/10/2048      9,471,135  
9,230,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D      4.39%     05/10/2048      7,607,171  
9,110,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-B      4.64%     10/10/2048      9,330,935  
90,064,728    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA      1.18%  #I/O     10/10/2048      4,966,691  
8,715,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C      4.50%     02/10/2048      8,453,269  
13,275,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-D      4.50%  #^     02/10/2048      11,328,102  
398,791,013    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA      1.28%  #I/O     02/10/2048      19,747,613  
29,922,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C      4.80%     02/10/2049      30,360,710  
20,355,000    Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E      3.58%  #^     08/10/2029      19,576,370  
1,617,000    Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-D      4.34%  #^     10/10/2029      1,570,134  
5,524,000    Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-E      4.13%  #^     10/10/2029      5,161,887  
150,822,000    Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1      0.70%  #^I/O     09/15/2037      4,820,950  
4,606,000    CSAIL Commercial Mortgage Trust, Series 2015-C1-C      4.44%     04/15/2050      4,557,453  
13,360,000    CSAIL Commercial Mortgage Trust, Series 2015-C2-AS      3.85%     06/15/2057      13,361,221  
22,320,000    CSAIL Commercial Mortgage Trust, Series 2015-C3-C      4.50%     08/15/2048      21,806,999  
9,759,000    CSAIL Commercial Mortgage Trust, Series 2015-C4-C      4.74%     11/15/2048      9,738,071  
315,309,084    CSAIL Commercial Mortgage Trust, Series 2015-C4-XA      1.07%  #I/O     11/15/2048      15,574,913  
2,085,000    CSAIL Commercial Mortgage Trust, Series 2016-C7-C      4.54%     11/15/2049      1,970,384  
188,216,505    CSAIL Commercial Mortgage Trust, Series 2017-C8-XA      1.40%  #I/O     06/15/2050      13,928,266  
5,511,000    CSAIL Commercial Mortgage Trust, Series 2017-CX10-C      4.25%     11/15/2050      5,369,391  
91,915,387    CSAIL Commercial Mortgage Trust, Series 2017-CX10-XA      0.87%  #I/O     11/15/2050      4,823,186  
7,185,000    CSMC Mortgage Securities Trust, Series 2017-HD-B, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%     02/15/2031      7,187,982  
3,450,000    CSMC Mortgage Securities Trust, Series 2017-HD-C, (1 Month LIBOR USD + 1.70%, 1.70% Floor)      3.77%     02/15/2031      3,450,705  
7,444,000    CSMC Mortgage Securities Trust, Series 2017-HD-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.57%     02/15/2031      7,462,229  
7,050,000    CSMC Trust, Series 2017-CALI-E      3.90%  #^     11/10/2032      6,572,877  
6,050,000    CSMC Trust, Series 2017-CALI-F      3.90%  #^     11/10/2032      5,496,529  
12,164,000    CSMC Trust, Series 2017-CHOP-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%     07/15/2032      12,190,325  
21,321,000    CSMC Trust, Series 2017-CHOP-E, (1 Month LIBOR USD + 3.30%, 3.30% Floor)      5.37%     07/15/2032      21,433,357  
74,654,000    DBGS Mortgage Trust, Series 2018-BIOD-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%     05/15/2035      74,653,477  
105,496,849    DBUBS Mortgage Trust, Series 2011-LC2A-XA      1.26%  #^I/O     07/10/2044      2,643,941  
2,996,000    DBUBS Mortgage Trust, Series 2011-LC3A-PM2      5.27%  #^     05/10/2044      3,079,217  
124,050,732    Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA      1.64%  #I/O     05/10/2049      10,767,914  
4,709,890    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%     12/10/2049      4,674,342  
47,634,000    GPMT Ltd., Series 2018-FL1-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.98%     11/21/2035      47,616,185  
15,417,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%     09/15/2034      15,475,352  
31,606,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%     09/15/2034      31,800,219  
16,823,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%     09/15/2034      16,944,183  
4,210,008    Greenwich Capital Commercial Funding Corporation, Series 2006-GG7-AM      5.95%     07/10/2038      4,261,196  
18,597,333    GS Mortgage Securities Corporation, Series 2011-GC3-X      0.82%  #^I/O     03/10/2044      272,656  
25,519,052    GS Mortgage Securities Corporation, Series 2013-GC10-XA      1.69%  #I/O     02/10/2046      1,410,469  
32,062,242    GS Mortgage Securities Corporation, Series 2014-GC20-XA      1.17%  #I/O     04/10/2047      1,388,949  
60,850,000    GS Mortgage Securities Corporation, Series 2014-GC26-A5      3.63%       11/10/2047      61,148,920  
283,924,714    GS Mortgage Securities Corporation, Series 2015-GC28-XA      1.27%  #I/O     02/10/2048      13,347,301  
247,188,651    GS Mortgage Securities Corporation, Series 2015-GC32-XA      0.99%  #I/O     07/10/2048      10,512,538  
173,052,250    GS Mortgage Securities Corporation, Series 2015-GC34-XA      1.50%  #I/O     10/10/2048      12,247,271  
207,541,707    GS Mortgage Securities Corporation, Series 2018-GS9-XA      0.60%  #I/O     03/10/2051      7,466,105  
95,959,276    GS Mortgage Securities Trust, Series 2012-GC6-XA      2.14%  #^I/O     01/10/2045      5,320,261  
3,500,000    GS Mortgage Securities Trust, Series 2015-GC28-C      4.47%     02/10/2048      3,383,808  
68,551,589    GS Mortgage Securities Trust, Series 2015-GS1-XA      0.96%  #I/O     11/10/2048      3,288,954  
55,558,898    GS Mortgage Securities Trust, Series 2016-GS2-XA      1.81%  #I/O     05/10/2049      5,129,259  
357,889,593    GS Mortgage Securities Trust, Series 2016-GS3-XA      1.40%  #I/O     10/10/2049      27,691,314  
69,860,230    GS Mortgage Securities Trust, Series 2016-GS4-XA      0.71%  #I/O     11/10/2049      2,388,319  
191,029,190    GS Mortgage Securities Trust, Series 2017-GS7-XA      1.29%  #I/O     08/10/2050      15,001,064  
98,700,000    GS Mortgage Securities Trust, Series 2017-GS7-XB      0.50%  #I/O     08/10/2050      2,824,429  
1,885,718    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-CBX-X1      0.99%  #^I/O     01/12/2037      21,117  
3,206,930    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-CB12-AJ      4.99%     09/12/2037      3,248,063  
2,089,672    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-LDP4-X1      0.04%  #^I/O     10/15/2042      4  
2,839,095    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X      0.29%  #I/O     05/15/2045      4,439  
16,315,160    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      16,329,343  
5,218,273    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM      6.11%     02/15/2051      5,208,170  
7,053,742    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AM      5.47%     06/12/2047      7,058,016  
6,881,588    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AMFX      5.40%       06/12/2047      6,866,462  
31,936,088    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-X      0.46%  #I/O     06/12/2047      28,254  
71,683,936    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-X1      0.00%  #^I/O     02/12/2051      717  
154,883,155    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C6-XA      1.75%  #I/O     05/15/2045      7,813,282  
332,294,137    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA      1.95%  #I/O     10/15/2045      19,827,692  
119,300,882    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA      1.65%  #I/O     06/15/2045      4,953,886  
5,425,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-DSTY-A      3.43%     06/10/2027      5,418,419  
79,404,972    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA      1.29%  #I/O     01/15/2049      3,947,515  
7,271,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%     06/15/2032      7,277,279  
5,488,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%     06/15/2032      5,509,090  
17,779,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%     06/15/2032      17,736,135  
325,375,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-XCP      0.71%  #^I/O     04/15/2019      633,082  
1,361,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%     07/15/2034      1,363,676  
1,285,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%     07/15/2034      1,290,026  
3,198,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%     07/15/2034      3,216,847  
4,506,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%     07/15/2034      4,538,174  
74,265,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.00%     06/15/2032      74,370,531  
6,546,928    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%     06/15/2049      6,612,003  
1,361,442    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%     01/15/2049      1,362,778  
18,205,537    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%     10/15/2034      18,232,103  
10,277,478    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.82%     10/15/2034      10,302,763  
4,857,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E      4.14%  #^     10/05/2031      4,733,747  
6,678,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-A, (1 Month LIBOR USD + 0.80%, 0.84% Floor)      2.87%     02/15/2035      6,670,141  
6,954,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-B, (1 Month LIBOR USD + 1.10%, 1.14% Floor)      3.17%     02/15/2035      6,948,096  
905,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-C, (1 Month LIBOR USD + 1.30%, 1.34% Floor)      3.37%     02/15/2035      904,528  
1,462,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-D, (1 Month LIBOR USD + 2.05%, 1.84% Floor)      4.12%     02/15/2035      1,462,276  
95,387,390    JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA      1.10%  #I/O     02/15/2047      3,634,708  
3,396,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C      4.81%     08/15/2047      3,364,044  
56,244,838    JPMBB Commercial Mortgage Securities Trust, Series 2014-C22-XA      1.05%  #I/O     09/15/2047      2,371,350  
216,714,026    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA      1.10%  #I/O     11/15/2047      9,075,333  
32,031,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-A4      3.49%       01/15/2048      31,946,371  
6,499,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C      4.57%     01/15/2048      6,393,973  
248,292,083    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.26%  #I/O     01/15/2048      10,805,498  
12,055,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C      4.48%     02/15/2048      11,756,417  
10,425,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.98%  #^     02/15/2048      9,201,967  
15,238,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C      4.38%     10/15/2048      14,600,136  
43,398,973    JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA      1.29%  #I/O     10/15/2048      2,033,511  
60,712,385    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA      0.97%  #I/O     05/15/2048      1,960,172  
166,764,095    JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA      0.77%  #I/O     07/15/2048      4,887,055  
27,395,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C      4.82%     11/15/2048      27,176,281  
97,296,927    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA      1.61%  #I/O     11/15/2048      5,260,135  
17,630,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.77%     12/15/2048      17,701,192  
32,345,000    JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C      4.90%     03/15/2049      32,723,488  
148,127,351    JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA      1.85%  #I/O     06/15/2049      12,442,446  
170,051,232    JPMBB Commercial Mortgage Securities Trust, Series 2017-C5-XA      1.17%  #I/O     03/15/2050      11,038,553  
9,900,989    LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL      0.90%  #^I/O     11/15/2038      4,771  
31,939,000    LoanCore Issuer Ltd., Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.50%, 1.50% Floor)      3.57%     05/15/2028      32,049,650  
22,591,612    LSTAR Commercial Mortgage Trust, Series 2017-5-X      1.39%  #^I/O     03/10/2050      1,086,239  
61,018,931    Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO      0.60%  #I/O     11/15/2026      490,275  
864,144    Merrill Lynch Mortgage Trust, Series 2006-C1-AJ      5.78%     05/12/2039      869,077  
6,000,611    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      5.99%     06/12/2050      6,007,221  
11,401,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK      4.30%     10/15/2030      9,335,311  
189,676,981    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA      0.99%  #I/O     10/15/2046      4,555,605  
34,143,220    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA      1.52%  #I/O     02/15/2046      1,754,910  
11,700,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C      4.49%     10/15/2047      11,318,990  
45,025,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-A4      3.53%       12/15/2047      44,840,564  
37,950,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/15/2047      36,050,921  
20,087,700    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B      4.16%       02/15/2048      20,094,765  
5,457,500    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C      4.61%     02/15/2048      5,368,139  
240,219,663    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA      1.52%  #I/O     02/15/2048      14,991,797  
10,616,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C      4.27%     07/15/2050      10,233,628  
8,460,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C      4.68%     10/15/2048      8,483,189  
19,422,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C      4.68%     12/15/2047      18,735,976  
1,517,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D      3.24%  #^     12/15/2047      1,210,670  
174,454,347    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA      1.43%  #I/O     01/15/2049      12,182,862  
2,314,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31-C      4.46%     11/15/2049      2,250,744  
52,639,557    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA      1.60%  #I/O     05/15/2050      4,377,548  
12,140,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%     11/15/2034      12,200,882  
17,935,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%     11/15/2034      17,939,466  
13,586,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%     11/15/2034      13,679,526  
35,481,303    Morgan Stanley Capital, Inc., Series 2006-HQ10-X1      0.69%  #^I/O     11/12/2041      958  
2,575,000    Morgan Stanley Capital, Inc., Series 2014-CPT-E      3.56%  #^     07/13/2029      2,524,463  
2,325,000    Morgan Stanley Capital, Inc., Series 2014-CPT-F      3.56%  #^     07/13/2029      2,269,767  
12,400,000    Morgan Stanley Capital, Inc., Series 2014-MP-D      3.82%  #^     08/11/2033      12,222,645  
11,000,000    Morgan Stanley Capital, Inc., Series 2014-MP-E      3.82%  #^     08/11/2033      10,743,563  
27,323,429    Morgan Stanley Capital, Inc., Series 2015-UBS8-XA      1.08%  #I/O     12/15/2048      1,493,835  
148,954,634    Morgan Stanley Capital, Inc., Series 2017-H1-XA      1.61%  #I/O     06/15/2050      13,164,625  
4,434,748    Motel 6 Trust, Series 2017-MTL6-A, (1 Month LIBOR USD + 0.92%, 0.92% Floor)      2.99%     08/15/2034      4,440,742  
15,588,500    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.87%     06/15/2035      15,627,471  
1,490,672    PFP Ltd., Series 2017-3-A, (1 Month LIBOR USD + 1.05%)      3.12%     01/14/2035      1,493,785  
2,270,000    PFP Ltd., Series 2017-3-AS, (1 Month LIBOR USD + 1.30%)      3.37%     01/14/2035      2,276,454  
1,306,000    PFP Ltd., Series 2017-3-B, (1 Month LIBOR USD + 1.75%)      3.82%     01/14/2035      1,312,057  
1,360,000    PFP Ltd., Series 2017-3-C, (1 Month LIBOR USD + 2.50%)      4.57%     01/14/2035      1,369,738  
4,215,737    RAIT Trust, Series 2017-FL7-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      3.02%     06/15/2037      4,218,461  
1,243,000    RAIT Trust, Series 2017-FL7-AS, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%     06/15/2037      1,243,468  
12,447,000    Rosslyn Portfolio Trust, Series 2017-ROSS-A, (1 Month LIBOR USD + 0.95%, 1.94% Floor)      3.02%     06/15/2033      12,466,258  
15,724,000    Rosslyn Portfolio Trust, Series 2017-ROSS-B, (1 Month LIBOR USD + 1.25%, 2.24% Floor)      3.32%     06/15/2033      15,748,910  
8,667,773    Tharaldson Hotel Portfolio Trust, Series 2018-THL-E, (1 Month LIBOR USD + 3.18%, 3.10% Floor)      5.23%     11/11/2034      8,698,927  
1,513,767    TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ      5.48%     08/15/2039      1,519,036  
95,157,061    UBS Commercial Mortgage Trust, Series 2017-C1-XA      1.77%  #I/O     06/15/2050      9,922,750  
12,866,716    UBS Commercial Mortgage Trust, Series 2017-C3-XA      1.28%  #I/O     08/15/2050      949,857  
2,886,000    UBS Commercial Mortgage Trust, Series 2017-C6-C      4.60%     12/15/2050      2,797,759  
8,530,000    UBS Commercial Mortgage Trust, Series 2018-C8-C      4.86%     02/15/2051      8,382,690  
44,017,693    UBS Commercial Mortgage Trust, Series 2018-C9-XA      1.07%  #I/O     03/15/2051      3,080,367  
83,130,640    UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA      2.05%  #^I/O     08/10/2049      5,376,566  
1,255,121    VSD LLC, Series 2017-PLT1-A1      3.60%     12/25/2043      1,254,271  
28,884,284    Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ      5.41%     12/15/2043      29,131,382  
6,480,329    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%     02/15/2051      6,599,205  
81,345,561    Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A      4.10%  #^     09/14/2022      79,388,769  
38,265,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-A5      3.41%       12/15/2047      37,903,331  
4,346,710    Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B      3.96%       12/15/2047      4,332,883  
11,460,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C      4.07%     02/15/2048      11,011,010  
435,199,505    Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA      1.42%  #I/O     02/15/2048      27,051,740  
5,450,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C      3.89%       02/15/2048      5,084,559  
251,436,532    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA      1.05%  #I/O     02/15/2048      11,793,756  
9,701,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C      4.76%     11/15/2048      9,670,851  
142,252,680    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA      1.24%  #I/O     11/15/2048      8,571,577  
273,484,372    Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA      1.52%  #I/O     04/15/2050      16,953,159  
12,000,000    Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C      4.69%     09/15/2058      11,831,593  
1,794,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C      4.75%     12/15/2048      1,795,242  
5,405,000    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-A4      3.81%       12/15/2048      5,474,405  
129,823,032    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA      1.15%  #I/O     12/15/2048      6,814,346  
11,469,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C      4.88%     01/15/2059      11,278,867  
8,676,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C      5.20%     06/15/2049      8,854,127  
159,384,387    Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA      1.29%  #I/O     09/15/2050      12,353,756  
50,857,885    Wells Fargo Commercial Mortgage Trust, Series 2017-C42-XA      1.05%  #I/O     12/15/2050      3,459,801  
12,048,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-C, (1 Month LIBOR USD + 1.20%, 1.20% Floor)      3.40%     12/15/2034      12,058,070  
7,229,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-D, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.85%     12/15/2034      7,240,092  
22,851,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-E, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.45%     12/15/2034      22,888,476  
169,014,204    Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA      0.87%  #I/O     03/15/2051      9,112,959  
59,004,847    WF-RBS Commercial Mortgage Trust, Series 2011-C4-XA      0.51%  #^I/O     06/15/2044      575,999  
83,671,681    WF-RBS Commercial Mortgage Trust, Series 2012-C6-XA      2.27%  #^I/O     04/15/2045      4,916,891  
98,244,251    WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA      2.01%  #^I/O     08/15/2045      5,949,741  
41,453,831    WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA      2.05%  #^I/O     11/15/2045      2,750,938  
158,402,189    WF-RBS Commercial Mortgage Trust, Series 2013-C18-XA      0.98%  #I/O     12/15/2046      4,364,234  
174,583,029    WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA      1.27%  #I/O     03/15/2047      7,638,339  
55,000,000    WF-RBS Commercial Mortgage Trust, Series 2014-C25-A5      3.63%       11/15/2047      55,220,187  
8,000,000    WF-RBS Commercial Mortgage Trust, Series 2014-C25-C      4.47%     11/15/2047      7,798,827  
200,124,765    WF-RBS Commercial Mortgage Trust, Series 2014-C25-XA      1.05%  #I/O     11/15/2047      8,345,643  
138,536,176    WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA      1.79%  #I/O     11/15/2049      12,579,514  
           

 

 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $3,683,605,178)

 

        3,464,142,461  
           

 

 

 

Non-Agency Residential Collateralized Mortgage Obligations - 25.7%

        
10,000,000    Accredited Mortgage Loan Trust, Series 2005-4-M1, (1 Month LIBOR USD + 0.40%, 0.40% Floor)      2.49%       12/25/2035      9,711,940  
90,317,573    Accredited Mortgage Loan Trust, Series 2006-2-A4, (1 Month LIBOR USD + 0.26%, 0.26% Floor)      2.35%       09/25/2036      88,226,269  
14,323,060    ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B, (1 Month LIBOR USD + 0.12%, 0.12% Floor)      2.21%       01/25/2037      10,584,890  
3,843,934    Adjustable Rate Mortgage Trust, Series 2005-10-3A31      3.37%     01/25/2036      3,676,200  
39,187,800    Adjustable Rate Mortgage Trust, Series 2005-11-4A1      3.44%     02/25/2036      33,143,952  
5,466,565    Adjustable Rate Mortgage Trust, Series 2005-2-6M2, (1 Month LIBOR USD + 0.98%, 0.48% Floor, 11.00% Cap)      3.07%       06/25/2035      5,339,532  
1,700,256    Adjustable Rate Mortgage Trust, Series 2005-7-3A1      4.20%     10/25/2035      1,514,785  
20,910,342    Adjustable Rate Mortgage Trust, Series 2006-1-2A1      4.10%     03/25/2036      17,413,959  
14,648,883    Adjustable Rate Mortgage Trust, Series 2006-2-3A1      3.89%     05/25/2036      13,700,967  
17,410,719    Adjustable Rate Mortgage Trust, Series 2006-2-5A1      5.27%     05/25/2036      11,902,337  
17,383,134    Adjustable Rate Mortgage Trust, Series 2007-1-3A1      3.97%     03/25/2037      15,886,214  
3,049,969    Adjustable Rate Mortgage Trust, Series 2007-3-1A1      4.77%  #^     11/25/2037      3,157,923  
268,609    Aegis Asset Backed Securities Trust, Series 2003-2-M2, (1 Month LIBOR USD + 2.55%, 1.70% Floor)      4.64%       11/25/2033      267,280  
1,513,060    Aegis Asset Backed Securities Trust, Series 2004-1-M2, (1 Month LIBOR USD + 2.03%, 1.35% Floor)      4.12%       04/25/2034      1,464,312  
617,792    Aegis Asset Backed Securities Trust, Series 2004-2-M2, (1 Month LIBOR USD + 1.95%, 1.30% Floor)      4.04%       06/25/2034      599,752  
13,726,711    Aegis Asset Backed Securities Trust, Series 2004-6-M2, (1 Month LIBOR USD + 1.00%, 1.00% Floor, 15.00% Cap)      3.09%       03/25/2035      12,842,218  
76,142,501    Ajax Master Trust, Series 2016-1-PC      0.00%  #^     01/01/2057      68,590,338  
82,413,174    Ajax Master Trust, Series 2016-2-PC      0.00%  #^     10/25/2056      65,633,539  
96,609,684    Ajax Master Trust, Series 2017-1-PC      0.00%  #^     06/25/2057      85,451,304  
46,735,584    Ajax Mortgage Loan Trust, Series 2016-A-A      4.25%     08/25/2064      47,351,242  
9,628,829    Ajax Mortgage Loan Trust, Series 2016-C-A      4.00%     10/25/2057      9,675,419  
66,904,368    Ajax Mortgage Loan Trust, Series 2017-C-A      3.75%     07/25/2060      65,917,535  
11,301,754    Alternative Loan, Series 2007-15CB-A5      5.75%       07/25/2037      10,091,747  
64,363,512    Alternative Loan Trust, Series 2005-55CB-1A1      5.50%       11/25/2035      62,677,593  
16,872,937    Alternative Loan Trust, Series 2006-13T1-A1      6.00%       05/25/2036      13,465,386  
12,369,117    Alternative Loan Trust, Series 2006-41CB-1A15, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     01/25/2037      1,886,579  
12,369,117    Alternative Loan Trust, Series 2006-41CB-1A2, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       01/25/2037      8,638,291  
7,964,789    Alternative Loan Trust, Series 2007-15CB-A2      5.75%       07/25/2037      7,112,050  
25,116,092    Alternative Loan Trust, Series 2007-5CB-1A31      5.50%       04/25/2037      20,624,486  
8,286,436    Alternative Loan Trust, Series 2007-5CB-2A1      6.00%       04/25/2037      6,520,848  
8,047,370    Alternative Loan Trust, Series 2007-6-A1      5.75%       04/25/2047      7,049,219  
74,127,271    Alternative Loan Trust, Series 2007-HY4-4A1      3.75%     06/25/2047      69,283,210  
103,765,335    Alternative Loan Trust, Series 2007-HY9-A2, (1 Month LIBOR USD + 0.27%, 0.27% Floor)      2.36%       08/25/2047      90,470,827  
989,974    American Home Mortgage Investment Trust, Series 2005-1-7A2, (6 Month LIBOR USD + 2.00%, 2.00% Floor, 11.00% Cap)      4.50%       06/25/2045      998,060  
6,981,851    American Home Mortgage Investment Trust, Series 2005-4-3A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 11.00% Cap)      2.39%       11/25/2045      6,316,458  
26,697,988    American Home Mortgage Investment Trust, Series 2005-4-5A, (6 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap)      4.22%       11/25/2045      20,706,412  
2,271,087    American Home Mortgage Investment Trust, Series 2006-2-3A4      6.60%     06/25/2036      905,192  
7,953,279    American Home Mortgage Investment Trust, Series 2007-A-13A1      6.60%  #^     01/25/2037      3,700,975  
6,862,903    Ameriquest Mortgage Securities, Inc., Series 2004-FR1-M1      4.50%       05/25/2034      6,953,644  
16,500,000    Ameriquest Mortgage Securities, Inc., Series 2004-R8-M2, (1 Month LIBOR USD + 1.02%, 0.68% Floor)      3.11%       09/25/2034      16,445,888  
10,318,972    Amortizing Residential Collateral Trust, Series 2002-BC7-M1, (1 Month LIBOR USD + 1.20%, 0.80% Floor)      3.29%       10/25/2032      8,906,593  
33,158,437    Angel Oak Mortgage Trust, Series 2018-1-A      3.26%  #^     04/27/2048      33,233,786  
136,839    Argent Securities, Inc., Series 2004-W6-M1, (1 Month LIBOR USD + 0.83%, 0.55% Floor)      2.92%       05/25/2034      136,817  
2,512,402    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE6-M1, (1 Month LIBOR USD + 0.98%, 0.65% Floor)      3.07%       11/25/2033      2,489,257  
665,453    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2, (1 Month LIBOR USD + 1.68%, 1.12% Floor)      3.77%       06/25/2034      662,958  
33,954,730    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7-A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       11/25/2036      31,437,740  
13,357,702    Banc of America Alternative Loan Trust, Series 2005-10-2CB1      6.00%       11/25/2035      13,550,902  
2,004,358    Banc of America Alternative Loan Trust, Series 2005-10-4A1      5.75%       11/25/2035      1,921,704  
7,264,674    Banc of America Alternative Loan Trust, Series 2005-11-2CB1      6.00%       12/25/2035      7,272,892  
2,599,222    Banc of America Alternative Loan Trust, Series 2005-5-2CB1      6.00%       06/25/2035      2,557,234  
3,956,847    Banc of America Alternative Loan Trust, Series 2005-6-2CB2      6.00%       07/25/2035      3,956,246  
2,547,782    Banc of America Alternative Loan Trust, Series 2005-6-4CB1      6.50%       07/25/2035      2,462,328  
1,613,429    Banc of America Alternative Loan Trust, Series 2005-8-2CB1      6.00%       09/25/2035      1,621,257  
7,794,816    Banc of America Alternative Loan Trust, Series 2006-1-3CB1      6.50%       02/25/2036      7,809,864  
4,045,932    Banc of America Alternative Loan Trust, Series 2006-2-1CB1      6.00%       03/25/2036      4,000,966  
4,895,506    Banc of America Alternative Loan Trust, Series 2006-2-3CB1      6.50%       03/25/2036      4,391,543  
4,010,688    Banc of America Alternative Loan Trust, Series 2006-3-4CB1      6.50%       04/25/2036      3,710,478  
1,233,019    Banc of America Alternative Loan Trust, Series 2006-5-CB14, (1 Month LIBOR USD + 1.10%, 6.00% Floor, 6.00% Cap)      6.00%       06/25/2046      1,142,674  
2,780,141    Banc of America Alternative Loan Trust, Series 2006-6-CB3      6.00%       07/25/2046      2,501,698  
12,463,325    Banc of America Alternative Loan Trust, Series 2006-7-A4      6.00%       10/25/2036      7,414,158  
3,895,345    Banc of America Alternative Loan Trust, Series 2006-8-1A1, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     11/25/2036      499,434  
1,388,278    Banc of America Alternative Loan Trust, Series 2006-8-1A2, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       11/25/2036      1,162,310  
6,626,762    Banc of America Alternative Loan Trust, Series 2006-9-1CB1      6.00%       01/25/2037      5,986,706  
919,658    Banc of America Alternative Loan Trust, Series 2007-2-2A1      6.00%       06/25/2037      854,292  
7,097,540    Banc of America Funding Corporation, Series 2006-2-3A1      6.00%       03/25/2036      7,141,128  
215,752    Banc of America Funding Corporation, Series 2006-2-4A1, (-3 x 1 Month LIBOR USD + 22.80%)      16.53%  I/F     03/25/2036      269,824  
749,836    Banc of America Funding Corporation, Series 2006-2-6A2      5.50%       03/25/2036      737,043  
4,453,743    Banc of America Funding Corporation, Series 2006-3-1A1      6.00%       03/25/2036      4,298,021  
699,676    Banc of America Funding Corporation, Series 2006-3-6A1      6.21%     03/25/2036      707,417  
5,375,002    Banc of America Funding Corporation, Series 2006-6-1A7      6.25%       08/25/2036      5,220,996  
1,567,748    Banc of America Funding Corporation, Series 2006-7-T2A5      6.04%       10/25/2036      1,453,748  
7,389,270    Banc of America Funding Corporation, Series 2006-7-T2A8      5.91%       10/25/2036      6,845,711  
1,559,892    Banc of America Funding Corporation, Series 2006-8T2-A8      6.10%       10/25/2036      1,435,247  
698,787    Banc of America Funding Corporation, Series 2006-B-7A1      3.77%     03/20/2036      659,458  
9,736,811    Banc of America Funding Corporation, Series 2006-D-6A1      3.69%     05/20/2036      9,046,166  
540,979    Banc of America Funding Corporation, Series 2006-G-2A1, (1 Month LIBOR USD + 0.22%, 0.22% Floor, 10.50% Cap)      2.30%       07/20/2036      539,522  
349,498    Banc of America Funding Corporation, Series 2006-H-3A1      3.56%     09/20/2046      326,372  
1,063,506    Banc of America Funding Corporation, Series 2007-1-TA10      5.84%       01/25/2037      984,143  
1,522,801    Banc of America Funding Corporation, Series 2007-3-TA1B      5.83%     04/25/2037      1,362,398  
2,539,508    Banc of America Funding Corporation, Series 2007-5-1A1      5.50%       07/25/2037      2,252,788  
2,613,983    Banc of America Funding Corporation, Series 2009-R14A-3A, (-2 x 1 Month LIBOR USD + 16.57%, 5.50% Floor, 16.57% Cap)      11.72%  ^I/F     06/26/2035      2,831,966  
4,140,405    Banc of America Funding Corporation, Series 2009-R15A-4A2      5.75%  #^     12/26/2036      4,072,689  
1,507,619    Banc of America Funding Corporation, Series 2010-R1-3A, (-2 x 1 Month LIBOR USD + 14.28%, 6.00% Floor, 14.28% Cap)      11.25%  ^I/F     07/26/2036      1,602,432  
381,126    Banc of America Mortgage Securities, Inc., Series 2004-K-4A1      3.30%     12/25/2034      380,378  
3,218,064    Banc of America Mortgage Securities, Inc., Series 2006-1-A9      6.00%       05/25/2036      3,209,007  
360,731    Banc of America Mortgage Securities, Inc., Series 2007-1-2A5      5.75%       01/25/2037      336,707  
18,878,121    BankUnited Trust, Series 2005-1-2A1      3.79%     09/25/2045      18,336,201  
73,114,666    Bayview Opportunity Master Fund Trust, Series 2018-RN2-A1      3.60%     02/25/2033      73,028,866  
58,152,944    Bayview Opportunity Master Fund Trust, Series 2018-RN4-A1      3.62%     03/28/2033      58,166,389  
41,345,868    Bayview Opportunity Master Fund Trust, Series 2018-SBR1-A1      3.72%     02/28/2033      41,303,807  
23,111,914    Bayview Opportunity Master Fund Trust, Series 2018-SBR3-A1      4.09%     05/28/2033      23,164,427  
3,230,952    BCAP LLC Trust, Series 2007-AA2-2A7      6.00%       04/25/2037      2,750,086  
3,497,913    BCAP LLC Trust, Series 2007-AA2-2A8      5.75%       04/25/2037      2,939,353  
11,370,262    BCAP LLC Trust, Series 2008-RR3-A1B      6.66%  #^     10/25/2036      7,098,680  
3,531,925    BCAP LLC Trust, Series 2009-RR13-18A2      5.75%  #^     07/26/2037      3,185,344  
8,513,095    BCAP LLC Trust, Series 2009-RR1-3A3      6.00%  #^     08/26/2037      8,502,499  
4,823,540    BCAP LLC Trust, Series 2009-RR4-4A2      5.75%  #^     02/26/2036      3,935,055  
3,368,212    BCAP LLC Trust, Series 2010-RR10-5A1      7.00%  #^     04/27/2037      3,580,181  
3,293,355    BCAP LLC Trust, Series 2010-RR12-3A15      6.00%  #^     08/26/2037      3,333,846  
724,355    BCAP LLC Trust, Series 2010-RR5-2A3      6.10%  #^     04/26/2037      729,815  
5,974,227    Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1      4.00%     02/25/2036      5,631,095  
6,314,781    Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1      3.73%     10/25/2046      5,868,543  
7,767,743    Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1      3.87%     02/25/2047      7,734,663  
3,599,905    Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1      3.68%     02/25/2047      3,199,559  
2,752,610    Bear Stearns Alt-A Trust, Series 2004-11-2A3      3.75%     11/25/2034      2,726,601  
11,931,922    Bear Stearns Alt-A Trust, Series 2006-1-11A1, (1 Month LIBOR USD + 0.48%, 0.24% Floor, 11.50% Cap)      2.57%       02/25/2036      11,425,136  
24,385,442    Bear Stearns Alt-A Trust, Series 2006-3-21A1      3.54%     05/25/2036      19,972,382  
9,660,002    Bear Stearns Alt-A Trust, Series 2006-5-1A1, (1 Month LIBOR USD + 0.34%, 0.17% Floor, 11.50% Cap)      2.43%      08/25/2036      7,525,381  
11,356,857    Bear Stearns Alt-A Trust, Series 2006-6-2A1      3.58%     11/25/2036      10,307,104  
6,403,996    Bear Stearns Alt-A Trust, Series 2006-8-2A1      3.55%     08/25/2046      6,072,310  
36,180,758    Bear Stearns Alt-A Trust, Series 2007-2-2A1, (12 Month LIBOR USD + 1.88%, 1.88% Floor, 11.15% Cap)      3.66%       12/25/2046      33,431,324  
6,493,109    Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2      6.00%     08/25/2034      6,657,205  
17,790,681    Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A      5.75%     04/25/2035      17,291,514  
4,982,147    Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1      5.75%     04/25/2035      5,085,523  
64,201,630    Bear Stearns Asset Backed Securities Trust, Series 2005-AC6-22A      5.51%     09/25/2035      61,845,854  
10,087,608    Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4      6.00%     10/25/2035      9,715,891  
13,049,478    Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1      6.25%     02/25/2036      10,310,596  
6,523,246    Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1      6.25%       12/25/2036      5,612,766  
19,578,499    Bear Stearns Asset Backed Securities Trust, Series 2007-HE2-2A3, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       02/25/2037      19,067,402  
21,660,503    Bear Stearns Asset Backed Securities Trust, Series 2007-HE6-2A, (1 Month LIBOR USD + 1.05%, 1.05% Floor)      3.14%       08/25/2037      19,773,334  
1,719,833    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A      6.00%       10/25/2036      1,368,586  
1,400,777    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A      6.50%       10/25/2036      1,091,854  
3,047,696    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1      3.78%     10/25/2036      2,893,779  
18,168,428    Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap)      2.29%       11/25/2036      18,411,704  
16,593,040    Bear Stearns Mortgage Funding Trust, Series 2007-AR3-22A1, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.50% Cap)      2.25%       04/25/2037      17,933,741  
29,679,740    BNC Mortgage Loan Trust, Series 2006-2-A4, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       11/25/2036      28,616,971  
18,500,000    BNC Mortgage Loan Trust, Series 2007-1-A4, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       03/25/2037      17,719,676  
30,594,417    Carrington Mortgage Loan Trust, Series 2007-RFC1-A3, (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap)      2.23%       12/25/2036      28,107,929  
2,750,000    Centex Home Equity, Series 2004-A-AF5      5.43%     01/25/2034      2,814,815  
1,364,874    Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4-2M1, (1 Month LIBOR USD + 0.90%, 0.60% Floor)      2.99%       03/25/2033      1,327,327  
7,376,897    Chase Mortgage Finance Trust, Series 2005-A1-2A4      3.52%     12/25/2035      7,164,301  
12,211,191    Chase Mortgage Finance Trust, Series 2006-S2-1A9      6.25%       10/25/2036      9,701,176  
7,250,439    Chase Mortgage Finance Trust, Series 2006-S3-1A2      6.00%       11/25/2036      5,571,871  
19,022,599    Chase Mortgage Finance Trust, Series 2006-S4-A8      6.00%       12/25/2036      15,848,998  
6,805,919    Chase Mortgage Finance Trust, Series 2007-A2-6A4      3.74%     07/25/2037      6,584,798  
3,551,415    Chase Mortgage Finance Trust, Series 2007-S3-1A5      6.00%       05/25/2037      2,867,489  
1,821,823    Chase Mortgage Finance Trust, Series 2007-S3-2A1      5.50%       05/25/2037      1,469,067  
3,643,575    Chase Mortgage Finance Trust, Series 2007-S5-1A18      6.00%       07/25/2037      3,123,437  
5,513,501    ChaseFlex Trust, Series 2005-1-3A1      6.00%       02/25/2035      5,563,177  
947,210    ChaseFlex Trust, Series 2006-1-A5      6.16%     06/25/2036      905,550  
5,098,612    ChaseFlex Trust, Series 2006-2-A2B, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap)      2.29%       09/25/2036      4,661,845  
4,592,232    ChaseFlex Trust, Series 2007-1-1A1      6.50%       02/25/2037      3,079,689  
11,178,238    ChaseFlex Trust, Series 2007-M1-2F4      4.37%       08/25/2037      10,798,939  
11,626,361    ChaseFlex Trust, Series 2007-M1-2F5      4.37%       08/25/2037      11,231,065  
27,370,065    CHL Mortgage Pass-Through Trust, Series 2005-17-2A1      5.50%       09/25/2035      24,531,789  
57,078,825    CHL Mortgage Pass-Through Trust, Series 2007-21-1A1      6.25%       02/25/2038      48,078,585  
18,195,841    CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1      3.26%     03/25/2037      16,988,769  
65,959,595    CIM Trust, Series 2016-1RR-B2      8.18%  #^     07/26/2055      63,741,690  
75,440,246    CIM Trust, Series 2016-2RR-B2      8.02%  #^     02/25/2056      73,703,016  
22,428,582    CIM Trust, Series 2016-3RR-B2, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.48%     02/25/2056      23,214,972  
73,074,681    CIM Trust, Series 2016-3RR-B2      7.94%  #^     02/27/2056      70,999,806  
50,188,672    CIM Trust, Series 2017-3RR-B2      12.31%  #^     01/27/2057      52,785,318  
190,877,111    CIM Trust, Series 2017-6-A1      3.02%  #^     06/25/2057      187,724,680  
161,977,447    CIM Trust, Series 2017-8-A1      3.00%  #^     12/25/2065      161,846,618  
6,660,906    Citicorp Mortgage Securities, Inc., Series 2005-1-1A4      5.50%       02/25/2035      6,792,932  
1,451,113    Citicorp Mortgage Securities, Inc., Series 2006-7-1A1      6.00%       12/25/2036      1,302,731  
6,594,000    Citicorp Residential Mortgage Securities, Inc., Series 2006-2-A5      5.49%       09/25/2036      6,813,878  
18,354,862    Citicorp Residential Mortgage Securities, Inc., Series 2007-1-A4      5.45%       03/25/2037      18,923,312  
2,216,279    Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2      5.75%       08/25/2035      1,801,803  
1,198,984    Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1      5.50%       11/25/2035      1,149,184  
3,320,409    Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A      6.00%       12/25/2035      3,335,357  
41,829,273    Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%     09/25/2036      40,466,015  
12,423,866    Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3-1A1A      4.17%     06/25/2036      12,432,406  
3,690,790    Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6      5.85%       10/25/2036      2,969,750  
2,039,571    Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D      4.99%       03/25/2036      1,478,026  
12,588,896    Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D      6.16%       05/25/2036      7,499,265  
7,580,000    Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3-M1, (1 Month LIBOR USD + 0.29%, 0.29% Floor)      2.38%       10/25/2036      7,572,650  
5,280,436    Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A      5.63%     04/25/2037      5,351,648  
856,969    Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1      6.50%     10/25/2036      677,530  
248,429    Citigroup Mortgage Loan Trust, Inc., Series 2007-2-2A      6.00%       11/25/2036      253,966  
25,277,508    Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1      5.75%     04/25/2047      21,126,378  
1,324,843    Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2      6.50%  #^     05/25/2037      1,292,881  
87,053,240    Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%     01/25/2037      79,537,516  
3,918,723    Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A      3.77%     04/25/2037      3,732,454  
5,218,370    Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A      5.97%       01/25/2037      3,635,653  
11,503,165    Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A5A      5.76%       01/25/2037      8,016,148  
2,415,029    Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3-A2, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       06/25/2037      2,420,378  
10,603,326    Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-1A1B      3.78%  #^     11/25/2038      10,579,730  
7,854,707    Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4      6.00%  #^     10/25/2037      7,395,574  
114,180,566    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4      6.00%  #^     11/25/2036      113,593,472  
92,033,730    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4      6.00%  #^     12/25/2036      90,728,913  
65,571,983    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4      6.00%  #^     06/25/2037      66,405,337  
29,339,977    Citigroup Mortgage Loan Trust, Inc., Series 2014-J2-A1      3.50%  #^     11/25/2044      29,023,657  
237,272,947    Citigroup Mortgage Loan Trust, Inc., Series 2017-RP2-A1A      0.00%  #^     07/25/2067      236,367,988  
4,321,393    CitiMortgage Alternative Loan Trust, Series 2006-A2-A2      6.00%       05/25/2036      4,152,926  
4,356,058    CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13      6.00%       07/25/2036      4,220,464  
2,999,726    CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8      6.00%       09/25/2036      2,941,559  
969,261    CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1      5.50%       10/25/2021      996,958  
3,233,877    CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3      6.00%       10/25/2036      3,040,911  
6,724,184    CitiMortgage Alternative Loan Trust, Series 2007-A1, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       01/25/2037      5,751,133  
5,086,182    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5      6.00%       01/25/2037      4,787,891  
2,479,850    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7      6.00%       01/25/2037      2,334,414  
6,345,015    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     01/25/2037      579,633  
5,217,962    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1      6.00%       03/25/2037      5,102,197  
12,008,201    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     03/25/2037      1,087,644  
4,705,756    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4      5.75%       03/25/2037      4,563,426  
8,656,240    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       04/25/2037      7,045,798  
8,656,240    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4, (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)      4.58%  I/FI/O     04/25/2037      1,206,644  
1,255,269    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11      6.00%       05/25/2037      1,219,106  
16,549,809    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8      6.00%       05/25/2037      16,073,027  
554,372    CitiMortgage Alternative Loan Trust, Series 2007-A8-A1      6.00%       10/25/2037      525,071  
1,202,678    COLT Funding LLC, Series 2015-1-A1F      4.00%  #^     12/26/2045      1,205,683  
51,333,865    Countrywide Alternative Loan Trust, Series 2004-36CB-1A1      6.00%       02/25/2035      49,064,795  
6,203,966    Countrywide Alternative Loan Trust, Series 2005-13CB-A3      5.50%       05/25/2035      6,191,160  
4,601,073    Countrywide Alternative Loan Trust, Series 2005-20CB-2A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       07/25/2035      3,608,465  
9,393,858    Countrywide Alternative Loan Trust, Series 2005-20CB-2A2, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     07/25/2035      814,261  
434,232    Countrywide Alternative Loan Trust, Series 2005-20CB-4A1      5.25%       07/25/2020      430,521  
3,446,879    Countrywide Alternative Loan Trust, Series 2005-26CB-A11, (-2 x 1 Month LIBOR USD + 13.05%, 13.05% Cap)      9.26%  I/F     07/25/2035      3,411,691  
4,852,831    Countrywide Alternative Loan Trust, Series 2005-28CB-1A2, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       08/25/2035      4,146,018  
1,798,372    Countrywide Alternative Loan Trust, Series 2005-28CB-3A6      6.00%       08/25/2035      1,394,014  
2,425,002    Countrywide Alternative Loan Trust, Series 2005-46CB-A20      5.50%       10/25/2035      2,351,153  
8,164,572    Countrywide Alternative Loan Trust, Series 2005-48T1-A2      5.50%       11/25/2035      7,474,835  
2,807,701    Countrywide Alternative Loan Trust, Series 2005-54CB-3A4      5.50%       11/25/2035      2,485,730  
27,137,710    Countrywide Alternative Loan Trust, Series 2005-57CB-1A1      5.50%       12/25/2035      24,997,931  
617,929    Countrywide Alternative Loan Trust, Series 2005-60T1-A7, (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)      20.60%  I/F     12/25/2035      782,471  
914,654    Countrywide Alternative Loan Trust, Series 2005-64CB-1A14      5.50%       12/25/2035      902,957  
13,275,066    Countrywide Alternative Loan Trust, Series 2005-64CB-1A4      5.50%       12/25/2035      13,105,288  
2,190,187    Countrywide Alternative Loan Trust, Series 2005-73CB-1A5, (1 Month LIBOR USD + 0.80%, 0.80% Floor, 5.50% Cap)      2.89%       01/25/2036      1,914,741  
5,510,057    Countrywide Alternative Loan Trust, Series 2005-73CB-1A6, (-1 x 1 Month LIBOR USD + 4.70%, 4.70% Cap)      2.61%  I/FI/O     01/25/2036      336,311  
47,737,442    Countrywide Alternative Loan Trust, Series 2005-77T1-1A1      6.00%       02/25/2036      37,258,959  
1,094,666    Countrywide Alternative Loan Trust, Series 2005-79CB-A5      5.50%       01/25/2036      975,336  
34,484,548    Countrywide Alternative Loan Trust, Series 2005-85CB-1A1      6.00%       02/25/2036      27,290,764  
2,812,369    Countrywide Alternative Loan Trust, Series 2005-85CB-2A6, (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap)      13.97%  I/F     02/25/2036      3,192,175  
1,675,304    Countrywide Alternative Loan Trust, Series 2005-86CB-A5      5.50%       02/25/2036      1,490,221  
3,141,164    Countrywide Alternative Loan Trust, Series 2005-J10-1A11      5.50%       10/25/2035      2,866,150  
714,855    Countrywide Alternative Loan Trust, Series 2005-J10-1A13, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)      2.79%       10/25/2035      612,669  
334,870    Countrywide Alternative Loan Trust, Series 2005-J10-1A15      5.50%       10/25/2035      305,551  
814,941    Countrywide Alternative Loan Trust, Series 2005-J11-1A3      5.50%       11/25/2035      712,585  
1,172,681    Countrywide Alternative Loan Trust, Series 2005-J11-6A1      6.50%       09/25/2032      1,148,990  
981,522    Countrywide Alternative Loan Trust, Series 2005-J13-2A5, (1 Month LIBOR USD + 0.48%, 0.48% Floor, 5.50% Cap)      2.57%       11/25/2035      793,175  
1,963,045    Countrywide Alternative Loan Trust, Series 2005-J13-2A6, (-1 x 1 Month LIBOR USD + 5.02%, 5.02% Cap)      2.93%  I/FI/O     11/25/2035      153,173  
3,891,000    Countrywide Alternative Loan Trust, Series 2005-J1-5A3      5.50%       02/25/2035      3,839,543  
730,378    Countrywide Alternative Loan Trust, Series 2005-J1-7A1      5.50%       01/25/2020      727,363  
984,197    Countrywide Alternative Loan Trust, Series 2005-J2-1A5, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       04/25/2035      874,653  
3,028,300    Countrywide Alternative Loan Trust, Series 2005-J2-1A6, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     04/25/2035      196,824  
9,595,318    Countrywide Alternative Loan Trust, Series 2005-J3-2A8, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.50% Cap)      2.39%       05/25/2035      8,769,425  
9,595,318    Countrywide Alternative Loan Trust, Series 2005-J3-2A9, (-1 x 1 Month LIBOR USD + 5.20%, 5.20% Cap)      3.11%  I/FI/O     05/25/2035      810,614  
4,176,003    Countrywide Alternative Loan Trust, Series 2006-12CB-A3, (1 Month LIBOR USD + 5.75%, 5.75% Floor)      5.75%       05/25/2036      3,382,043  
43,536,583    Countrywide Alternative Loan Trust, Series 2006-15CB-A1      6.50%       06/25/2036      33,996,838  
1,320,888    Countrywide Alternative Loan Trust, Series 2006-18CB-A12, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       07/25/2036      928,997  
1,320,888    Countrywide Alternative Loan Trust, Series 2006-18CB-A13, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     07/25/2036      172,245  
6,610,425    Countrywide Alternative Loan Trust, Series 2006-19CB-A12, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap)      2.49%       08/25/2036      4,830,656  
8,964,133    Countrywide Alternative Loan Trust, Series 2006-19CB-A13, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.51%  I/FI/O     08/25/2036      1,238,462  
1,379,974    Countrywide Alternative Loan Trust, Series 2006-19CB-A15      6.00%       08/25/2036      1,240,182  
2,287,689    Countrywide Alternative Loan Trust, Series 2006-24CB-A11      5.75%       06/25/2036      1,960,881  
6,695,784    Countrywide Alternative Loan Trust, Series 2006-24CB-A14, (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)      5.06%  I/FI/O     06/25/2036      1,449,241  
5,369,147    Countrywide Alternative Loan Trust, Series 2006-24CB-A22      6.00%       06/25/2036      4,690,452  
5,762,708    Countrywide Alternative Loan Trust, Series 2006-24CB-A5, (1 Month LIBOR USD + 0.60%, 0.06% Floor, 6.00% Cap)      2.69%       06/25/2036      3,842,292  
2,139,869    Countrywide Alternative Loan Trust, Series 2006-26CB-A17      6.25%       09/25/2036      1,719,948  
2,746,704    Countrywide Alternative Loan Trust, Series 2006-26CB-A9      6.50%       09/25/2036      2,253,939  
5,189,466    Countrywide Alternative Loan Trust, Series 2006-29T1-1A2      6.25%       10/25/2036      4,430,469  
739,889    Countrywide Alternative Loan Trust, Series 2006-29T1-2A12, (-7 x 1 Month LIBOR USD + 46.15%, 46.15% Cap)      32.56%  I/F     10/25/2036      1,338,146  
453,198    Countrywide Alternative Loan Trust, Series 2006-29T1-2A23, (-4 x 1 Month LIBOR USD + 33.37%, 33.37% Cap)      24.31%  I/F     10/25/2036      670,205  
5,262,600    Countrywide Alternative Loan Trust, Series 2006-30T1-1A2      6.25%       11/25/2036      4,490,742  
3,545,383    Countrywide Alternative Loan Trust, Series 2006-32CB-A1, (1 Month LIBOR USD + 0.67%, 0.67% Floor, 6.00% Cap)      2.76%       11/25/2036      2,535,667  
5,913,699    Countrywide Alternative Loan Trust, Series 2006-32CB-A2, (-1 x 1 Month LIBOR USD + 5.33%, 5.33% Cap)      3.24%  I/FI/O     11/25/2036      843,910  
6,223,924    Countrywide Alternative Loan Trust, Series 2006-36T2-2A1      6.25%       12/25/2036      4,499,971  
1,789,408    Countrywide Alternative Loan Trust, Series 2006-39CB-1A10      6.00%       01/25/2037      1,723,851  
16,678,187    Countrywide Alternative Loan Trust, Series 2006-39CB-2A2, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     01/25/2037      3,650,675  
5,679,710    Countrywide Alternative Loan Trust, Series 2006-39CB-2A4, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       01/25/2037      1,312,859  
2,646,271    Countrywide Alternative Loan Trust, Series 2006-40T1-1A11      6.00%       01/25/2037      2,435,752  
4,503,861    Countrywide Alternative Loan Trust, Series 2006-40T1-1A4, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     01/25/2037      502,647  
5,057,541    Countrywide Alternative Loan Trust, Series 2006-41CB-1A10      6.00%       01/25/2037      4,372,219  
5,325,699    Countrywide Alternative Loan Trust, Series 2006-41CB-1A9      6.00%       01/25/2037      4,604,041  
4,584,348    Countrywide Alternative Loan Trust, Series 2006-45T1-1A4, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       02/25/2037      2,292,579  
4,584,348    Countrywide Alternative Loan Trust, Series 2006-45T1-1A5, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     02/25/2037      548,032  
1,460,560    Countrywide Alternative Loan Trust, Series 2006-6CB-1A4      5.50%       05/25/2036      1,363,687  
4,338,708    Countrywide Alternative Loan Trust, Series 2006-J1-1A10      5.50%       02/25/2036      3,969,881  
8,803,072    Countrywide Alternative Loan Trust, Series 2006-J1-1A3      5.50%       02/25/2036      8,054,736  
1,665,893    Countrywide Alternative Loan Trust, Series 2006-J4-2A2      6.00%       07/25/2036      1,429,063  
997,600    Countrywide Alternative Loan Trust, Series 2007-11T1-A24, (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)      27.35%  I/F     05/25/2037      1,591,432  
15,806,946    Countrywide Alternative Loan Trust, Series 2007-15CB-A1      6.00%       07/25/2037      14,715,383  
11,174,690    Countrywide Alternative Loan Trust, Series 2007-16CB-2A1, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       08/25/2037      6,102,651  
3,235,911    Countrywide Alternative Loan Trust, Series 2007-16CB-2A2, (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap)      37.16%  I/F     08/25/2037      5,965,514  
5,944,311    Countrywide Alternative Loan Trust, Series 2007-16CB-4A7      6.00%       08/25/2037      5,920,037  
9,027,768    Countrywide Alternative Loan Trust, Series 2007-17CB-1A10, (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)      20.28%  I/F     08/25/2037      12,973,010  
1,421,389    Countrywide Alternative Loan Trust, Series 2007-18CB-2A25      6.00%       08/25/2037      1,313,447  
970,323    Countrywide Alternative Loan Trust, Series 2007-19-1A10, (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)      26.45%  I/F     08/25/2037      1,672,331  
14,261,675    Countrywide Alternative Loan Trust, Series 2007-19-1A4      6.00%       08/25/2037      11,639,588  
34,870,967    Countrywide Alternative Loan Trust, Series 2007-19-2A1      6.50%       08/25/2037      25,902,325  
4,580,171    Countrywide Alternative Loan Trust, Series 2007-21CB-2A2, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     09/25/2037      5,816,229  
23,353,653    Countrywide Alternative Loan Trust, Series 2007-22-2A16      6.50%       09/25/2037      16,570,166  
11,716,683    Countrywide Alternative Loan Trust, Series 2007-23CB-A3, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       09/25/2037      8,071,709  
16,628,402    Countrywide Alternative Loan Trust, Series 2007-23CB-A4, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     09/25/2037      3,035,899  
16,261,694    Countrywide Alternative Loan Trust, Series 2007-4CB-2A1      7.00%       03/25/2037      4,949,030  
6,305,855    Countrywide Alternative Loan Trust, Series 2007-5CB-1A18, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.56%  I/FI/O     04/25/2037      824,515  
6,305,856    Countrywide Alternative Loan Trust, Series 2007-5CB-1A23, (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap)      2.64%       04/25/2037      4,284,802  
5,310,744    Countrywide Alternative Loan Trust, Series 2007-6-A4      5.75%       04/25/2047      4,652,028  
422,106    Countrywide Alternative Loan Trust, Series 2007-8CB-A12, (-6 x 1 Month LIBOR USD + 40.20%, 40.20% Cap)      27.65%  I/F     05/25/2037      740,494  
450,592    Countrywide Alternative Loan Trust, Series 2007-8CB-A8, (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)      27.53%  I/F     05/25/2037      787,208  
697,859    Countrywide Alternative Loan Trust, Series 2007-9T1-1A4, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       05/25/2037      357,643  
697,859    Countrywide Alternative Loan Trust, Series 2007-9T1-1A5, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     05/25/2037      105,274  
19,115,319    Countrywide Alternative Loan Trust, Series 2007-9T1-1A6      6.00%       05/25/2037      14,211,800  
2,005,245    Countrywide Alternative Loan Trust, Series 2007-9T1-2A1      6.00%       05/25/2037      1,473,502  
232,938    Countrywide Alternative Loan Trust, Series 2007-9T1-3A1      5.50%       05/25/2022      177,304  
48,991,760    Countrywide Alternative Loan Trust, Series 2007-HY2-1A      3.51%     03/25/2047      45,455,226  
2,357,449    Countrywide Alternative Loan Trust, Series 2007-HY5R-2A1B      3.30%     03/25/2047      2,385,838  
38,848,761    Countrywide Asset Backed Certificates, Series 2006-25-1A, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       06/25/2047      36,562,290  
3,322,349    Countrywide Asset-Backed Certificates, Series 2003-BC6-M1, (1 Month LIBOR USD + 0.83%, 0.55% Floor)      2.92%       11/25/2033      3,230,770  
624,217    Countrywide Asset-Backed Certificates, Series 2005-13-AF3      4.63%     04/25/2036      608,563  
19,395,292    Countrywide Asset-Backed Certificates, Series 2005-4-AF5B      4.54%     10/25/2035      19,782,825  
2,090,314    Countrywide Home Loans, Series 2003-60-4A1      3.66%     02/25/2034      2,132,379  
2,637,232    Countrywide Home Loans, Series 2004-R2-1AF1, (1 Month LIBOR USD + 0.42%, 0.42% Floor, 9.50% Cap)      2.38%     11/25/2034      2,389,507  
2,566,021    Countrywide Home Loans, Series 2004-R2-1AS      4.18%  #^I/O     11/25/2034      191,120  
5,557,953    Countrywide Home Loans, Series 2005-20-A5      5.50%       10/25/2035      5,372,434  
4,038,661    Countrywide Home Loans, Series 2005-20-A8      5.25%       10/25/2035      3,953,884  
12,887,767    Countrywide Home Loans, Series 2005-23-A1      5.50%       11/25/2035      11,232,824  
3,383,408    Countrywide Home Loans, Series 2005-24-A8      5.50%       11/25/2035      3,054,612  
925,385    Countrywide Home Loans, Series 2005-27-2A1      5.50%       12/25/2035      783,611  
1,666,294    Countrywide Home Loans, Series 2005-28-A7      5.25%       01/25/2019      1,479,689  
20,514,906    Countrywide Home Loans, Series 2005-HYB1-4A1      3.53%     03/25/2035      19,903,285  
2,835,756    Countrywide Home Loans, Series 2005-HYB8-1A1      3.86%     12/20/2035      2,506,976  
3,698,589    Countrywide Home Loans, Series 2005-J3-2A4      4.50%       09/25/2035      3,579,186  
2,274,425    Countrywide Home Loans, Series 2005-J4-A5      5.50%       11/25/2035      2,230,866  
797,567    Countrywide Home Loans, Series 2005-R1-1AF1, (1 Month LIBOR USD + 0.36%, 0.36% Floor, 9.50% Cap)      2.45%     03/25/2035      747,810  
781,858    Countrywide Home Loans, Series 2005-R1-1AS      4.24%  #^I/O     03/25/2035      51,793  
6,512,835    Countrywide Home Loans, Series 2006-16-2A1      6.50%       11/25/2036      5,308,788  
6,382,925    Countrywide Home Loans, Series 2006-1-A2      6.00%       03/25/2036      5,392,692  
2,573,808    Countrywide Home Loans, Series 2006-20-1A21      6.00%       02/25/2037      2,199,793  
1,591,558    Countrywide Home Loans, Series 2006-J3-A4      5.50%       05/25/2036      1,609,583  
7,046,227    Countrywide Home Loans, Series 2007-10-A7      6.00%       07/25/2037      5,980,543  
22,402,570    Countrywide Home Loans, Series 2007-11-A1      6.00%       08/25/2037      18,886,137  
13,897,287    Countrywide Home Loans, Series 2007-12-A9      5.75%       08/25/2037      12,670,561  
6,066,010    Countrywide Home Loans, Series 2007-13-A1      6.00%       08/25/2037      5,348,315  
7,105,192    Countrywide Home Loans, Series 2007-13-A10      6.00%       08/25/2037      6,264,548  
6,950,344    Countrywide Home Loans, Series 2007-15-1A1      6.25%       09/25/2037      6,414,287  
766,425    Countrywide Home Loans, Series 2007-15-1A16      6.25%       09/25/2037      707,313  
3,415,288    Countrywide Home Loans, Series 2007-15-1A29      6.25%       09/25/2037      3,146,483  
7,562,448    Countrywide Home Loans, Series 2007-17-1A2      6.00%       10/25/2037      7,199,511  
973,458    Countrywide Home Loans, Series 2007-18-1A1      6.00%       11/25/2037      846,361  
7,364,058    Countrywide Home Loans, Series 2007-3-A1      6.00%       04/25/2037      6,211,116  
2,836,159    Countrywide Home Loans, Series 2007-3-A12      6.00%       04/25/2037      2,392,120  
5,618,550    Countrywide Home Loans, Series 2007-4-1A39      6.00%       05/25/2037      4,565,138  
2,503,374    Countrywide Home Loans, Series 2007-5-A2      5.75%       05/25/2037      2,172,331  
8,567,512    Countrywide Home Loans, Series 2007-7-A1      6.00%       06/25/2037      7,489,054  
2,568,247    Countrywide Home Loans, Series 2007-7-A2      5.75%       06/25/2037      2,217,664  
7,964,812    Countrywide Home Loans, Series 2007-8-1A4      6.00%       01/25/2038      6,608,939  
4,179,904    Countrywide Home Loans, Series 2007-8-1A5      5.44%       01/25/2038      3,331,960  
9,704,858    Countrywide Home Loans, Series 2007-8-1A9, (1 Month LIBOR USD + 6.00%, 4.00% Floor, 6.00% Cap)      6.00%       01/25/2038      8,052,772  
1,639,358    Countrywide Home Loans, Series 2007-9-A11      5.75%       07/25/2037      1,484,805  
10,328,956    Countrywide Home Loans, Series 2007-HY1-1A1      3.75%     04/25/2037      10,227,590  
25,056,126    Countrywide Home Loans, Series 2007-J1-2A1      6.00%       02/25/2037      19,304,876  
635,829    Countrywide Home Loans, Series 2007-J3-A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       07/25/2037      391,386  
3,179,147    Countrywide Home Loans, Series 2007-J3-A2, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     07/25/2037      323,565  
4,842,820    Credit Suisse First Boston Mortgage Backed Trust, Series 2006-3-A4B      6.11%       11/25/2036      1,756,140  
3,070,272    Credit Suisse First Boston Mortgage Backed Trust, Series 2006-4-A6A      5.68%       12/25/2036      1,378,218  
10,686,498    Credit Suisse First Boston Mortgage Backed Trust, Series 2007-1-1A1A      5.90%     05/25/2037      5,082,508  
86,462    Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-AR8-2A1      3.57%     09/25/2034      86,983  
3,914,822    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4      5.50%       11/25/2035      3,820,018  
824,117    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5      5.50%       11/25/2035      804,160  
11,741,519    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1      5.25%       01/25/2036      11,342,517  
10,170,322    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1      7.00%       01/25/2036      3,857,458  
5,573,505    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10      5.50%       09/25/2035      5,456,273  
4,754,237    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1      7.00%       09/25/2035      3,926,436  
2,172,688    Credit Suisse Mortgage Capital Certificates, Series 2005-1R-2A5      5.75%     12/26/2035      2,033,625  
17,440,619    Credit Suisse Mortgage Capital Certificates, Series 2006-1-2A1      6.00%       02/25/2036      12,958,389  
2,815,011    Credit Suisse Mortgage Capital Certificates, Series 2006-2-3A1      6.50%       03/25/2036      1,665,030  
3,243,406    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 6.00% Cap)      2.79%       03/25/2036      1,823,227  
18,129,147    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A2, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     03/25/2036      2,585,245  
3,776,276    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A3      6.25%       03/25/2036      2,845,644  
10,220,113    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A4      6.00%       03/25/2036      7,499,704  
3,830,655    Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A3      5.50%       04/25/2036      3,560,947  
2,315,729    Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A4      5.50%       04/25/2036      2,156,820  
3,881,069    Credit Suisse Mortgage Capital Certificates, Series 2006-4-1A8, (1 Month LIBOR USD + 1.00%, 6.00% Floor, 6.00% Cap)      6.00%       05/25/2036      3,393,135  
20,845,676    Credit Suisse Mortgage Capital Certificates, Series 2006-4-4A1      7.00%       05/25/2036      9,486,321  
11,064,942    Credit Suisse Mortgage Capital Certificates, Series 2006-6-1A4      6.00%       07/25/2036      9,265,512  
10,695,053    Credit Suisse Mortgage Capital Certificates, Series 2006-6-3A1      7.00%       07/25/2036      3,098,720  
214,903    Credit Suisse Mortgage Capital Certificates, Series 2006-7-3A11      6.00%       08/25/2036      174,936  
3,407,890    Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A5      6.00%       08/25/2036      3,460,878  
7,270,629    Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1      5.50%       11/25/2036      6,620,146  
24,037,535    Credit Suisse Mortgage Capital Certificates, Series 2006-9-3A1      6.00%       11/25/2036      22,358,052  
6,642,014    Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1      6.00%       11/25/2036      5,189,079  
5,111,789    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14      6.00%       11/25/2036      4,973,306  
830,573    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A15, (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)      28.14%  I/F     11/25/2036      1,372,411  
11,064,002    Credit Suisse Mortgage Capital Certificates, Series 2007-1-1A4      6.13%     02/25/2037      5,416,078  
5,430,924    Credit Suisse Mortgage Capital Certificates, Series 2007-1-5A14      6.00%       02/25/2037      4,816,683  
8,128,304    Credit Suisse Mortgage Capital Certificates, Series 2007-3-2A10      6.00%       04/25/2037      6,056,162  
6,088,058    Credit Suisse Mortgage Capital Certificates, Series 2007-5-2A5      5.00%       08/25/2037      5,001,063  
48,681,783    Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A19      6.00%       08/25/2037      38,762,398  
21,940,142    Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A9      6.00%       08/25/2037      16,697,314  
8,763,637    Credit Suisse Mortgage Capital Certificates, Series 2008-2R-1A1      6.00%     07/25/2037      8,242,108  
1,941,320    Credit Suisse Mortgage Capital Certificates, Series 2009-1R-4A2      4.18%  #^     07/20/2035      1,905,530  
4,133,694    Credit Suisse Mortgage Capital Certificates, Series 2010-13R-1A2      5.50%  #^     12/26/2035      4,179,276  
83,857,616    Credit Suisse Mortgage Capital Certificates, Series 2010-17R-6A1      3.46%  #^     06/26/2037      82,900,600  
13,466,108    Credit Suisse Mortgage Capital Certificates, Series 2010-2R-4A17      6.00%  #^     03/26/2037      12,954,381  
14,709,200    Credit Suisse Mortgage Capital Certificates, Series 2010-4R-8A17      6.00%  #^     06/26/2037      14,894,134  
11,585,943    Credit Suisse Mortgage Capital Certificates, Series 2010-7R-4A17      6.00%  #^     04/26/2037      11,611,851  
19,053,814    Credit Suisse Mortgage Capital Certificates, Series 2010-9R-2A5      4.00%  #^     02/27/2038      19,049,969  
14,153,892    Credit Suisse Mortgage Capital Certificates, Series 2012-10R-4A2      3.55%  #^     08/26/2046      13,053,104  
46,359,531    Credit Suisse Mortgage Capital Certificates, Series 2013-6-1A1      2.50%  #^     07/25/2028      45,097,551  
45,050,097    Credit Suisse Mortgage Capital Certificates, Series 2013-9R-A1      3.00%  #^     05/27/2043      41,085,873  
21,503,416    Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4-A2      3.00%  #^     07/25/2043      20,701,249  
5,246,277    Credit Suisse Mortgage Capital Certificates, Series 2014-WIN1-2A4      3.00%  #^     09/25/2044      5,073,008  
76,586,708    Credit Suisse Mortgage Capital Certificates, Series 2015-1-A1      2.50%  #^     01/25/2045      72,948,915  
58,056,256    Credit Suisse Mortgage Trust, Series 2017-1A-A      4.50%     03/25/2021      58,584,138  
69,050,204    Credit Suisse Mortgage Trust, Series 2018-RPL2-A1      4.03%     08/25/2062      69,218,051  
73,103    Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6-A4      3.76%     06/25/2035      73,074  
13,257,207    Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4-AV3, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       05/25/2036      11,036,437  
9,750,000    Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1-A3      5.83%     12/25/2036      10,141,775  
11,692,642    CSMC Trust, Series 2006-4-6A1      6.00%       05/25/2036      8,884,136  
7,395,393    CSMC Trust, Series 2007-1-3A1      6.00%       02/25/2022      4,006,387  
81,144    CSMC Trust, Series 2007-2-2A1      5.00%       03/25/2037      80,078  
11,721,796    CSMC Trust, Series 2009-12R-5A1      6.00%     06/27/2036      11,427,682  
29,791,773    CSMC Trust, Series 2010-4R-3A17      6.00%  #^     06/26/2037      30,166,336  
453,791    CSMC Trust, Series 2010-9R-70A3      3.75%  #^     12/27/2036      455,028  
1,904,000    CSMC Trust, Series 2010-9R-70A4      3.75%  #^     12/27/2036      1,901,939  
6,047,000    CSMC Trust, Series 2010-9R-70A5      4.00%  #^     12/27/2036      5,914,907  
30,397,500    CSMC Trust, Series 2013-IVR4-A11      3.48%  #^     07/27/2043      30,169,518  
132,039,503    CSMC Trust, Series 2015-PR2-A1      4.25%     07/26/2055      130,804,881  
27,996,002    CSMC Trust, Series 2016-PR1-A1      5.50%     07/25/2056      27,571,840  
59,986,727    CSMC Trust, Series 2017-12R-A1 (1 Month LIBOR USD + 1.45%, 1.00% Floor)      0.00%  #^     10/25/2046      60,719,285  
115,776,000    CSMC Trust, Series 2018-5R-1A1, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.28%     10/30/2046      115,844,655  
11,942,428    CSMLT Trust, Series 2015-3-1A2      3.50%  #^     11/25/2045      12,031,095  
16,142,540    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5      5.50%     09/25/2035      15,915,740  
1,017,150    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6, (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)      20.60%  I/F     11/25/2035      1,319,933  
1,053,528    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 5.50% Cap)      2.29%       11/25/2035      713,239  
3,179,661    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     11/25/2035      339,814  
28,483,041    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor)      2.39%       09/25/2047      25,573,559  
16,151,727    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5-A1B, (1 Month LIBOR USD + 0.22%, 0.22% Floor)      2.31%       08/25/2047      15,262,187  
917,646    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2      5.42%     06/25/2036      886,065  
24,373,602    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2      5.65%     10/25/2036      23,206,560  
1,736,326    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3      5.90%     10/25/2036      1,653,356  
2,549,863    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1      5.90%     10/25/2036      2,428,020  
5,066,935    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1      5.87%       10/25/2036      4,824,935  
11,310,387    Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      11,091,855  
5,775,921    Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1, (-1 x 1 Month LIBOR USD + 12.11%, 12.11% Cap)      9.21%  ^I/F     04/15/2036      5,550,821  
9,403,036    Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2, (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap)      10.65%  ^I/F     04/15/2036      9,151,828  
577,804    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1, (-3 x 1 Month LIBOR USD + 19.35%, 19.35% Cap)      13.13%  ^I/F     04/15/2036      581,521  
5,052,644    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3, (-1 x 1 Month LIBOR USD + 12.57%, 12.57% Cap)      9.67%  ^I/F     04/15/2036      4,592,258  
83,680,851    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      75,397,744  
10,677,552    Deutsche Securities, Inc., Series 2005-6-2A1      5.50%       12/25/2035      9,695,285  
1,745,439    Deutsche Securities, Inc., Series 2006-AB4-A1A      6.01%     10/25/2036      1,661,894  
20,428,307    Equifirst Loan Securitization Trust, Series 2007-1-A2B, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%       04/25/2037      19,643,766  
8,165,068    First Franklin Mortgage Loan Trust, Series 2006-FF3-A2B, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       02/25/2036      8,140,279  
8,591,019    First Horizon Alternative Mortgage Securities, Series 2005-AA4-1A1      3.76%     05/25/2035      7,177,730  
4,714,594    First Horizon Alternative Mortgage Securities, Series 2005-FA5-1A4      5.50%       08/25/2035      4,429,082  
7,599,200    First Horizon Alternative Mortgage Securities, Series 2005-FA8-1A4      5.50%       11/25/2035      6,454,243  
497,376    First Horizon Alternative Mortgage Securities, Series 2005-FA8-2A1      5.00%       11/25/2020      500,049  
5,536,436    First Horizon Alternative Mortgage Securities, Series 2005-FA9-A4A      5.50%       12/25/2035      4,821,057  
3,881,914    First Horizon Alternative Mortgage Securities, Series 2006-AA3-A1      4.01%     06/25/2036      3,595,901  
3,158,741    First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A12      6.00%       04/25/2036      2,501,002  
53,707    First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A6, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.75% Cap)      2.84%       04/25/2036      53,825  
2,285,442    First Horizon Alternative Mortgage Securities, Series 2006-FA2-1A5      6.00%       05/25/2036      1,794,104  
607,160    First Horizon Alternative Mortgage Securities, Series 2006-FA7-A8      6.25%       12/25/2036      515,691  
3,215,301    First Horizon Alternative Mortgage Securities, Series 2006-FA8-1A5      6.00%       02/25/2037      2,565,923  
6,665,932    First Horizon Alternative Mortgage Securities, Series 2006-RE1-A1      5.50%       05/25/2035      6,057,542  
18,614,507    First Horizon Alternative Mortgage Securities, Series 2007-FA3-A3      6.00%       06/25/2037      14,607,176  
957,812    First Horizon Alternative Mortgage Securities, Series 2007-FA3-A4      6.00%       06/25/2037      751,614  
1,091,855    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A13      6.25%       08/25/2037      863,428  
3,370,639    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A4      6.25%       08/25/2037      2,665,468  
1,583,716    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A5      6.25%       08/25/2037      1,252,387  
1,952,784    First Horizon Asset Securities, Inc., Series 2006-1-1A2      6.00%       05/25/2036      1,767,764  
5,181,379    First Horizon Asset Securities, Inc., Series 2007-1-A3      6.00%       03/25/2037      4,500,862  
3,442,573    First Horizon Asset Securities, Inc., Series 2007-4-1A1      6.00%       08/25/2037      2,894,784  
4,210,888    First Horizon Mortgage Pass-Through Trust, Series 2005-8-1A11      5.75%       02/25/2036      3,721,142  
167,954,846    Fremont Home Loan Trust, Series 2006-D-1A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       11/25/2036      112,152,991  
126,250,000    GCAT LLC, Series 2018-2-A1      4.09%     06/26/2023      126,563,353  
46,273,000    GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2-A2D, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       12/25/2035      44,272,313  
5,208,110    GMACM Mortgage Loan Trust, Series 2005-AR5-3A1      3.95%     09/19/2035      4,980,720  
7,533,824    GMACM Mortgage Loan Trust, Series 2005-J1-A14      5.50%       12/25/2035      7,318,556  
36,895,223    GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1, (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap)      2.35%       08/25/2045      26,324,074  
27,305,934    GreenPoint Mortgage Funding Trust, Series 2006-AR7-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       12/25/2046      26,634,350  
38,681,225    GreenPoint Mortgage Funding Trust, Series 2007-AR2-1A3, (1 Month LIBOR USD + 0.24%, 0.24% Floor)      2.33%       04/25/2047      35,954,914  
1,387,705    GS Mortgage Securities Corporation, Series 2008-2R-1A1      7.50%  #^     09/25/2036      987,713  
3,955,262    GS Mortgage Securities Corporation, Series 2009-3R-1A2      6.00%  #^     04/25/2037      3,964,593  
214,425    GSAA Home Equity Trust, Series 2005-12-AF3      5.07%     09/25/2035      194,251  
11,017,831    GSAA Home Equity Trust, Series 2005-7-AF3      4.75%     05/25/2035      11,086,279  
10,517,056    GSAA Home Equity Trust, Series 2006-10-AF3      5.98%     06/25/2036      5,228,267  
7,527,237    GSAA Home Equity Trust, Series 2006-10-AF4      6.30%       06/25/2036      3,740,128  
14,176,512    GSAA Home Equity Trust, Series 2006-15-AF4      5.96%       09/25/2036      7,408,081  
2,407,769    GSAA Home Equity Trust, Series 2006-18-AF3A      5.77%     11/25/2036      1,342,480  
5,262,399    GSAA Home Equity Trust, Series 2006-18-AF6      5.68%       11/25/2036      2,707,316  
5,539,737    GSAA Home Equity Trust, Series 2007-10-A1A      6.00%       11/25/2037      4,780,879  
3,417,428    GSAA Home Equity Trust, Series 2007-10-A2A      6.50%       11/25/2037      2,471,493  
26,571,214    GSAMP Trust, Series 2006-HE6-A3, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       08/25/2036      22,756,143  
12,638,279    GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF, (1 Month LIBOR USD + 0.35%, 0.35% Floor)      2.44%     03/25/2035      11,910,796  
12,638,280    GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS      2.76%  #^I/O     03/25/2035      657,259  
7,268,652    GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap)      2.44%     09/25/2035      6,584,997  
7,268,652    GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS      2.60%  #^I/O     09/25/2035      523,946  
28,106,255    GSMPS Mortgage Loan Trust, Series 2006-RP1-1AF1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.15% Cap)      2.44%     01/25/2036      25,223,337  
28,106,255    GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS      2.50%  #^I/O     01/25/2036      1,708,700  
7,073,265    GSMSC Pass-Through Trust, Series 2009-3R-3A2      5.75%  #^     04/25/2037      7,075,613  
1,949,968    GSR Mortgage Loan Trust, Series 2005-1F-1A2      5.50%       02/25/2035      1,976,311  
4,233,785    GSR Mortgage Loan Trust, Series 2005-1F-3A3      6.00%       01/25/2035      4,263,850  
630,182    GSR Mortgage Loan Trust, Series 2005-6F-3A5      6.00%       07/25/2035      668,382  
6,239,863    GSR Mortgage Loan Trust, Series 2005-6F-3A9, (-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap)      4.81%  I/FI/O     07/25/2035      593,956  
450,127    GSR Mortgage Loan Trust, Series 2005-6F-4A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       07/25/2035      423,697  
321,688    GSR Mortgage Loan Trust, Series 2005-7F-3A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       09/25/2035      311,389  
10,453,448    GSR Mortgage Loan Trust, Series 2005-8F-3A5      6.00%       11/25/2035      8,397,140  
3,690,775    GSR Mortgage Loan Trust, Series 2005-8F-4A1      6.00%       11/25/2035      3,259,737  
1,026,229    GSR Mortgage Loan Trust, Series 2006-1F-1A2      5.50%       02/25/2036      1,138,822  
818,656    GSR Mortgage Loan Trust, Series 2006-2F-2A3      5.75%       02/25/2036      792,738  
3,118,871    GSR Mortgage Loan Trust, Series 2006-2F-3A3      6.00%       02/25/2036      2,588,547  
3,745,609    GSR Mortgage Loan Trust, Series 2006-2F-3A6      6.00%       02/25/2036      3,220,812  
11,734,519    GSR Mortgage Loan Trust, Series 2006-6F-2A3      6.00%       07/25/2036      10,041,856  
5,824,204    GSR Mortgage Loan Trust, Series 2006-7F-3A4      6.25%       08/25/2036      3,822,209  
4,347,720    GSR Mortgage Loan Trust, Series 2006-9F-2A1      6.00%       10/25/2036      4,214,035  
19,433,682    GSR Mortgage Loan Trust, Series 2006-9F-4A1      6.50%       10/25/2036      16,574,519  
67,774    GSR Mortgage Loan Trust, Series 2006-9F-8A1      5.50%       08/25/2021      65,295  
1,296,744    GSR Mortgage Loan Trust, Series 2007-1F-2A2      5.50%       01/25/2037      1,541,829  
1,935,679    GSR Mortgage Loan Trust, Series 2007-4F-1A1      5.00%       07/25/2037      2,242,491  
26,579,298    GSR Mortgage Loan Trust, Series 2007-4F-3A11      6.00%       07/25/2037      24,387,165  
1,477,385    HarborView Mortgage Loan Trust, Series 2005-14-3A1A      4.03%     12/19/2035      1,468,067  
7,707,600    HarborView Mortgage Loan Trust, Series 2006-10-2A1A, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.26%       11/19/2036      7,522,390  
15,768,177    HarborView Mortgage Loan Trust, Series 2006-11-A1A, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.25%       12/19/2036      14,449,818  
67,010,545    HarborView Mortgage Loan Trust, Series 2006-14-1A1A, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.26%       01/25/2047      61,232,420  
98,858,297    HarborView Mortgage Loan Trust, Series 2006-8-1A1, (1 Month LIBOR USD + 0.20%)      2.29%       07/21/2036      75,590,574  
23,524,507    HarborView Mortgage Loan Trust, Series 2006-BU1-1A1A, (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap)      2.29%       02/19/2046      21,188,601  
61,876,814    HarborView Mortgage Loan Trust, Series 2007-3-1A1A, (1 Month LIBOR USD + 0.20%)      2.28%       05/19/2047      58,409,968  
19,222,185    HarborView Mortgage Loan Trust, Series 2007-4-1A1, (1 Month LIBOR USD + 0.22%, 10.00% Cap)      2.30%       07/19/2047      18,503,625  
31,124,784    HarborView Mortgage Loan Trust, Series 2007-7-1A1, (1 Month LIBOR USD + 1.00%, 10.50% Cap)      3.09%       10/25/2037      28,868,109  
1,188,187    Home Equity Asset Trust, Series 2003-3-M1, (1 Month LIBOR USD + 1.29%, 0.86% Floor)      3.38%       08/25/2033      1,197,096  
1,285,547    Home Equity Asset Trust, Series 2004-7-M2, (1 Month LIBOR USD + 0.99%, 0.66% Floor)      3.08%       01/25/2035      1,281,913  
12,182,000    Home Equity Loan Trust, Series 2006-B-2A4, (1 Month LIBOR USD + 0.28%, 0.28% Floor)      2.37%       06/25/2036      11,186,497  
11,548,002    Home Equity Loan Trust, Series 2007-FRE1-2AV2, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       04/25/2037      11,464,607  
1,308,772    HomeBanc Mortgage Trust, Series 2005-1-M2, (1 Month LIBOR USD + 0.49%, 0.49% Floor, 11.50% Cap)      2.58%       03/25/2035      1,129,389  
15,259,909    HomeBanc Mortgage Trust, Series 2005-3-A1, (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap)      2.33%       07/25/2035      15,191,947  
394,180    HomeBanc Mortgage Trust, Series 2006-1-3A1      3.62%     04/25/2037      407,981  
28,620,206    HSI Asset Loan Obligation Trust, Series 2007-2-3A6      6.00%       09/25/2037      20,116,793  
2,697,386    HSI Asset Loan Obligation Trust, Series 2007-AR1-3A1      3.64%     01/25/2037      2,496,553  
19,304,171    Impac Secured Assets Trust, Series 2007-1-A2, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 11.50% Cap)      2.25%       03/25/2037      17,752,483  
705,992    Impac Trust, Series 2002-9F-A1      5.22%     12/25/2032      710,507  
32,687,222    IndyMac IMSC Mortgage Loan Trust, Series 2007-F1-2A1      6.50%       06/25/2037      17,644,775  
7,632,447    IndyMac INDX Mortgage Loan Trust, Series 2007-AR13-2A1      3.88%     07/25/2037      6,332,598  
1,823,463    IndyMac Mortgage Loan Trust, Series 2006-AR2-1A1      3.63%     09/25/2036      1,668,425  
4,994,172    IndyMac Mortgage Loan Trust, Series 2006-AR2-4A1      3.70%     09/25/2036      4,849,240  
20,661,660    IndyMac Mortgage Loan Trust, Series 2006-AR3-1A1      3.75%     12/25/2036      19,875,002  
6,925,368    IndyMac Mortgage Loan Trust, Series 2006-AR7-3A1      3.71%     05/25/2036      6,181,106  
4,682,775    IndyMac Mortgage Loan Trust, Series 2007-A1-A1      6.00%       08/25/2037      3,729,836  
3,428,157    IndyMac Mortgage Loan Trust, Series 2007-A1-A7      6.00%       08/25/2037      2,730,531  
21,911,254    IndyMac Mortgage Loan Trust, Series 2007-A3-A1      6.25%       11/25/2037      17,540,381  
7,065,147    IndyMac Mortgage Loan Trust, Series 2007-AR1-3A1      3.35%     03/25/2037      6,682,714  
5,487,899    IndyMac Mortgage Loan Trust, Series 2007-AR3-3A1      3.75%     07/25/2037      5,148,630  
487,957    IndyMac Mortgage Loan Trust, Series 2007-F2-1A2      6.00%       07/25/2037      451,376  
25,644,852    IndyMac Mortgage Loan Trust, Series 2007-F2-2A1      6.50%       07/25/2037      16,589,270  
5,842,164    Jefferies & Company, Inc., Series 2010-R4-1A4      6.00%  #^     10/26/2036      5,858,826  
11,390,624    JP Morgan Alternative Loan Trust, Series 2005-S1-2A11      6.00%       12/25/2035      11,103,483  
3,651,591    JP Morgan Alternative Loan Trust, Series 2005-S1-2A9      6.00%       12/25/2035      3,559,540  
3,827,493    JP Morgan Alternative Loan Trust, Series 2006-S1-1A8      5.75%       03/25/2036      3,387,104  
14,635,653    JP Morgan Alternative Loan Trust, Series 2006-S2-A4      6.19%       05/25/2036      13,743,873  
1,274,557    JP Morgan Alternative Loan Trust, Series 2006-S4-A3A      5.78%       12/25/2036      1,269,990  
25,781,829    JP Morgan Alternative Loan Trust, Series 2006-S4-A4      5.96%       12/25/2036      24,086,364  
10,619,441    JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3      5.46%       09/25/2029      8,772,891  
4,109,066    JP Morgan Mortgage Acquisition Trust, Series 2006-WF1-A5      6.41%       07/25/2036      2,092,170  
23,000,000    JP Morgan Mortgage Acquisition Trust, Series 2007-CH1-AF5      4.94%       11/25/2036      22,647,311  
9,690,000    JP Morgan Mortgage Acquisition Trust, Series 2007-CH3-M2, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       03/25/2037      8,341,620  
1,277,284    JP Morgan Mortgage Trust, Series 2005-A6-5A1      3.48%     08/25/2035      1,277,272  
7,916,154    JP Morgan Mortgage Trust, Series 2005-S1-1A2      6.50%       01/25/2035      8,653,475  
896,784    JP Morgan Mortgage Trust, Series 2005-S2-2A13      5.50%       09/25/2035      894,722  
1,511,536    JP Morgan Mortgage Trust, Series 2006-S2-3A3      6.00%       07/25/2036      1,212,366  
4,875,004    JP Morgan Mortgage Trust, Series 2006-S2-3A5      6.25%       07/25/2036      3,866,228  
3,632,667    JP Morgan Mortgage Trust, Series 2006-S3-1A2      6.00%       08/25/2036      2,937,111  
9,524,310    JP Morgan Mortgage Trust, Series 2006-S3-1A21, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.50% Cap)      2.47%       08/25/2036      3,973,436  
9,524,310    JP Morgan Mortgage Trust, Series 2006-S3-1A22, (-1 x 1 Month LIBOR USD + 7.12%, 7.12% Cap)      5.03%  I/FI/O     08/25/2036      2,654,126  
1,692,718    JP Morgan Mortgage Trust, Series 2006-S3-1A9      6.00%       08/25/2036      1,368,609  
8,314,497    JP Morgan Mortgage Trust, Series 2006-S4-A8, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)      2.47%       01/25/2037      4,771,441  
8,314,497    JP Morgan Mortgage Trust, Series 2006-S4-A9, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     01/25/2037      1,717,519  
2,128,845    JP Morgan Mortgage Trust, Series 2007-A2-2A1      3.75%     04/25/2037      2,055,127  
9,971,077    JP Morgan Mortgage Trust, Series 2007-S1-2A6      6.00%       03/25/2037      7,972,686  
3,683,689    JP Morgan Mortgage Trust, Series 2007-S3-1A1      5.50%       08/25/2037      3,025,285  
7,049,035    JP Morgan Mortgage Trust, Series 2007-S3-1A35      6.00%       08/25/2037      5,791,007  
1,188,424    JP Morgan Mortgage Trust, Series 2007-S3-1A9      6.00%       08/25/2037      976,235  
6,499,552    JP Morgan Mortgage Trust, Series 2007-S3-1A96      6.00%       08/25/2037      5,339,076  
7,407,245    JP Morgan Mortgage Trust, Series 2007-S3-1A97      6.00%       08/25/2037      6,084,704  
735,059    JP Morgan Mortgage Trust, Series 2007-S3-2A2      5.50%       08/25/2022      680,969  
54,200,000    JP Morgan Mortgage Trust, Series 2018-7FRB-A2, (1 Month LIBOR USD + 0.75%)      2.84%     04/25/2046      54,334,958  
9,463,524    JP Morgan Resecuritization Trust, Series 2009-4-3A2      6.00%     02/26/2037      7,950,915  
16,899,671    JP Morgan Resecuritization Trust, Series 2009-7-7A1      7.00%  #^     09/27/2037      12,811,348  
17,907,350    JP Morgan Resecuritization Trust, Series 2010-1-1A4      6.00%     02/26/2037      15,843,741  
14,015,170    JP Morgan Resecuritization Trust, Series 2010-2-3A9      6.00%     07/26/2036      14,316,242  
3,139,557    Lehman Mortgage Trust, Series 2005-2-3A5      5.50%       12/25/2035      2,859,091  
2,815,778    Lehman Mortgage Trust, Series 2005-2-5A5      5.75%       12/25/2035      2,783,158  
4,224,057    Lehman Mortgage Trust, Series 2005-3-2A1      6.00%       01/25/2036      4,153,351  
359,695    Lehman Mortgage Trust, Series 2005-3-2A3      5.50%       01/25/2036      345,541  
1,931,899    Lehman Mortgage Trust, Series 2005-3-2A7      6.00%       01/25/2036      1,898,726  
1,725,904    Lehman Mortgage Trust, Series 2006-1-1A1, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       02/25/2036      1,296,829  
5,177,713    Lehman Mortgage Trust, Series 2006-1-1A2, (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.66%  I/FI/O     02/25/2036      646,972  
6,663,770    Lehman Mortgage Trust, Series 2006-1-3A1, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       02/25/2036      6,156,096  
6,663,770    Lehman Mortgage Trust, Series 2006-1-3A2, (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.66%  I/FI/O     02/25/2036      393,656  
4,293,410    Lehman Mortgage Trust, Series 2006-1-3A4      5.50%       02/25/2036      4,306,122  
3,738,974    Lehman Mortgage Trust, Series 2006-4-1A3, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     08/25/2036      463,669  
2,376,411    Lehman Mortgage Trust, Series 2006-4-1A4      6.00%       08/25/2036      2,316,866  
6,928,150    Lehman Mortgage Trust, Series 2006-5-2A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap)      2.44%       09/25/2036      3,035,242  
14,431,261    Lehman Mortgage Trust, Series 2006-5-2A2, (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)      5.06%  I/FI/O     09/25/2036      3,334,868  
10,628,865    Lehman Mortgage Trust, Series 2006-6-3A9      5.50%       10/25/2036      9,549,933  
3,233,425    Lehman Mortgage Trust, Series 2006-6-4A5      6.00%       12/25/2036      3,063,982  
3,676,918    Lehman Mortgage Trust, Series 2006-7-2A2, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       11/25/2036      1,758,511  
12,776,040    Lehman Mortgage Trust, Series 2006-7-2A5, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     11/25/2036      2,823,861  
2,939,101    Lehman Mortgage Trust, Series 2006-9-1A19, (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap)      21.06%  I/F     01/25/2037      3,840,101  
3,239,045    Lehman Mortgage Trust, Series 2006-9-1A5, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 5.75% Cap)      2.69%       01/25/2037      2,449,722  
9,643,588    Lehman Mortgage Trust, Series 2006-9-1A6, (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)      3.06%  I/FI/O     01/25/2037      1,026,165  
4,481,020    Lehman Mortgage Trust, Series 2006-9-2A1, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)      2.47%       01/25/2037      2,096,255  
8,472,059    Lehman Mortgage Trust, Series 2006-9-2A2, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     01/25/2037      1,955,061  
8,713,474    Lehman Mortgage Trust, Series 2007-10-2A1      6.50%       01/25/2038      6,508,663  
2,736,084    Lehman Mortgage Trust, Series 2007-2-1A1      5.75%       02/25/2037      2,464,934  
2,977,186    Lehman Mortgage Trust, Series 2007-4-2A11, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       05/25/2037      1,492,397  
13,182,692    Lehman Mortgage Trust, Series 2007-4-2A8, (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)      4.58%  I/FI/O     05/25/2037      3,203,206  
1,195,193    Lehman Mortgage Trust, Series 2007-4-2A9, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       05/25/2037      619,131  
12,207,827    Lehman Mortgage Trust, Series 2007-5-11A1      5.16%     06/25/2037      10,422,928  
1,981,981    Lehman Mortgage Trust, Series 2007-5-3A4      5.00%       12/25/2035      1,820,139  
1,474,300    Lehman Mortgage Trust, Series 2007-5-4A3, (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)      27.53%  I/F     08/25/2036      2,452,560  
917,932    Lehman Mortgage Trust, Series 2007-5-7A3      7.50%       10/25/2036      761,840  
383,272    Lehman Mortgage Trust, Series 2007-6-1A8      6.00%       07/25/2037      370,464  
5,276,318    Lehman Mortgage Trust, Series 2008-2-1A6      6.00%       03/25/2038      4,021,291  
616,388    Lehman XS Trust, Series 2005-10-2A3B      5.34%       01/25/2036      673,814  
9,560,116    Lehman XS Trust, Series 2005-4-2A3A      5.00%       10/25/2035      9,707,437  
14,717,480    Lehman XS Trust, Series 2005-9N-2A1, (12 Month US Treasury Average + 1.06%, 1.06% Floor)      2.62%       02/25/2036      13,670,892  
15,035,186    Lehman XS Trust, Series 2006-5-1A1A, (1 Month LIBOR USD + 0.21%, 0.21% Floor)      2.30%       04/25/2036      15,401,630  
599,784    Lehman XS Trust, Series 2006-5-2A4A      5.89%       04/25/2036      720,493  
15,837,658    Lehman XS Trust, Series 2006-GP3-1A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       06/25/2046      15,318,290  
15,552,020    Lehman XS Trust, Series 2007-1-2A1      4.85%     02/25/2037      15,823,294  
24,227,659    Lehman XS Trust, Series 2007-12N-1A3A, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.16%       07/25/2047      22,466,395  
2,074,802    Long Beach Mortgage Loan Trust, Series 2006-WL1-2A3, (1 Month LIBOR USD + 0.48%, 0.24% Floor)      2.57%       01/25/2046      2,080,843  
7,893,296    Luminent Mortgage Trust, Series 2005-1-A1, (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap)      2.35%       11/25/2035      7,729,015  
3,996,171    MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1      3.54%     03/25/2035      3,163,254  
2,490,068    MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1      3.38%     07/25/2035      2,230,053  
14,251,673    MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1      3.79%     11/25/2036      13,078,399  
1,685,859    MASTR Alternative Loans Trust, Series 2005-2-3A1      6.00%       03/25/2035      1,631,088  
381,456    MASTR Alternative Loans Trust, Series 2005-5-2A3      5.50%       07/25/2025      385,885  
3,579,338    MASTR Alternative Loans Trust, Series 2005-6-1A5      5.50%       12/25/2035      3,446,401  
2,146,667    MASTR Alternative Loans Trust, Series 2006-3-1A2      6.25%       07/25/2036      1,887,909  
3,793,175    MASTR Alternative Loans Trust, Series 2007-1-1A5      5.75%       10/25/2036      3,650,486  
5,195,406    MASTR Alternative Loans Trust, Series 2007-1-2A7      6.00%       10/25/2036      3,466,291  
4,636,591    MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3, (1 Month LIBOR USD + 4.13%, 2.75% Floor)      6.22%       12/25/2032      4,858,856  
13,009,237    MASTR Asset Backed Securities Trust, Series 2006-AM2-A3, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       06/25/2036      11,394,109  
28,613,427    MASTR Asset Backed Securities Trust, Series 2007-HE1-A3, (1 Month LIBOR USD + 0.21%, 0.21% Floor)      2.30%       05/25/2037      27,292,219  
4,649,431    MASTR Asset Securitization Trust, Series 2006-1-1A4      5.75%       05/25/2036      4,360,853  
3,045,002    MASTR Asset Securitization Trust, Series 2006-2-1A11, (1 Month LIBOR USD + 6.00%, 6.00% Floor)      6.00%       06/25/2036      2,974,993  
3,539,170    MASTR Asset Securitization Trust, Series 2007-1-1A3      6.25%       11/25/2037      2,832,469  
16,452,166    MASTR Resecuritization Trust, Series 2008-4-A1      6.00%  #^     06/27/2036      14,587,502  
2,132,231    MASTR Seasoned Securitization Trust, Series 2005-2-1A4      6.00%       10/25/2032      2,198,880  
1,110,023    MASTR Seasoned Securitization Trust, Series 2005-2-2A1, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)      2.49%       10/25/2032      1,047,987  
20,077,625    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4, (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap)      2.41%       03/25/2037      10,800,190  
20,077,625    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5, (-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap)      4.59%  I/FI/O     03/25/2037      4,750,986  
3,906,846    Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A      3.80%     10/25/2036      3,838,835  
1,913,173    Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2      6.00%       04/25/2036      1,676,326  
63,378,051    MFA LLC, Series 2018-NPL1-A1      3.88%     05/25/2048      63,405,937  
37,118,485    MFA Trust, Series 2017-NPL1-A1      3.35%     11/25/2047      36,916,550  
35,833,697    Morgan Stanley Home Equity Loan Trust, Series 2007-1-A4, (1 Month LIBOR USD + 0.22%, 0.22% Floor)      2.31%       12/25/2036      22,343,030  
1,517,719    Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)      2.79%       12/25/2035      1,240,391  
3,802,584    Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6      5.75%       12/25/2035      3,587,584  
5,283,293    Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1      5.50%     12/25/2035      5,271,065  
215,880    Morgan Stanley Mortgage Loan Trust, Series 2005-6AR-1A1, (1 Month LIBOR USD + 0.28%, 0.28% Floor)      2.37%       11/25/2035      217,213  
5,713,453    Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6      6.23%       08/25/2036      2,479,739  
10,934,017    Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1      6.00%       08/25/2036      9,015,886  
7,115,434    Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A      5.65%       10/25/2046      3,850,162  
2,301,494    Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6      5.58%       10/25/2046      1,093,268  
4,920,189    Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3      5.75%       02/25/2036      4,937,750  
29,583,160    Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A      5.04%     06/25/2036      25,975,694  
2,818,833    Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4      6.00%       06/25/2036      2,474,656  
2,853,581    Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7      6.00%       06/25/2036      2,505,162  
3,820,511    Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1      6.00%       10/25/2037      3,390,651  
11,291,558    Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3      3.56%     10/25/2037      10,212,233  
3,778,231    Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3      5.92%       09/25/2046      1,773,049  
2,680,080    Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A      6.08%       09/25/2046      1,443,412  
1,060,430    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A      5.62%       01/25/2047      968,483  
7,472,560    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S      5.86%       01/25/2047      4,449,683  
4,370,742    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S      5.96%       01/25/2047      2,602,287  
4,617,505    Morgan Stanley Re-Remic Trust, Series 2010-R9-1B      6.00%  #^     08/26/2036      3,685,338  
27,000,155    Morgan Stanley Re-Remic Trust, Series 2010-R9-3C      6.00%  #^     11/26/2036      27,131,910  
4,044,935    Morgan Stanley Re-Remic Trust, Series 2011-R1-1A      5.94%  #^     02/26/2037      4,253,193  
14,476,450    New Century Alternative Mortgage Loan Trust, Series 2006-ALT1-AF3      6.17%     07/25/2036      8,169,708  
33,589,250    New Century Home Equity Loan Trust, Series 2005-2-M3, (1 Month LIBOR USD + 0.74%, 0.49% Floor)      2.83%       06/25/2035      33,697,730  
12,500,000    New Century Home Equity Loan Trust, Series 2006-1-A2C, (1 Month LIBOR USD + 0.28%, 0.28% Floor, 12.50% Cap)      2.37%       05/25/2036      10,466,504  
12,557,011    New Residential Mortgage Loan Trust, Series 2014-2A-A3      3.75%  #^     05/25/2054      12,638,564  
40,050,735    New Residential Mortgage Loan Trust, Series 2015-2A-A1      3.75%  #^     08/25/2055      40,229,513  
93,838,880    New Residential Mortgage Loan Trust, Series 2018-FNT1-A      3.61%     05/25/2023      94,019,802  
673,261    New York Mortgage Trust, Series 2005-2-A, (1 Month LIBOR USD + 0.66%, 0.33% Floor, 10.50% Cap)      2.75%      08/25/2035      649,395  
240,059    Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5      4.86%       02/25/2035      241,152  
16,043,621    Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2      6.16%     05/25/2036      6,610,687  
3,260,350    Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3      6.41%     05/25/2036      1,342,774  
19,262,891    Nomura Asset Acceptance Corporation, Series 2006-AP1-A2      5.52%     01/25/2036      10,398,964  
3,255,834    Nomura Asset Acceptance Corporation, Series 2006-AP1-A3      5.65%     01/25/2036      1,760,425  
1,587,915    Nomura Asset Acceptance Corporation, Series 2006-WF1-A2      5.76%     06/25/2036      858,856  
18,016,058    Nomura Home Equity Loan, Inc., Series 2006-AF1-A2      5.80%       10/25/2036      7,636,650  
3,275,641    Nomura Home Equity Loan, Inc., Series 2007-1-1A1      6.06%       02/25/2037      1,650,153  
16,326,548    Nomura Home Equity Loan, Inc., Series 2007-1-1A3      5.99%       02/25/2037      8,225,586  
59,011,536    NRZ Excess Spread-Collateralized Notes, Series 2018-PLS2-A      3.27%     02/25/2023      58,790,827  
57,005,124    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1      3.00%     07/25/2057      56,582,311  
82,072,851    OBX Trust, Series 2018-1-A2, (1 Month LIBOR USD + 0.65%)      2.74%     06/25/2057      82,375,848  
1,016,497    Option One Mortgage Loan Trust, Series 2004-3-M3, (1 Month LIBOR USD + 0.98%, 0.65% Floor)      3.07%       11/25/2034      1,027,491  
96,481,892    Option One Mortgage Loan Trust, Series 2007-6-1A1, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%       07/25/2037      83,576,513  
13,000,000    Park Place Securities, Inc., Series 2005-WHQ4-M2, (1 Month LIBOR USD + 0.49%, 0.49% Floor)      2.58%       09/25/2035      13,007,075  
7,750,757    PHH Alternative Mortgage Trust, Series 2007-1-1A1, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.10% Cap)      2.25%       02/25/2037      6,708,194  
20,637,175    PHH Alternative Mortgage Trust, Series 2007-2-2A1      6.00%       05/25/2037      19,052,023  
809,760    PHH Alternative Mortgage Trust, Series 2007-2-3A1      6.00%       05/25/2037      735,151  
230,490,199    PR Mortgage Loan Trust, Series 2014-1-APT      5.91%  #^     10/25/2049      204,995,701  
37,827,342    Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1      3.47%     09/25/2022      37,697,923  
60,785,319    Pretium Mortgage Credit Partners LLC, Series 2017-NPL2-A1      3.25%     03/28/2057      60,707,915  
24,092,008    Pretium Mortgage Credit Partners LLC, Series 2017-NPL3-A1      3.25%     06/29/2032      24,003,227  
13,283,469    Pretium Mortgage Credit Partners LLC, Series 2017-NPL5-A1      3.33%  #^     12/30/2032      13,258,623  
85,451,549    Pretium Mortgage Credit Partners LLC, Series 2018-NPL1-A1      3.38%     01/27/2033      84,946,830  
71,844,224    Pretium Mortgage Credit Partners LLC, Series 2018-NPL2-A1      3.70%     03/27/2033      71,707,404  
10,840,857    Prime Mortgage Trust, Series 2006-DR1-2A1      5.50%     05/25/2035      7,851,812  
5,117,264    Prime Mortgage Trust, Series 2006-DR1-2A2      6.00%     05/25/2035      3,777,494  
54,464,856    PRPM LLC, Series 2017-3A-A1      3.47%  #^     11/25/2022      54,369,531  
28,598,672    RBSGC Structured Trust, Series 2008-B-A1      6.00%     06/25/2037      27,183,753  
5,356,252    RBSSP Resecuritization Trust, Series 2010-4-7A2      6.00%     07/26/2037      4,559,949  
28,639,696    RCO Trust, Series 2016-SFR1-A      3.75%  #^     11/25/2051      28,712,298  
8,741,157    RCO Trust, Series 2016-SFR1-M1      4.50%  #^     11/25/2051      8,681,333  
1,200,021    Renaissance Home Equity Loan Trust, Series 2006-1-AF6      5.75%       05/25/2036      869,781  
10,422,516    Renaissance Home Equity Loan Trust, Series 2006-4-AF4      5.47%       01/25/2037      5,896,443  
20,524,055    Renaissance Home Equity Loan Trust, Series 2006-4-AF5      5.69%       01/25/2037      12,046,764  
8,237,170    Renaissance Home Equity Loan Trust, Series 2007-1-AF1      5.74%       04/25/2037      4,152,467  
5,811,237    Renaissance Home Equity Loan Trust, Series 2007-1-AF1Z      5.35%       04/25/2037      2,752,762  
3,505,769    Renaissance Home Equity Loan Trust, Series 2007-1-AF2      5.51%       04/25/2037      1,698,189  
5,099,725    Renaissance Home Equity Loan Trust, Series 2007-1-AF3      5.61%       04/25/2037      2,513,987  
8,277,382    Renaissance Home Equity Loan Trust, Series 2007-1-AF5      5.91%       04/25/2037      4,290,788  
17,696,892    Renaissance Home Equity Loan Trust, Series 2007-2-AF2      5.68%       06/25/2037      8,200,843  
9,571,061    Renaissance Home Equity Loan Trust, Series 2007-2-AF5      6.20%       06/25/2037      4,888,287  
33,092,210    Residential Accredit Loans, Inc., Series 2005-QA11-4A1      4.25%     10/25/2035      28,392,544  
18,241,900    Residential Accredit Loans, Inc., Series 2005-QA13-2A1      4.52%     12/25/2035      16,667,190  
13,321,624    Residential Accredit Loans, Inc., Series 2005-QA3-CB1      4.17%     03/25/2035      8,811,741  
496,277    Residential Accredit Loans, Inc., Series 2005-QS12-A11, (-11 x 1 Month LIBOR USD + 51.15%, 51.15% Cap)      28.15%  I/F     08/25/2035      727,747  
1,978,421    Residential Accredit Loans, Inc., Series 2005-QS13-1A6      5.50%       09/25/2035      1,859,633  
3,848,785    Residential Accredit Loans, Inc., Series 2005-QS13-2A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)      2.79%       09/25/2035      3,333,227  
15,780,020    Residential Accredit Loans, Inc., Series 2005-QS13-2A2, (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap)      2.96%  I/FI/O     09/25/2035      1,337,486  
7,841,434    Residential Accredit Loans, Inc., Series 2005-QS14-2A1      6.00%       09/25/2035      5,502,307  
3,025,435    Residential Accredit Loans, Inc., Series 2005-QS15-2A      6.00%       10/25/2035      2,735,596  
3,771,378    Residential Accredit Loans, Inc., Series 2005-QS15-3A      6.00%       10/25/2035      3,654,277  
3,943,238    Residential Accredit Loans, Inc., Series 2005-QS16-A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)      2.79%       11/25/2035      3,289,815  
3,942,556    Residential Accredit Loans, Inc., Series 2005-QS16-A2, (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap)      2.71%  I/FI/O     11/25/2035      313,534  
1,921,412    Residential Accredit Loans, Inc., Series 2005-QS17-A1      6.00%       12/25/2035      1,860,259  
1,331,440    Residential Accredit Loans, Inc., Series 2005-QS17-A10      6.00%       12/25/2035      1,289,064  
5,568,659    Residential Accredit Loans, Inc., Series 2005-QS17-A11      6.00%       12/25/2035      5,391,424  
3,958,027    Residential Accredit Loans, Inc., Series 2005-QS17-A2, (1 Month LIBOR USD + 0.85%, 0.85% Floor, 6.00% Cap)      2.94%       12/25/2035      3,253,363  
3,958,027    Residential Accredit Loans, Inc., Series 2005-QS17-A4, (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)      3.06%  I/FI/O     12/25/2035      376,151  
3,184,751    Residential Accredit Loans, Inc., Series 2005-QS17-A6      6.00%       12/25/2035      3,083,389  
34,642    Residential Accredit Loans, Inc., Series 2005-QS1-A5      5.50%       01/25/2035      34,651  
1,585,593    Residential Accredit Loans, Inc., Series 2005-QS5-A3      5.70%       04/25/2035      1,589,988  
1,295,918    Residential Accredit Loans, Inc., Series 2005-QS9-A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       06/25/2035      1,127,339  
3,147,102    Residential Accredit Loans, Inc., Series 2005-QS9-A4, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     06/25/2035      255,667  
1,589,199    Residential Accredit Loans, Inc., Series 2006-QS10-A4      5.75%       08/25/2036      1,429,493  
10,288,667    Residential Accredit Loans, Inc., Series 2006-QS11-1A1      6.50%       08/25/2036      9,439,967  
1,901,674    Residential Accredit Loans, Inc., Series 2006-QS12-1A1      6.50%       09/25/2036      1,438,600  
4,251,140    Residential Accredit Loans, Inc., Series 2006-QS12-2A18      5.75%       09/25/2036      4,008,638  
6,408,893    Residential Accredit Loans, Inc., Series 2006-QS14-A18      6.25%       11/25/2036      5,752,522  
3,039,859    Residential Accredit Loans, Inc., Series 2006-QS15-A1      6.50%       10/25/2036      2,867,264  
1,358,541    Residential Accredit Loans, Inc., Series 2006-QS16-A10      6.00%       11/25/2036      1,219,140  
4,830,755    Residential Accredit Loans, Inc., Series 2006-QS16-A11      6.00%       11/25/2036      4,335,068  
1,410,151    Residential Accredit Loans, Inc., Series 2006-QS16-A7      6.00%       11/25/2036      1,265,455  
1,523,835    Residential Accredit Loans, Inc., Series 2006-QS16-A8      6.00%       11/25/2036      1,367,473  
603,010    Residential Accredit Loans, Inc., Series 2006-QS16-A9      6.00%       11/25/2036      541,135  
2,856,232    Residential Accredit Loans, Inc., Series 2006-QS17-A4      6.00%       12/25/2036      2,640,115  
15,867,992    Residential Accredit Loans, Inc., Series 2006-QS17-A5      6.00%       12/25/2036      14,667,338  
1,671,673    Residential Accredit Loans, Inc., Series 2006-QS1-A6, (-8 x 1 Month LIBOR USD + 42.86%, 42.86% Cap)      26.82%  I/F     01/25/2036      2,481,809  
10,762,842    Residential Accredit Loans, Inc., Series 2006-QS3-1A11      6.00%       03/25/2036      10,255,372  
2,530,662    Residential Accredit Loans, Inc., Series 2006-QS4-A8, (-790 x 1 Month LIBOR USD + 5,143.00%, 0.10% Floor, 8.00% Cap)      8.00%  I/F     04/25/2036      2,447,578  
6,963,600    Residential Accredit Loans, Inc., Series 2006-QS5-A3      6.00%       05/25/2036      6,524,871  
20,754,147    Residential Accredit Loans, Inc., Series 2006-QS5-A4      6.00%       05/25/2036      19,446,569  
2,689,352    Residential Accredit Loans, Inc., Series 2006-QS6-1A16      6.00%       06/25/2036      2,473,801  
4,423,424    Residential Accredit Loans, Inc., Series 2006-QS6-1A2      6.00%       06/25/2036      4,068,888  
9,164,088    Residential Accredit Loans, Inc., Series 2006-QS8-A1      6.00%       08/25/2036      8,424,396  
15,891,866    Residential Accredit Loans, Inc., Series 2006-QS8-A5, (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.46%  I/FI/O     08/25/2036      1,754,961  
5,566,234    Residential Accredit Loans, Inc., Series 2006-QS9-1A6, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     07/25/2036      630,024  
32,558,770    Residential Accredit Loans, Inc., Series 2007-QH5-AII, (1 Month LIBOR USD + 0.23%, 0.23% Floor)      2.32%       06/25/2037      18,239,276  
5,301,277    Residential Accredit Loans, Inc., Series 2007-QS11-A1      7.00%       10/25/2037      4,667,961  
17,639,495    Residential Accredit Loans, Inc., Series 2007-QS1-1A2, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     01/25/2037      1,872,094  
1,775,602    Residential Accredit Loans, Inc., Series 2007-QS1-1A4      6.00%       01/25/2037      1,667,659  
4,346,397    Residential Accredit Loans, Inc., Series 2007-QS1-2A10      6.00%       01/25/2037      3,921,312  
770,838    Residential Accredit Loans, Inc., Series 2007-QS2-A6      6.25%       01/25/2037      719,427  
29,682,046    Residential Accredit Loans, Inc., Series 2007-QS3-A1      6.50%       02/25/2037      26,957,012  
4,732,987    Residential Accredit Loans, Inc., Series 2007-QS3-A4      6.25%       02/25/2037      4,242,314  
7,651,534    Residential Accredit Loans, Inc., Series 2007-QS4-3A3      6.00%       03/25/2037      7,117,870  
3,455,495    Residential Accredit Loans, Inc., Series 2007-QS5-A1      5.50%       03/25/2037      3,128,189  
1,425,533    Residential Accredit Loans, Inc., Series 2007-QS5-A5, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap)      2.39%       03/25/2037      1,098,876  
4,734,520    Residential Accredit Loans, Inc., Series 2007-QS5-A8, (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.61%  I/FI/O     03/25/2037      732,184  
3,775,566    Residential Accredit Loans, Inc., Series 2007-QS6-A102      5.75%       04/25/2037      3,443,687  
1,213,954    Residential Accredit Loans, Inc., Series 2007-QS6-A13, (-8 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)      37.57%  I/F     04/25/2037      2,089,645  
5,406,315    Residential Accredit Loans, Inc., Series 2007-QS6-A45      5.75%       04/25/2037      4,931,089  
8,615,996    Residential Accredit Loans, Inc., Series 2007-QS6-A6      6.25%       04/25/2037      8,071,686  
595,080    Residential Accredit Loans, Inc., Series 2007-QS6-A77, (-8 x 1 Month LIBOR USD + 55.83%, 55.83% Cap)      38.41%  I/F     04/25/2037      1,041,953  
7,784,096    Residential Accredit Loans, Inc., Series 2007-QS7-2A1      6.75%       06/25/2037      5,047,284  
30,271,397    Residential Accredit Loans, Inc., Series 2007-QS9-A33      6.50%       07/25/2037      28,198,173  
3,746,496    Residential Asset Mortgage Products, Inc., Series 2004-RS7-A3      4.18%     07/25/2034      3,546,047  
4,002,919    Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5      5.41%       01/25/2035      4,026,271  
38,590,757    Residential Asset Mortgage Products, Inc., Series 2005-RS9-AI4, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       11/25/2035      35,982,118  
27,883,974    Residential Asset Mortgage Products, Inc., Series 2006-RS2-A3A, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap)      2.39%       03/25/2036      27,325,536  
7,375,683    Residential Asset Mortgage Products, Inc., Series 2006-RZ3-A3, (1 Month LIBOR USD + 0.29%, 0.29% Floor, 14.00% Cap)      2.38%       08/25/2036      7,377,456  
12,018,874    Residential Asset Mortgage Products, Inc., Series 2006-RZ5-A3, (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)      2.34%       08/25/2046      11,980,600  
27,100,365    Residential Asset Securities Corporation, Series 2005-KS11-M2, (1 Month LIBOR USD + 0.42%, 0.42% Floor, 14.00% Cap)      2.51%       12/25/2035      27,057,977  
6,296,413    Residential Asset Securities Corporation, Series 2006-EMX5-A3, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap)      2.25%       07/25/2036      5,990,164  
35,045,851    Residential Asset Securities Corporation, Series 2007-EMX1-A13, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.00% Cap)      2.29%       01/25/2037      30,945,773  
21,427,408    Residential Asset Securities Corporation, Series 2007-KS3-AI3, (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)      2.34%       04/25/2037      21,136,539  
5,981,942    Residential Asset Securitization Trust, Series 2005-A11-2A4      6.00%       10/25/2035      4,761,739  
2,832,915    Residential Asset Securitization Trust, Series 2005-A12-A7, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     11/25/2035      334,511  
2,564,249    Residential Asset Securitization Trust, Series 2005-A12-A8, (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap)      2.64%       11/25/2035      1,930,160  
10,378,056    Residential Asset Securitization Trust, Series 2005-A13-2A1      5.50%       10/25/2035      7,412,308  
10,324,636    Residential Asset Securitization Trust, Series 2005-A15-5A3      5.75%       02/25/2036      7,936,134  
1,940,215    Residential Asset Securitization Trust, Series 2005-A7-A3      5.50%       06/25/2035      1,690,223  
4,885,921    Residential Asset Securitization Trust, Series 2005-A8CB-A11      6.00%       07/25/2035      4,520,798  
4,887,312    Residential Asset Securitization Trust, Series 2005-A8CB-A2, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     07/25/2035      584,722  
6,021,706    Residential Asset Securitization Trust, Series 2006-A10-A5      6.50%       09/25/2036      4,189,512  
881,774    Residential Asset Securitization Trust, Series 2006-A1-1A3      6.00%       04/25/2036      687,707  
7,948,007    Residential Asset Securitization Trust, Series 2006-A12-A1      6.25%       11/25/2036      5,361,369  
8,278,721    Residential Asset Securitization Trust, Series 2006-A13-A1      6.25%       12/25/2036      5,464,353  
15,052,205    Residential Asset Securitization Trust, Series 2006-A1-3A2      6.00%       04/25/2036      12,753,720  
15,131,169    Residential Asset Securitization Trust, Series 2006-A14C-2A6, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       12/25/2036      5,122,560  
33,392,220    Residential Asset Securitization Trust, Series 2006-A14C-2A7, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     12/25/2036      7,920,922  
7,301,013    Residential Asset Securitization Trust, Series 2006-A2-A11      6.00%       01/25/2046      5,474,580  
5,055,337    Residential Asset Securitization Trust, Series 2006-A2-A4      6.00%       01/25/2046      3,790,279  
658,295    Residential Asset Securitization Trust, Series 2006-A4-2A5      6.00%       05/25/2036      644,179  
5,013,155    Residential Asset Securitization Trust, Series 2006-A4-2A9      6.00%       05/25/2036      4,905,656  
4,207,879    Residential Asset Securitization Trust, Series 2006-A8-1A1      6.00%       08/25/2036      3,746,046  
6,040,000    Residential Asset Securitization Trust, Series 2006-R1-A1, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     01/25/2046      9,187,782  
32,057,363    Residential Asset Securitization Trust, Series 2007-A2-1A2      6.00%       04/25/2037      28,403,404  
973,337    Residential Asset Securitization Trust, Series 2007-A3-1A2, (-8 x 1 Month LIBOR USD + 46.38%, 46.38% Cap)      30.35%  I/F     04/25/2037      1,756,776  
23,422,945    Residential Asset Securitization Trust, Series 2007-A5-1A4, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     05/25/2037      3,979,764  
6,030,278    Residential Asset Securitization Trust, Series 2007-A5-1A6, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)      2.49%       05/25/2037      1,052,867  
6,663,746    Residential Asset Securitization Trust, Series 2007-A5-2A3      6.00%       05/25/2037      5,857,716  
2,920,379    Residential Asset Securitization Trust, Series 2007-A5-2A5      6.00%       05/25/2037      2,567,138  
12,031,120    Residential Asset Securitization Trust, Series 2007-A6-1A2      6.00%       06/25/2037      10,827,078  
9,025,268    Residential Asset Securitization Trust, Series 2007-A7-A1      6.00%       07/25/2037      6,112,274  
39,698,925    Residential Asset Securitization Trust, Series 2007-A7-A2      6.00%       07/25/2037      26,885,708  
17,589,756    Residential Asset Securitization Trust, Series 2007-A7-A6      6.00%       07/25/2037      11,912,490  
92,216    Residential Funding Mortgage Securities Trust, Series 2003-S16-A1      4.75%       09/25/2018      92,257  
3,223,701    Residential Funding Mortgage Securities Trust, Series 2005-S9-A10      6.25%       12/25/2035      3,140,302  
8,597,515    Residential Funding Mortgage Securities Trust, Series 2005-S9-A6      5.75%       12/25/2035      8,375,920  
642,171    Residential Funding Mortgage Securities Trust, Series 2005-S9-A8      5.50%       12/25/2035      617,243  
10,321,772    Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1      6.00%       10/25/2036      9,679,628  
17,923,258    Residential Funding Mortgage Securities Trust, Series 2006-S11-A1      6.00%       11/25/2036      16,913,410  
3,279,385    Residential Funding Mortgage Securities Trust, Series 2006-S5-A12      6.00%       06/25/2036      3,217,018  
224,521    Residential Funding Mortgage Securities Trust, Series 2006-S5-A15      6.00%       06/25/2036      220,251  
5,325,941    Residential Funding Mortgage Securities Trust, Series 2006-S9-A1      6.25%       09/25/2036      5,185,377  
7,721,886    Residential Funding Mortgage Securities Trust, Series 2007-S1-A7      6.00%       01/25/2037      7,425,534  
3,798,564    Residential Funding Mortgage Securities Trust, Series 2007-S2-A1      6.00%       02/25/2037      3,597,523  
4,279,501    Residential Funding Mortgage Securities Trust, Series 2007-S2-A4      6.00%       02/25/2037      4,053,006  
7,989,339    Residential Funding Mortgage Securities Trust, Series 2007-S2-A5      6.00%       02/25/2037      7,566,499  
1,248,467    Residential Funding Mortgage Securities Trust, Series 2007-S2-A9      6.00%       02/25/2037      1,182,392  
3,680,175    Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4      6.00%       03/25/2037      3,507,880  
1,148,963    Residential Funding Mortgage Securities Trust, Series 2007-S4-A1      6.00%       04/25/2037      1,087,267  
3,067,127    Residential Funding Mortgage Securities Trust, Series 2007-S4-A2      6.00%       04/25/2037      2,902,431  
26,846,299    Residential Funding Mortgage Securities Trust, Series 2007-S5-A1      6.00%       05/25/2037      25,735,216  
7,780,163    Residential Funding Mortgage Securities Trust, Series 2007-S5-A8      6.00%       05/25/2037      7,458,167  
4,306,263    Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4      6.00%       06/25/2037      4,093,946  
20,295,038    Residential Funding Mortgage Securities Trust, Series 2007-S7-A20      6.00%       07/25/2037      19,353,505  
9,975,814    Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1      6.00%       09/25/2037      9,195,771  
2,562,236    Residential Funding Mortgage Securities Trust, Series 2007-SA1-4A      4.98%     02/25/2037      2,173,391  
8,363,504    Residential Funding Mortgage Securities Trust, Series 2007-SA2-2A1      4.22%     04/25/2037      7,485,547  
26,522,835    RMAT LLC, Series 2015-PR2-A1      8.85%     11/25/2035      25,550,041  
40,517,011    Saxon Asset Securities Trust, Series 2006-3-A3, (1 Month LIBOR USD + 0.17%, 0.17% Floor, 12.25% Cap)      2.26%       10/25/2046      39,742,504  
329,015,893    Securitized Mortgage Asset Loan Trust, Series 2015-1-PC      2.73%  #^     02/25/2054      276,098,786  
64,717,753    Securitized Mortgage Asset Loan Trust, Series 2015-2-PC      0.00%  #^     12/26/2059      60,475,918  
97,205,103    Securitized Mortgage Asset Loan Trust, Series 2015-3-PC      0.00%  #^     10/25/2044      92,845,561  
172,429    Sequoia Mortgage Trust, Series 2003-4-2A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap)      2.43%       07/20/2033      167,012  
9,299,261    Sequoia Mortgage Trust, Series 2013-2-A      1.87%     02/25/2043      8,383,418  
11,233,269    Sequoia Mortgage Trust, Series 2013-6-A2      3.00%     05/25/2043      10,912,561  
69,030,362    Sequoia Mortgage Trust, Series 2015-4-A1      3.00%  #^     11/25/2030      68,425,781  
204,015,841    Sequoia Mortgage Trust, Series 2016-2-A1      3.50%  #^     08/25/2046      201,486,044  
15,164,281    SG Mortgage Securities Trust, Series 2006-FRE1-A1A, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       02/25/2036      14,217,136  
24,133,731    SG Mortgage Securities Trust, Series 2017-1-A1      3.71%  #^     04/25/2047      23,861,020  
48,939,127    Sofi Mortgage Trust, Series 2016-1A-1A4      3.00%  #^     11/25/2046      46,746,429  
29,018,906    Soundview Home Equity Loan Trust, Series 2007-NS1-A3, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       01/25/2037      28,544,287  
5,327,090    Soundview Home Loan Trust, Series 2007-OPT1-2A2, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       06/25/2037      3,875,234  
29,485,102    Soundview Home Loan Trust, Series 2007-OPT4-1A1, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.09%       09/25/2037      23,727,841  
32,359,521    Stanwich Mortgage Loan Trust Series, Series 2018-NPB1-A1      4.02%     05/16/2023      32,447,985  
11,157,098    STARM Mortgage Loan Trust, Series 2007-2-1A1      3.78%     04/25/2037      8,922,933  
4,621,394    STARM Mortgage Loan Trust, Series 2007-3-1A1      4.24%     06/25/2037      4,361,796  
4,228,721    Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12-8A      3.81%     09/25/2034      4,206,591  
7,555,191    Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1      3.75%     12/25/2035      7,270,411  
5,302,395    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12-2A1      3.79%     01/25/2037      4,883,860  
2,384,332    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-8A1      3.82%     02/25/2036      2,053,814  
3,471,217    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-6-3A1      3.66%     07/25/2036      3,021,391  
13,947    Structured Asset Securities Corporation, Series 2003-18XS-A6      4.54%     06/25/2033      14,226  
2,486,908    Structured Asset Securities Corporation, Series 2003-24A-1A3      3.62%     07/25/2033      2,509,464  
5,271,033    Structured Asset Securities Corporation, Series 2003-35-1A1      5.17%     12/25/2033      5,445,323  
1,222,838    Structured Asset Securities Corporation, Series 2004-11XS-2A2      5.00%     06/25/2034      1,862,812  
17,094,875    Structured Asset Securities Corporation, Series 2005-10-1A1      5.75%       06/25/2035      16,569,607  
546,670    Structured Asset Securities Corporation, Series 2005-10-6A1      5.00%       06/25/2020      554,548  
1,241,918    Structured Asset Securities Corporation, Series 2005-14-1A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.25% Cap)      2.39%       07/25/2035      1,004,030  
491,127    Structured Asset Securities Corporation, Series 2005-14-1A4, (-4 x 1 Month LIBOR USD + 24.53%, 24.53% Cap)      15.20%  I/F     07/25/2035      532,611  
21,714,106    Structured Asset Securities Corporation, Series 2005-14-4A1      5.75%       07/25/2035      21,826,763  
1,674,327    Structured Asset Securities Corporation, Series 2005-15-1A1      5.50%       08/25/2035      1,759,682  
4,155,505    Structured Asset Securities Corporation, Series 2005-15-2A7      5.50%       08/25/2035      4,163,658  
6,006,204    Structured Asset Securities Corporation, Series 2005-15-3A1      4.74%     08/25/2035      5,884,599  
4,977,413    Structured Asset Securities Corporation, Series 2005-16-1A2      5.50%       09/25/2035      4,992,696  
4,493,201    Structured Asset Securities Corporation, Series 2005-16-3A1      6.00%       09/25/2035      3,576,672  
5,813,261    Structured Asset Securities Corporation, Series 2005-3-1A6      5.75%       03/25/2035      5,573,573  
47,274,657    Structured Asset Securities Corporation, Series 2006-BC4-A4, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       12/25/2036      45,904,912  
103,322,544    Structured Asset Securities Corporation, Series 2007-4-1A3, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.43%  ^I/FI/O     03/28/2045      12,045,404  
25,476,324    Structured Asset Securities Corporation, Series 2007-RF1-1A, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%     03/25/2037      22,897,557  
685,374    Suntrust Alternative Loan Trust, Series 2005-1F-2A3      5.75%       12/25/2035      681,015  
1,115,087    Suntrust Alternative Loan Trust, Series 2006-1F-1A3      6.00%       04/25/2036      1,028,186  
573,812    Thornburg Mortgage Securities Trust, Series 2003-6-A2, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.50% Cap)      2.59%       12/25/2033      530,089  
5,540,005    Thornburg Mortgage Securities Trust, Series 2004-4-5A      3.08%     12/25/2044      5,475,554  
16,879,109    Thornburg Mortgage Securities Trust, Series 2007-1-A1, (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)      4.07%       03/25/2037      16,184,471  
3,532,072    Thornburg Mortgage Securities Trust, Series 2007-1-A2A, (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)      4.07%       03/25/2037      3,077,679  
9,580,668    Towd Point Mortgage Trust, Series 2015-1-AE      3.00%     10/25/2053      9,525,593  
7,402,271    Towd Point Mortgage Trust, Series 2015-1-AES      3.00%  #^     10/25/2053      7,379,463  
5,997,103    Towd Point Mortgage Trust, Series 2015-2-1A12      2.75%  #^     11/25/2060      5,917,231  
15,978,958    Towd Point Mortgage Trust, Series 2015-2-1A13      2.50%  #^     11/25/2060      15,686,117  
46,736,675    Towd Point Mortgage Trust, Series 2015-5-A1B      2.75%  #^     05/25/2055      46,210,368  
59,670,253    Towd Point Mortgage Trust, Series 2015-6-A1B      2.75%  #^     04/25/2055      58,899,009  
16,006,493    US Residential Opportunity Fund Trust, Series 2017-1II-A      3.35%     11/27/2037      15,903,449  
124,057,053    US Residential Opportunity Fund Trust, Series 2017-1III-A      3.35%     11/27/2037      123,802,401  
38,487,646    US Residential Opportunity Fund Trust, Series 2017-1IV-A      3.35%     11/27/2037      38,188,062  
44,588,691    Velocity Commercial Capital Loan Trust, Series 2017-2-AFX      3.07%  #^     11/25/2047      44,052,066  
18,392,070    Velocity Commercial Capital Loan Trust, Series 2016-1-AFX      3.53%  #^     04/25/2046      18,318,222  
37,515,771    Verus Securitization Trust, Series 2018-INV1-A1      3.63%  #^     03/25/2058      37,646,997  
22,827,827    VOLT LLC, Series 2017-NP10-A1      3.00%     10/25/2047      22,648,035  
2,982,929    VOLT LLC, Series 2017-NPL1-A1      3.50%     02/25/2047      2,990,068  
62,503,749    VOLT LLC, Series 2017-NPL2-A1      3.50%     03/25/2047      62,446,533  
147,320,100    VOLT LLC, Series 2017-NPL3-A1      3.50%     03/25/2047      147,344,570  
75,972,391    VOLT LLC, Series 2017-NPL4-A1      3.38%     04/25/2047      75,941,296  
81,860,295    VOLT LLC, Series 2017-NPL5-A1      3.38%     05/28/2047      81,928,247  
45,879,810    VOLT LLC, Series 2017-NPL6-A1      3.25%     05/25/2047      45,657,320  
103,320,191    VOLT LLC, Series 2017-NPL7-A1      3.25%     06/25/2047      103,002,068  
61,147,644    VOLT LLC, Series 2017-NPL8-A1      3.13%     06/25/2047      60,874,021  
64,298,327    VOLT LLC, Series 2017-NPL9-A1      3.13%     09/25/2047      63,930,477  
130,646,783    VOLT LLC, Series 2018-NPL1      3.75%     04/25/2048      130,859,959  
6,904,917    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A      6.00%       03/25/2035      6,524,409  
2,549,700    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-4-5A1      5.50%       06/25/2035      2,494,561  
1,023,741    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB12, (-11 x 1 Month LIBOR USD + 50.60%, 50.60% Cap)      27.60%  I/F     07/25/2035      1,509,084  
3,315,125    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB6, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.50% Cap)      2.69%       07/25/2035      2,945,748  
960,644    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6-2A7      5.50%       08/25/2035      936,051  
12,771,328    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB6, (1 Month LIBOR USD + 1.45%, 1.45% Floor, 6.00% Cap)      3.54%       08/25/2035      12,187,492  
1,161,030    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB7, (-11 x 1 Month LIBOR USD + 50.05%, 50.05% Cap)      27.05%  I/F     08/25/2035      1,550,564  
1,415,903    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-3CB      6.50%       08/25/2035      1,238,201  
12,719,805    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-1A2      5.50%       10/25/2035      12,243,687  
10,375,599    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-2A2      5.50%       11/25/2035      9,701,683  
2,775,310    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-CX      5.50%  I/O     11/25/2035      573,987  
3,702,899    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1      5.75%       02/25/2036      3,533,070  
1,874,994    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A2      5.75%       02/25/2036      1,788,999  
1,592,562    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A7      5.75%       02/25/2036      1,519,521  
4,216,171    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-3-3CB4      6.00%       04/25/2036      3,892,623  
2,523,696    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A8      5.75%       07/25/2036      2,274,152  
4,731,730    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB1      6.00%       07/25/2036      3,915,693  
8,594,813    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB6      6.00%       07/25/2036      7,112,547  
7,050,614    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A5      6.45%       07/25/2036      3,094,613  
3,847,670    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-9-A7      4.76%       10/25/2036      2,041,188  
9,506,129    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-1A1      3.32%     09/25/2036      9,258,878  
15,841,857    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15-1A, (12 Month US Treasury Average + 0.84%, 0.84% Floor)      2.40%       11/25/2046      13,761,023  
1,232,980    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6-2A3      3.41%     08/25/2036      1,203,293  
13,590,791    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A2      6.00%       04/25/2037      11,926,157  
13,904,926    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A6      6.00%       04/25/2037      12,201,816  
6,561,604    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A2      6.00%       04/25/2037      6,373,903  
8,894,596    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A3      6.00%       04/25/2037      8,640,158  
7,774,458    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-4-1A1      5.50%       06/25/2037      7,756,407  
382,331    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11, (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap)      26.93%  I/F     06/25/2037      629,258  
9,558,284    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A6      6.00%       06/25/2037      9,595,455  
16,133,819    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY3-4A1      3.68%     03/25/2037      16,048,766  
18,254,851    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5-1A1      3.37%     05/25/2037      16,825,164  
14,584,312    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6-2A3      3.54%     06/25/2037      14,004,464  
11,403,208    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OC1-A2, (1 Month LIBOR USD + 0.12%, 0.12% Floor)      2.21%       01/25/2047      10,373,786  
1,653,949    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10      6.00%       03/25/2037      1,571,853  
7,262,126    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3      6.00%       03/25/2037      6,901,660  
6,261,541    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5      6.00%       03/25/2037      5,950,741  
10,262,352    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6      6.00%       03/25/2037      9,752,966  
42,969,442    Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1      6.00%       06/25/2037      43,511,253  
5,747,452    Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)      2.44%       06/25/2037      4,230,996  
8,466,886    Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.56%  I/FI/O     06/25/2037      1,219,779  
559,239    Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4      5.75%       07/25/2037      525,146  
13,712,234    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1      6.00%       07/25/2037      13,524,107  
5,447,958    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4      6.00%       07/25/2037      5,373,215  
11,003,768    Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1      6.25%       07/25/2037      10,433,976  
75,429,578    Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1      6.25%       11/25/2037      74,625,092  
6,862,228    Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1      3.72%     12/28/2037      6,776,255  
11,122,353    Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y-3A3      3.74%     11/25/2034      11,478,269  
17,754,591    Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1      5.50%       01/25/2036      17,558,785  
26,790    Wells Fargo Mortgage Backed Securities Trust, Series 2005-4-A7, (-4 x 1 Month LIBOR USD + 23.89%, 23.89% Cap)      15.56%  I/F     04/25/2035      27,557  
1,748,956    Wells Fargo Mortgage Backed Securities Trust, Series 2005-8-A1      5.50%       10/25/2035      1,805,515  
1,193,831    Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4      4.10%     10/25/2035      1,205,906  
3,319,412    Wells Fargo Mortgage Backed Securities Trust, Series 2006-12-A3      6.00%       10/25/2036      3,342,180  
4,129,176    Wells Fargo Mortgage Backed Securities Trust, Series 2006-14-A1      6.00%       10/25/2036      4,110,019  
5,135,922    Wells Fargo Mortgage Backed Securities Trust, Series 2006-15-A1      6.00%       11/25/2036      5,141,705  
62,263    Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-1A4, (-3 x 1 Month LIBOR USD + 19.39%, 19.39% Cap)      13.64%  I/F     03/25/2036      69,509  
2,356,748    Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1      5.75%       03/25/2036      2,309,857  
15,160,215    Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A11      5.50%       03/25/2036      15,545,813  
3,429,664    Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A6      5.50%       03/25/2036      3,384,318  
182,202    Wells Fargo Mortgage Backed Securities Trust, Series 2006-4-2A2      5.50%       04/25/2036      178,938  
1,930,066    Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A1, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)      2.49%       05/25/2036      1,743,180  
1,930,066    Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A2, (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.01%  I/FI/O     05/25/2036      257,414  
1,862,931    Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A1      0.00%  P/O     08/25/2036      1,258,372  
1,862,931    Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A2      6.00%  I/O     08/25/2036      397,282  
7,226,158    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12-1A1      3.86%     09/25/2036      7,252,444  
3,631,036    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13-A2      3.68%     09/25/2036      3,625,682  
4,145,576    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1      4.19%     04/25/2036      3,879,607  
1,208,537    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A18      6.00%       07/25/2037      1,207,922  
2,175,569    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11      6.00%       07/25/2037      2,130,320  
1,230,898    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A14      6.00%       08/25/2037      1,226,124  
2,456,744    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A36      6.00%       08/25/2037      2,447,216  
1,745,931    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96      6.00%       08/25/2037      1,739,160  
22,233,285    Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1      6.00%       10/25/2037      22,041,403  
13,282,190    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A1      6.00%       03/25/2037      13,217,577  
768,681    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A18      5.75%       03/25/2037      760,108  
1,731,274    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A9      6.00%       03/25/2037      1,722,852  
379,592    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-3A2      5.25%       03/25/2037      389,098  
1,471,272    Wells Fargo Mortgage Backed Securities Trust, Series 2007-3-1A3      6.00%       04/25/2037      1,466,196  
1,306,812    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A11      6.50%       04/25/2037      1,338,439  
5,019,911    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A15      6.00%       04/25/2037      5,069,595  
2,960,971    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A3      6.00%       04/25/2037      2,990,277  
3,122,741    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A8      6.00%       04/25/2037      3,153,648  
3,334,405    Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A4      6.00%       05/25/2037      3,346,234  
1,593,341    Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A6      6.00%       05/25/2037      1,598,994  
5,210,678    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1      6.00%       06/25/2037      5,203,217  
362,392    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32      5.75%       06/25/2037      359,735  
11,734,062    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34      6.00%       06/25/2037      11,717,262  
3,178,156    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36      6.00%       06/25/2037      3,173,605  
1,080,841    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       06/25/2037      927,764  
2,952,833    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49      6.00%       06/25/2037      2,948,605  
1,250,073    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       06/25/2037      1,073,029  
563,930    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9, (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)      26.45%  I/F     06/25/2037      830,844  
904,589    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A13, (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.00% Cap)      2.46%       07/25/2037      836,574  
904,589    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A14, (-6 x 1 Month LIBOR USD + 39.78%, 39.78% Cap)      27.23%  I/F     07/25/2037      1,197,706  
14,699,574    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A16      6.00%       07/25/2037      14,686,579  
9,808,799    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A2      6.00%       07/25/2037      9,800,128  
1,386,679    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A20      6.00%       07/25/2037      1,385,454  
12,389,069    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A22      6.00%       07/25/2037      12,378,128  
4,311,868    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A3      6.00%       07/25/2037      4,308,058  
5,711,968    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-2A9      6.00%       07/25/2037      6,186,442  
38,574,930    Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR9-A1      3.71%     12/28/2037      36,673,228  
16,433,760    WinWater Mortgage Loan Trust, Series 2015-4-A5      3.50%  #^     06/20/2045      16,491,814  
           

 

 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $12,853,424,854)

 

        12,828,085,392