Form NPORT-P Northern Lights Fund For: Mar 31

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May 26, 2022 1:46 PM EDT
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    NPORT-P
    false
    
      
      
        
          0001314414
          XXXXXXXX
        
      
      
      
      
        S000050429
        C000159221
        C000159222
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      Northern Lights Fund Trust
      811-21720
      0001314414
      549300BSYF57GRCG4861
      225 PICTORIA DRIVE
      SUITE 450
      CINCINNATI
      
      45246
      631-470-2600
      Deer Park Total Return Credit Fund
      S000050429
      549300GEC4XMEL70QI78
      2022-09-30
      2022-03-31
      N
    
    
      679077536.27
      10609484.28
      668468051.99
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
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      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2004-AR7 CB1
        22541SSC3
        
          
        
        1112518.44000000
        PA
        USD
        1005540.45000000
        0.150424608477
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          1.60656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ownit Mtg Loan Tr
        N/A
        OWNIT 2005-4 M1
        69121PAY9
        
          
        
        2511750.84000000
        PA
        USD
        2475407.56000000
        0.370310526079
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          1.28157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2004-FF10 M2
        32027NMK4
        
          
        
        2593694.40000000
        PA
        USD
        2406704.08000000
        0.360032775363
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          2.78156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2018-64 SE
        3136B23K6
        
          
        
        2422914.45000000
        PA
        USD
        376991.92000000
        0.056396400527
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2048-09-25
          Floating
          5.74342900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc
        549300RLSHIMYD3FZB52
        MSAC 2003-NC8 B2
        61746RDR9
        
          
        
        568546.48000000
        PA
        USD
        570963.71000000
        0.085413761854
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2003-FFH2 M2
        32027NEU1
        
          
        
        2808872.88000000
        PA
        USD
        3117258.47000000
        0.466328713948
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          2.82656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Pl Secs Inc
        N/A
        PPSI 2005-WCW3 M1
        70069FLW5
        
          
        
        51799.77000000
        PA
        USD
        53254.73000000
        0.007966682901
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST AMERN FDS INC
        549300J5J5SJCZ9IA369
        FRST AM-GV OB-X
        31846V336
        
          
        
        16970256.76000000
        PA
        USD
        16970256.76000000
        2.538678805887
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWALT 2003-J2 B1
        12669E4F0
        
          
        
        106008.71000000
        PA
        USD
        89631.49000000
        0.013408492707
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2012-90 SA
        3136A7RN4
        
          
        
        1345366.80000000
        PA
        USD
        218200.60000000
        0.032641889070
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2042-08-25
          Floating
          5.59343200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDC Mortgage Capital Trust
        N/A
        CDCMC 2003-HE3 M2
        12506YBP3
        
          
        
        4845.00000000
        PA
        USD
        4851.91000000
        0.000725825263
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RALI Series Trust
        N/A
        RALI 2007-QH7 1A2
        75115LAB3
        
          
        
        663783.37000000
        PA
        USD
        379309.25000000
        0.056743063317
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Floating
          0.99657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2003-AC5 B
        07384YMG8
        
          
        
        65729.92000000
        PA
        USD
        72672.37000000
        0.010871479913
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          5.33157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cmalt Citimortgage
        N/A
        CMALT 2007-A4 1A7
        12566VAG7
        
          
        
        1327525.56000000
        PA
        USD
        1275606.57000000
        0.190825360494
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Ser 06-Qs16
        N/A
        RALI 2006-QS16 A10
        74922LAK9
        
          
        
        311961.55000000
        PA
        USD
        293127.74000000
        0.043850673061
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Salomon Brothers Mtg Secs VII Inc
        N/A
        SBM7 1997-LB6 B2
        79548KYB8
        
          
        
        152722.60000000
        PA
        USD
        104240.23000000
        0.015593898569
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2027-12-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2004-FRE1 B3
        22541SSX7
        
          
        
        114483.04000000
        PA
        USD
        111591.27000000
        0.016693583136
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          3.70657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2004-HE3 M3
        04541GJV5
        
          
        
        31148.21000000
        PA
        USD
        31398.57000000
        0.004697093586
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          2.55656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        MSBAM 2016-C30 E
        61766NAL9
        
          
        
        3976000.00000000
        PA
        USD
        2578339.38000000
        0.385708692034
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-09-15
          Floating
          2.99999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-2A M6
        07324SBV3
        
          
        
        112491.01000000
        PA
        USD
        106482.29000000
        0.015929301285
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-08-25
          Floating
          1.44657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2002-3 M4
        03072SCX1
        
          
        
        3157162.43000000
        PA
        USD
        3182825.74000000
        0.476137300881
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-08-25
          Floating
          3.68156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2007-2 1A1
        073870AA5
        
          
        
        441974.51000000
        PA
        USD
        428174.78000000
        0.064053140419
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.79656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Mortgage Funding Trust
        N/A
        NHEL 2004-3 B1
        66987XFV2
        
          
        
        98505.51000000
        PA
        USD
        96517.84000000
        0.014438661610
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2005-AR2 2A1B
        45660LCM9
        
          
        
        151624.65000000
        PA
        USD
        123163.16000000
        0.018424689053
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.23657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centex Home Loan Equity Trust
        N/A
        CXHE 2004-D MV2
        152314LR9
        
          
        
        226428.44000000
        PA
        USD
        229508.82000000
        0.034333551067
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          1.49157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2004-OP1 M2
        004421EX7
        
          
        
        46986.06000000
        PA
        USD
        46725.03000000
        0.006989867333
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          2.03157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2007-4A A2
        07326BAB3
        
          
        
        1693689.06000000
        PA
        USD
        2392390.67000000
        0.357891549622
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-09-25
          Floating
          1.00657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwheq Inc
        N/A
        CWHEL 2005-B 2A
        126685AB2
        
          
        
        974313.91000000
        PA
        USD
        960054.73000000
        0.143620136690
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-05-15
          Floating
          0.57656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MortgageIT Trust
        N/A
        MHL 2005-2 1M2
        61915RAE6
        
          
        
        121873.74000000
        PA
        USD
        120509.58000000
        0.018027724682
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          1.26657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc
        549300RLSHIMYD3FZB52
        MSAC 2003-NC10 B2
        61746REB3
        
          
        
        732186.50000000
        PA
        USD
        766637.78000000
        0.114685777086
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp II
        N/A
        GSMS 2007-GG10 AJ
        36246LAH4
        
          
        
        2249297.93000000
        PA
        USD
        949977.71000000
        0.142112657018
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-08-10
          Floating
          5.83076500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp Mortgage Loan
        N/A
        SASC 2006-BC6 M1
        86362VAF9
        
          
        
        3517409.36000000
        PA
        USD
        4184422.73000000
        0.625971984381
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          0.72657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Resident Asset Sec
        N/A
        RAST 2007-A9 AX
        761143AM8
        
          
        
        2451509.09000000
        PA
        USD
        742109.31000000
        0.111016421471
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-09-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2006-1 MV2
        126670TX6
        
          
        
        1589667.20000000
        PA
        USD
        1645213.99000000
        0.246117070980
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          1.07156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2004-HE2 B3
        59020ULE3
        
          
        
        734844.59000000
        PA
        USD
        809610.62000000
        0.121114332628
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES TRUST
        N/A
        GSMS 2014-GC24 D
        36253GAS1
        
          
        
        2416666.00000000
        PA
        USD
        1772717.31000000
        0.265191029656
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-09-10
          Floating
          4.53317800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2003-36XS M1
        86359BAW1
        
          
        
        181196.18000000
        PA
        USD
        151164.94000000
        0.022613637188
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Floating
          5.26291200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Secs Inc
        N/A
        DBALT 2005-5 1A3
        251510HN6
        
          
        
        99715.43000000
        PA
        USD
        134299.91000000
        0.020090699862
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          5.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-2A M4
        07324SBT8
        
          
        
        550756.54000000
        PA
        USD
        523275.77000000
        0.078279847248
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-08-25
          Floating
          1.37157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2005-AR23 2A1
        45660LF38
        
          
        
        311141.11000000
        PA
        USD
        286128.97000000
        0.042803686600
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          2.70527800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SAIL 2003-BC10 B
        86359A2N2
        
          
        
        473390.15000000
        PA
        USD
        516290.75000000
        0.077234917729
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          4.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2005-9 1A1
        17307GK31
        
          
        
        508034.00000000
        PA
        USD
        450370.52000000
        0.067373529469
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          0.71656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2006-18N A4
        52522GAD6
        
          
        
        1630773.26000000
        PA
        USD
        1471211.72000000
        0.220087065585
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          0.83657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2017-68 SN
        3136AXM44
        
          
        
        2899352.93000000
        PA
        USD
        489096.48000000
        0.073166769682
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2047-09-25
          Floating
          5.69342900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2006-BC1 M4
        126670XU7
        
          
        
        2871005.51000000
        PA
        USD
        2487104.70000000
        0.372060368868
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Floating
          1.43156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Ser 06-Qo8 Tr
        N/A
        RALI 2006-QO8 1A3A
        75115FAD2
        
          
        
        403569.56000000
        PA
        USD
        399419.45000000
        0.059751464383
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-10-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSMS 2018-SRP5 A
        36255TAA0
        
          
        
        10381600.04000000
        PA
        USD
        9399616.95000000
        1.406143034363
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-09-15
          Floating
          1.94699900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2003-NC1 M4
        004421CT8
        
          
        
        158350.62000000
        PA
        USD
        151516.73000000
        0.022666263488
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-07-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2005-WF2 MV6
        17307GWB0
        
          
        
        1321933.54000000
        PA
        USD
        1528607.67000000
        0.228673257525
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mtg Trust
        N/A
        HMBT 2004-2 M1
        43739EAL1
        
          
        
        122775.29000000
        PA
        USD
        120349.09000000
        0.018003716055
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          1.43156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2006-AR5 2A1
        45661ECM4
        
          
        
        47609.13000000
        PA
        USD
        48358.46000000
        0.007234221569
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          3.15231100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2004-AR1 6M2
        22541Q5B4
        
          
        
        803890.39000000
        PA
        USD
        836917.91000000
        0.125199387989
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          2.55656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palisades Center Tst
        N/A
        PCT 2016-PLSD A
        69640GAA3
        
          
        
        8387000.00000000
        PA
        USD
        7744223.67000000
        1.158503184549
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2033-04-13
          Fixed
          2.71298000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DP Rev Repo - 32027NVZ1
        N/A
        
          
        
        -1854000.00000000
        PA
        USD
        -1854000.00000000
        -0.27735057711
        Long
        RA
        
        US
        
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.08000000
          2022-04-08
          
            
              1854000.00000000
              USD
              1854000.00000000
              USD
              ACMO
            
          
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES CORP
        N/A
        GSMS 2014-GC22 D
        36253BAE3
        
          
        
        3500000.00000000
        PA
        USD
        3183888.05000000
        0.476296217975
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-06-10
          Floating
          4.68767900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        5493008WNOU8I3M5WW38
        CWHL 2005-R2 1AS
        12669GN72
        
          
        
        11940663.81000000
        PA
        USD
        1188881.74000000
        0.177851691858
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-06-25
          Floating
          5.42441200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hudson's Bay Simon JV Trust
        N/A
        HBCT 2015-HBFL BFL
        44422PAJ1
        
          
        
        1000000.00000000
        PA
        USD
        901239.40000000
        0.134821611491
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-08-05
          Floating
          2.68899800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust
        N/A
        SASC 2005-RF4 B1
        86359DQD2
        
          
        
        527477.09000000
        PA
        USD
        420854.72000000
        0.062958090330
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-07-25
          Floating
          4.55627900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2006-10 2A1B
        41162CAD3
        
          
        
        4557350.19000000
        PA
        USD
        4530391.64000000
        0.677727473513
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-19
          Floating
          0.40171000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gsmps Mtg Ln Trust
        N/A
        GSMPS 2003-3 B1
        36290PAW7
        
          
        
        1584913.31000000
        PA
        USD
        362733.25000000
        0.054263363659
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2043-06-25
          Floating
          7.05515000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables Llc Trust
        N/A
        SABR 2004-NC1 B2
        81375WAP1
        
          
        
        30746.08000000
        PA
        USD
        30110.10000000
        0.004504343911
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hudson's Bay Simon JV Trust
        N/A
        HBCT 2015-HB10 A10
        44422PBN1
        
          
        
        1846000.00000000
        PA
        USD
        1697584.55000000
        0.253951485781
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-08-05
          Fixed
          4.15450000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        RAST 2005-A16 A3
        45660L2V0
        
          
        
        265680.97000000
        PA
        USD
        153013.06000000
        0.022890108142
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2004-R11 M6
        03072SWV3
        
          
        
        1622089.67000000
        PA
        USD
        1563013.98000000
        0.233820296324
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          2.55656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2005-RS8 M2
        76112BZK9
        
          
        
        378418.70000000
        PA
        USD
        375126.08000000
        0.056117278736
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          1.20656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        CBASS 2004-CB6 B1
        59020UJF3
        
          
        
        108186.08000000
        PA
        USD
        106562.28000000
        0.015941267452
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Resident Asset Sec
        N/A
        RAST 2007-A1 A1
        761136AA8
        
          
        
        1797996.04000000
        PA
        USD
        887969.65000000
        0.132836512882
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-5 M2
        64352VEJ6
        
          
        
        69851.04000000
        PA
        USD
        69213.87000000
        0.010354102906
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Mtg Sec
        N/A
        CMSI 2007-7 APO
        173104AH3
        
          
        
        35599.21000000
        PA
        USD
        26611.63000000
        0.003980987561
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2003-AR9 CB1
        22541NR50
        
          
        
        94216.75000000
        PA
        USD
        92802.41000000
        0.013882848959
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-03-25
          Floating
          2.22855500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2003-A1 M2
        589929E95
        
          
        
        67369.57000000
        PA
        USD
        61392.60000000
        0.009184073916
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-12-25
          Floating
          2.68571500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2005-IM3 A3
        126670JD1
        
          
        
        166162.42000000
        PA
        USD
        168525.27000000
        0.025210669305
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RES Asst Sec 08-A8
        N/A
        RAST 2007-A8 1A1
        761128AA5
        
          
        
        1631161.06000000
        PA
        USD
        1236908.62000000
        0.185036310459
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        FHLT 2004-C M3
        35729PEV8
        
          
        
        113187.79000000
        PA
        USD
        109999.61000000
        0.016455477516
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          2.18157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Fdg Mtg Ln
        N/A
        CFAB 2003-3 1M2
        161546FJ0
        
          
        
        117889.93000000
        PA
        USD
        85767.08000000
        0.012830393276
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-05-25
          Fixed
          4.88500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2005-6 2B2
        45254NQT7
        
          
        
        4853.63000000
        PA
        USD
        5002.40000000
        0.000748337932
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          3.83157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WFRBS Commercial Mortgage Trust 2013-C14
        N/A
        WFRBS 2013-C14 E
        92890PBJ2
        
          
        
        3000000.00000000
        PA
        USD
        2226195.30000000
        0.333029423526
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-06-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust
        N/A
        LXS 2005-5N 3A3C
        86359DUZ8
        
          
        
        1304346.74000000
        PA
        USD
        1103042.86000000
        0.165010557605
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-R1 1AS
        12669GWP2
        
          
        
        12371188.55000000
        PA
        USD
        1181183.76000000
        0.176700106532
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-03-25
          Floating
          5.95794600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2004-FFH4 M8
        32027NPK1
        
          
        
        913552.50000000
        PA
        USD
        942639.28000000
        0.141014858854
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHL Mortgage Pass-Through Trust
        N/A
        CWHL 2007-J3 A9
        17025QAJ6
        
          
        
        267290.27000000
        PA
        USD
        156547.82000000
        0.023418893323
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2003-58 M
        12669E6K7
        
          
        
        350813.12000000
        PA
        USD
        337649.07000000
        0.050510876173
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-19
          Floating
          2.41342900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-5 M5
        64352VEM9
        
          
        
        29202.29000000
        PA
        USD
        26859.03000000
        0.004017997557
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Floating
          4.86001100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Specialized Loan Trust
        N/A
        MASD 2005-2 B
        576436CK3
        
          
        
        332556.05000000
        PA
        USD
        385091.66000000
        0.057608087455
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-07-25
          Floating
          5.74999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2007-5A A4
        07325WAE2
        
          
        
        12809250.52000000
        PA
        USD
        9540004.43000000
        1.427144409010
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-10-25
          Floating
          1.95657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Nlc Trust
        N/A
        FNLC 2007-1 A4
        32115BAD2
        
          
        
        1247423.36000000
        PA
        USD
        788919.06000000
        0.118018962559
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-08-25
          Floating
          0.73657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSamp Trust
        N/A
        GSAMP 2007-FM1 A2B
        3622MAAC5
        
          
        
        1062019.18000000
        PA
        USD
        630857.66000000
        0.094373644054
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          0.57656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2017-14 DS
        3136AVWC9
        
          
        
        3044575.80000000
        PA
        USD
        463077.85000000
        0.069274492419
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2047-03-25
          Floating
          5.59343200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        SAST 2005-1 B3
        805564RV5
        
          
        
        948250.44000000
        PA
        USD
        73259.08000000
        0.010959249253
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          1.58040700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2003-BC4 M4
        86358EBP0
        
          
        
        145759.03000000
        PA
        USD
        150820.13000000
        0.022562055067
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-06-25
          Floating
          5.33157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        FHLT 2004-B M6
        35729PDV9
        
          
        
        60627.58000000
        PA
        USD
        63641.35000000
        0.009520477427
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          2.78156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Business Loan 07-A
        N/A
        BLX 2007-AA B
        12328RAB6
        
          
        
        676284.45000000
        PA
        USD
        564177.52000000
        0.084398576464
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2040-10-20
          Floating
          1.54856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust
        N/A
        WFHET 2004-2 M6
        94980GAT8
        
          
        
        273477.46040000
        PA
        USD
        272469.37000000
        0.040760268076
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          3.27656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE Capital Mortgage Services Inc
        N/A
        GECMS 1999-HE2 B1
        36157R3Y9
        
          
        
        101381.79000000
        PA
        USD
        54605.76000000
        0.008168791288
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-07-25
          Floating
          7.90499900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2006-HF1 M1
        881561R63
        
          
        
        204060.59000000
        PA
        USD
        346155.04000000
        0.051783333394
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-02-25
          Floating
          4.56000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPTONE TRUST
        N/A
        OPTON 2016-1A SAC3
        68404NAA6
        
          
        
        4743546.00000000
        PA
        USD
        3531746.93000000
        0.528334438644
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2038-02-26
          Floating
          10.71781900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Secs Trust
        N/A
        AABST 2004-3 B1
        00764MCJ4
        
          
        
        1193603.46000000
        PA
        USD
        1214809.26000000
        0.181730339450
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JPMMT 2006-S3 1A12
        46629AAM3
        
          
        
        131571.44000000
        PA
        USD
        67373.50000000
        0.010078791319
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Ser 07-Qh3 Tr
        N/A
        RALI 2007-QH3 A2
        74922WAB5
        
          
        
        1342092.49000000
        PA
        USD
        3972582.90000000
        0.594281639664
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.87657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2004-BNC2 M1
        86358ENJ1
        
          
        
        512216.09000000
        PA
        USD
        508795.05000000
        0.076113592636
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          1.73157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2004-1 M2
        64352VFR7
        
          
        
        39829.40000000
        PA
        USD
        41478.40000000
        0.006204993623
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          2.48157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 1999-2 AF2
        07383GAS5
        
          
        
        69889.99000000
        PA
        USD
        72914.42000000
        0.010907689572
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-10-25
          Floating
          7.90999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        N/A
        GSMS 2018-3PCK D
        36255YAL5
        
          
        
        1250000.00000000
        PA
        USD
        1149412.00000000
        0.171947185296
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-09-15
          Floating
          4.64699900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2002-BC3 M1
        126671RE8
        
          
        
        1084194.00000000
        PA
        USD
        1061278.48000000
        0.158762782580
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-05-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WFRBS Commercial Mortgage Trust 2011-C2
        N/A
        WFRBS 2012-C9 E
        92930RAK8
        
          
        
        2971000.00000000
        PA
        USD
        2779784.06000000
        0.415843966173
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2045-11-15
          Floating
          4.81843800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dsla Mortgage Loan Trust
        N/A
        DSLA 2005-AR1 2A2
        23332UCP7
        
          
        
        15641.32000000
        PA
        USD
        996.62000000
        0.000149090146
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-02-19
          Floating
          1.10857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass
        N/A
        CBASS 2002-CB2 M2
        12489WEU4
        
          
        
        928112.96000000
        PA
        USD
        923600.10000000
        0.138166677861
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-04-25
          Floating
          2.40657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Corp
        5493009YQSUTUX056896
        ABFC 2004-OPT1 M6
        04542BFF4
        
          
        
        176034.09000000
        PA
        USD
        205643.76000000
        0.030763438789
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-12-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2005-SD2 2B
        073877BV3
        
          
        
        1016462.68000000
        PA
        USD
        1046589.01000000
        0.156565299850
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-12-25
          Floating
          4.20657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        WFCM 2017-C40 D
        95000YAC9
        
          
        
        2000000.00000000
        PA
        USD
        1578235.00000000
        0.236097296692
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2050-10-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-AR8 2A1A
        17313FAR3
        
          
        
        53734.36000000
        PA
        USD
        49942.76000000
        0.007471226164
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-07-25
          Floating
          2.99226200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INABS 2005-D M1
        456606JP8
        
          
        
        137000.00000000
        PA
        USD
        132124.27000000
        0.019765233298
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          1.11656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300MZIB10PDVAE312
        WFCM 2016-C35 D
        95000FAC0
        
          
        
        2500000.00000000
        PA
        USD
        2001777.75000000
        0.299457504968
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-07-15
          Fixed
          3.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        OOMLT 2004-2 M2
        68389FFH2
        
          
        
        136321.78000000
        PA
        USD
        142976.26000000
        0.021388645212
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          2.03157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Funding Series 2000-2
        N/A
        DELHE 1999-3 M1
        24763LFY1
        
          
        
        145225.10000000
        PA
        USD
        107619.12000000
        0.016099366256
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-01-15
          Floating
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        N/A
        GSAA 2005-2 B2
        36242DTV5
        
          
        
        156060.95000000
        PA
        USD
        213841.92000000
        0.031989848933
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2004-C M4
        456606FX5
        
          
        
        156564.28000000
        PA
        USD
        147619.76000000
        0.022083293219
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.88156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300V2DF3KW9L1CV04
        WFCM 2013-LC12 D
        94988QAU5
        
          
        
        4892000.00000000
        PA
        USD
        3010330.85000000
        0.450332793173
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-07-15
          Floating
          4.30536200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        ARMT 2005-4 3A1
        007036KD7
        
          
        
        63843.60000000
        PA
        USD
        63040.80000000
        0.009430637681
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          2.80425200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDC Mortgage Capital Trust
        N/A
        CDCMC 2004-HE1 M2
        12506YCM9
        
          
        
        581470.24000000
        PA
        USD
        632323.88000000
        0.094592984379
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        HEAT 2002-4 M2
        22541NQN2
        
          
        
        236765.41000000
        PA
        USD
        240529.77000000
        0.035982238684
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-03-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSFB Mtg Accep Corp
        N/A
        CSFB 2004-7 DB1
        2254W0KJ3
        
          
        
        621552.88000000
        PA
        USD
        391111.53000000
        0.058508634606
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          5.93880800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ML
        N/A
        MSM 2007-7AX 2A4
        61754HAE2
        
          
        
        20949212.82000000
        PA
        USD
        1042623.47000000
        0.155972071798
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          1.09657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prime Mtg Trust
        549300FSD8T39P5Q0O47
        PRIME 2006-1 1A1
        74161BAA3
        
          
        
        70299.17000000
        PA
        USD
        69511.01000000
        0.010398553796
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-06-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2007-SD2 1A2A
        07386UAD4
        
          
        
        88754.96000000
        PA
        USD
        84648.77000000
        0.012663098819
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities Inc Mortgage Loan Trust
        529900RSBMUF46QF5O69
        DMSI 2008-RS1 4A2
        25156BAM6
        
          
        
        953784.28000000
        PA
        USD
        385654.76000000
        0.057692324839
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-05-28
          Floating
          0.69943000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Corp
        5493009YQSUTUX056896
        ABFC 2004-OPT3 M1
        04542BGV8
        
          
        
        1058228.05000000
        PA
        USD
        1049929.64000000
        0.157065044002
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          1.20656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2006-HYB3 2A1A
        1266943Y2
        
          
        
        98849.81000000
        PA
        USD
        96454.94000000
        0.014429252035
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-20
          Floating
          3.05075900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2006-14 2A1B
        41162NAD9
        
          
        
        1094301.48000000
        PA
        USD
        2040056.02000000
        0.305183772646
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-02-19
          Floating
          0.64856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wilshire Mtg Ln Tr
        N/A
        WIMLT 1997-2 M2
        971885AN8
        
          
        
        46709.14000000
        PA
        USD
        47063.51000000
        0.007040502513
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2028-05-25
          Floating
          7.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Alternative Loan Trust
        N/A
        BOAA 2006-8 XIO
        06050AAJ2
        
          
        
        465846.43000000
        PA
        USD
        98386.72000000
        0.014718238172
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equifirst Loan Sec
        N/A
        EQLS 2007-1 M1
        29445UAD7
        
          
        
        2884609.52000000
        PA
        USD
        5888474.86000000
        0.880890992841
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.73657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Peoples Chce Hm Ln
        N/A
        PCHLT 2004-2 M3
        71085PAX1
        
          
        
        189648.14000000
        PA
        USD
        187221.80000000
        0.028007591304
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          2.18157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-5 B
        64352VEN7
        
          
        
        1579466.31000000
        PA
        USD
        1329484.18000000
        0.198885223615
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2033-11-25
          Floating
          4.86001100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2003-FFH1 M2
        32027NEE7
        
          
        
        891502.67000000
        PA
        USD
        911177.78000000
        0.136308351205
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-AMC2 A3A
        17311XAA3
        
          
        
        86457.27000000
        PA
        USD
        71910.75000000
        0.010757544775
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          0.53656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust 2006-BC5
        N/A
        CWL 2006-BC5 1A
        12666SAA6
        
          
        
        2437895.74000000
        PA
        USD
        2501844.91000000
        0.374265442088
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.73657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans Inc
        N/A
        RALI 2005-QO1 A3
        761118EQ7
        
          
        
        4167552.20000000
        PA
        USD
        1970240.73000000
        0.294739699845
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          0.83657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2003-FM1 M6
        004421BW2
        
          
        
        338700.06000000
        PA
        USD
        336928.79000000
        0.050403125324
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-11-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mtg Inv Trust
        N/A
        MLCC 2007-3 M1
        59022XAH0
        
          
        
        363492.23000000
        PA
        USD
        112028.05000000
        0.016758923581
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-09-25
          Floating
          2.07298400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        AHM 2005-4 1A2
        02660TGP2
        
          
        
        3267718.41000000
        PA
        USD
        3533461.36000000
        0.528590910138
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-11-25
          Floating
          1.21657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        ARC 2001-BC6 M1
        86358RNA1
        
          
        
        1171716.87000000
        PA
        USD
        1145061.25000000
        0.171296331453
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-10-25
          Floating
          1.65656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-BO1 M9B
        073879JV1
        
          
        
        707999.99000000
        PA
        USD
        758560.25000000
        0.113477412681
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          6.45657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bx Trust 2017-Appl
        N/A
        BX 2017-CQHP E
        12433QAN4
        
          
        
        3450000.00000000
        PA
        USD
        3247389.09000000
        0.485795705618
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-11-15
          Floating
          3.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDA Mortgage Loan Trust
        N/A
        INDA 2006-AR3 1A1
        45662FAA8
        
          
        
        88899.12000000
        PA
        USD
        83161.02000000
        0.012440537696
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          2.94803600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2004-6XS M1
        86359BJV4
        
          
        
        273448.44000000
        PA
        USD
        266601.26000000
        0.039882423581
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          5.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-3 M6
        64352VDE8
        
          
        
        174454.24000000
        PA
        USD
        209156.96000000
        0.031288998685
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-07-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Chase Commercial Mortgage Securities Trust
        N/A
        JPMCC 2012-WLDN A
        46637TAA8
        
          
        
        3230864.08000000
        PA
        USD
        2678386.32000000
        0.400675292114
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2030-05-05
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2003-HE1 M4
        07384YPE0
        
          
        
        86245.57000000
        PA
        USD
        83441.41000000
        0.012482482857
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2007-1 M3
        07325MAE4
        
          
        
        271602.70000000
        PA
        USD
        245767.12000000
        0.036765724146
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-03-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2006-HE10 23A
        07389RAS5
        
          
        
        1084828.53000000
        PA
        USD
        1755478.53000000
        0.262612180907
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          0.59657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Loan Trust
        N/A
        GSR 2003-1 A11
        36229RJF7
        
          
        
        281949.25000000
        PA
        USD
        268408.41000000
        0.040152765596
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-03-25
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDC Mortgage Capital Trust
        N/A
        CDCMC 2003-HE2 M2
        12506YBF5
        
          
        
        792273.30000000
        PA
        USD
        784230.54000000
        0.117317579750
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mtg Trust
        N/A
        SEMT 9 B1
        81743SAG5
        
          
        
        116820.60000000
        PA
        USD
        105754.90000000
        0.015820486810
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-09-20
          Floating
          1.57357100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amer Hm Mtg Ast Tr
        N/A
        AHMA 2007-5 A1
        026936AA2
        
          
        
        175117.30000000
        PA
        USD
        164634.25000000
        0.024628589131
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-06-25
          Floating
          0.83657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saco I Trust
        N/A
        SACO 2006-6 A
        785779AA7
        
          
        
        77771.08000000
        PA
        USD
        76520.65000000
        0.011447166363
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-06-25
          Floating
          0.71656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2005-WMC1 B5
        59020URD9
        
          
        
        1092952.40000000
        PA
        USD
        1139107.56000000
        0.170405684551
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-09-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2005-EFC4 M5
        76112BC81
        
          
        
        1000000.00000000
        PA
        USD
        982540.20000000
        0.146983868125
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          1.40157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cmalt Citimortgage
        N/A
        CMALT 2007-A1 1A1
        12566QAA1
        
          
        
        73192.27000000
        PA
        USD
        71164.07000000
        0.010645844597
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hmh Tr 2017-Nss
        N/A
        HMH 2017-NSS F
        40390AAL5
        
          
        
        4000000.00000000
        PA
        USD
        3656773.60000000
        0.547037900930
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-07-05
          Fixed
          8.48050000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwheq Inc
        N/A
        CWHEL 2006-D 2A
        126685DT0
        
          
        
        273630.55000000
        PA
        USD
        262005.77000000
        0.039194957667
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-15
          Floating
          0.59657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2003-11 M5
        03072SMC6
        
          
        
        675141.10000000
        PA
        USD
        697907.26000000
        0.104403981300
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-12-25
          Floating
          5.33157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Loan Trust
        N/A
        GSR 2006-9F 6A1
        3622X7AA4
        
          
        
        1104711.01000000
        PA
        USD
        128427.18000000
        0.019212164233
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-10-25
          Floating
          0.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-50CB 3A1
        12668ALK9
        
          
        
        1269754.22000000
        PA
        USD
        686744.92000000
        0.102734142335
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        1V8Y6QCX6YMJ2OELII46
        HEAT 2004-8 M4
        437084GU4
        
          
        
        770660.45000000
        PA
        USD
        760138.47000000
        0.113713507734
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.95657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loan Trust
        N/A
        MALT 2006-2 2A3
        5764342K9
        
          
        
        437852.15000000
        PA
        USD
        41361.70000000
        0.006187535795
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          0.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2015-6 IO
        38378X4A6
        
          
        
        4843797.63000000
        PA
        USD
        65145.20000000
        0.009745447042
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2051-02-16
          Floating
          0.50325800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2004-HE2 M6
        07384YRD0
        
          
        
        514705.49000000
        PA
        USD
        557297.16000000
        0.083369303640
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          5.33157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Alternative Loan Trust
        N/A
        BOAA 2006-5 CBIO
        05950BAV6
        
          
        
        1075021.15000000
        PA
        USD
        131945.62000000
        0.019738508012
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative loan Trust
        N/A
        CWALT 2006-OC6 2A2A
        23243DAC4
        
          
        
        8309.45000000
        PA
        USD
        8817.66000000
        0.001319084730
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-1A M5
        07324SDL3
        
          
        
        12006.81000000
        PA
        USD
        11039.34000000
        0.001651438683
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-04-25
          Floating
          1.29656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        HEAT 2003-8 B1
        22541QY63
        
          
        
        296286.83900000
        PA
        USD
        291924.99000000
        0.043670746736
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          2.95656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        HEAT 2002-2 M2
        22541NCV9
        
          
        
        213447.44000000
        PA
        USD
        207639.24000000
        0.031061954177
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-06-25
          Floating
          2.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx Ar8
        N/A
        INDX 2006-AR8 A3A
        456618AF4
        
          
        
        858242.31000000
        PA
        USD
        893691.15000000
        0.133692425141
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-07-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2006-HY10 2A1
        12668BUH4
        
          
        
        216345.72000000
        PA
        USD
        201256.69000000
        0.030107151628
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          2.89968800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cfcre Coml Mtg Tr 2016-C7
        N/A
        CFCRE 2016-C7 D
        12532BAL1
        
          
        
        3050000.00000000
        PA
        USD
        2576756.82000000
        0.385471947736
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2054-12-10
          Floating
          4.40202200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        OOMLT 2004-2 M3
        68389FFJ8
        
          
        
        274896.32000000
        PA
        USD
        289674.72000000
        0.043334115839
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300V2DF3KW9L1CV04
        WFCM 2013-LC12 C
        94988QAS0
        
          
        
        1035000.00000000
        PA
        USD
        932309.27000000
        0.139469532945
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-07-15
          Floating
          4.30536200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2005-HE2 M5
        04541GQF2
        
          
        
        789553.22000000
        PA
        USD
        1008847.84000000
        0.150919380065
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newcastle Mortgage Securities Trust
        N/A
        NCMT 2007-1 M2
        65106FAG7
        
          
        
        782008.05000000
        PA
        USD
        2913858.65000000
        0.435900959114
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          1.10657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2003-RS7 MII3
        760985YE5
        
          
        
        358779.51000000
        PA
        USD
        316226.47000000
        0.047306145605
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Floating
          4.79821700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2005-2 1M3
        45254NND5
        
          
        
        523639.82000000
        PA
        USD
        501918.35000000
        0.075084867332
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          1.22157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSRPM Mortgage Loan Trust
        CU46ESEFJB81SUVBJO28
        GSMS 2011-GC5 B
        36191YAG3
        
          
        
        125000.00000000
        PA
        USD
        124458.94000000
        0.018618532273
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2044-08-10
          Floating
          5.16339400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2007-1 1A4
        525241AD7
        
          
        
        138308.17000000
        PA
        USD
        118804.86000000
        0.017772705763
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-02-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Asset Trust
        N/A
        AHMA 2005-1 3A22
        02660VAH1
        
          
        
        1245588.55000000
        PA
        USD
        1070935.98000000
        0.160207503830
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          1.11656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Loan Trust
        N/A
        SVHE 2006-2 M4
        83611MNL8
        
          
        
        1726236.05000000
        PA
        USD
        2385831.19000000
        0.356910279092
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          1.16156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2015-122 IO
        38379KE38
        
          
        
        1163169.16000000
        PA
        USD
        40411.75000000
        0.006045427284
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2057-05-16
          Floating
          0.54722900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-24 2A1C
        12667GUZ4
        
          
        
        30284.59000000
        PA
        USD
        4503.07000000
        0.000673640271
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-20
          Floating
          1.45113100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2003-7SL B3
        881561CV4
        
          
        
        85915.76000000
        PA
        USD
        82362.92000000
        0.012321145304
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2033-12-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        ARC 2002-BC5 M2
        86358RZ75
        
          
        
        135628.69000000
        PA
        USD
        134067.07000000
        0.020055867980
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-07-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Hom
        549300C5U61AIRK1S645
        MSHEL 2007-2 A1
        61752UAA3
        
          
        
        1159722.90000000
        PA
        USD
        724799.67000000
        0.108426972364
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.55657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2003-5SL B3
        881561BQ6
        
          
        
        19470.35000000
        PA
        USD
        17679.94000000
        0.002644844424
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-10-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Asset Trust
        N/A
        AHMA 2006-2 1A1
        02660XAA2
        
          
        
        223177.07000000
        PA
        USD
        217935.33000000
        0.032602205797
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-25
          Floating
          1.10112800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevy Chase Funding Llc
        N/A
        CCMFC 2003-4A B1
        16678RAL1
        
          
        
        968233.49000000
        PA
        USD
        913053.28000000
        0.136588918091
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-10-25
          Floating
          0.65884700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenpoint Mtg Ln
        N/A
        GMLT 2004-1 A
        39538VAA8
        
          
        
        368295.08000000
        PA
        USD
        341853.52000000
        0.051139844152
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          1.60656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-3A B1
        07324SCK6
        
          
        
        895451.48000000
        PA
        USD
        832070.35000000
        0.124474213468
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2035-11-25
          Floating
          2.10656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2003-5 M
        07386HDS7
        
          
        
        1058273.34000000
        PA
        USD
        1026283.11000000
        0.153527622890
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-12-25
          Floating
          2.53338500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Loan Trust
        N/A
        SVHE 2004-WMC1 M4
        83611MBY3
        
          
        
        108803.77000000
        PA
        USD
        105237.87000000
        0.015743141304
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.65656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Finl Secs
        N/A
        BAYV 2004-D B2
        07325NAH5
        
          
        
        4756908.75000000
        PA
        USD
        4991424.35000000
        0.746696021618
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-08-28
          Floating
          5.69714000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2002-AR21 CB1
        22540V5C2
        
          
        
        266315.60000000
        PA
        USD
        273854.68000000
        0.040967504607
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-06-25
          Floating
          3.03737000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2004-AR5 2A1B
        45660NS48
        
          
        
        110454.85000000
        PA
        USD
        103980.17000000
        0.015554994691
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          1.25656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        549300NHEJTDVQUV3M53
        CWALT 2006-32CB A8
        02147XAH0
        
          
        
        1811743.74000000
        PA
        USD
        253106.76000000
        0.037863703320
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          4.81343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hmh Tr 2017-Nss
        N/A
        HMH 2017-NSS E
        40390AAJ0
        
          
        
        8113000.00000000
        PA
        USD
        7495668.04000000
        1.121320311073
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-07-05
          Fixed
          6.29150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securities Corp.
        N/A
        RASC 2003-KS4 AIII
        76110WRU2
        
          
        
        604355.65000000
        PA
        USD
        587152.30000000
        0.087835506611
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-06-25
          Floating
          1.03657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Financial Trust
        N/A
        CHASE 2007-A1 7A1
        161630AU2
        
          
        
        68763.76000000
        PA
        USD
        70588.03000000
        0.010559671444
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-02-25
          Floating
          2.46154700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Green Tree Financial Corporation
        N/A
        GT 1996-8 B1
        393505QR6
        
          
        
        1601729.79000000
        PA
        USD
        1561556.64000000
        0.233602284410
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2026-11-15
          Fixed
          7.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE6 M5
        073879CY2
        
          
        
        112762.64000000
        PA
        USD
        83428.91000000
        0.012480612910
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          4.58156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I TRUST
        N/A
        MSC 2019-BPR D
        61769GAL1
        
          
        
        750000.00000000
        PA
        USD
        652940.70000000
        0.097677173659
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-05-15
          Floating
          4.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Secs Inc
        N/A
        DBALT 2007-OA5 A3
        25150XAC6
        
          
        
        1201817.50000000
        PA
        USD
        900637.83000000
        0.134731619157
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-08-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-4A M3
        07324SCV2
        
          
        
        333917.06000000
        PA
        USD
        307796.63000000
        0.046045077110
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-01-25
          Floating
          1.20656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2003-2HE B
        881561AU8
        
          
        
        177561.93000000
        PA
        USD
        172622.00000000
        0.025823522827
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          3.30822000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ucfc Loan Trust
        N/A
        UCFC 1998-D MF2
        90263BHE1
        
          
        
        1769161.00000000
        PA
        USD
        1750922.54000000
        0.261930624027
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-04-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        CMLTI 2004-HYB1 A31
        17307GDL9
        
          
        
        108206.75000000
        PA
        USD
        110450.04000000
        0.016522859943
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          2.17936100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-FR2 M6
        073879FL7
        
          
        
        293321.41000000
        PA
        USD
        279127.41000000
        0.041756282767
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2007-2A A2
        07325XAB6
        
          
        
        1314016.40000000
        PA
        USD
        1229697.94000000
        0.183957623156
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-07-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLCC 2003-G XA2
        5899295Z7
        
          
        
        6173270.17000000
        PA
        USD
        36651.32000000
        0.005482882823
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-01-25
          Floating
          0.90138200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2003-4 M1
        126671H58
        
          
        
        792021.98000000
        PA
        USD
        739871.29000000
        0.110681623122
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          1.47656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass
        N/A
        CBASS 2007-CB4 A2C
        1248MEAF6
        
          
        
        445000.00000000
        PA
        USD
        353996.61000000
        0.052956399179
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Fixed
          6.11400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        HEAT 2003-8 M3
        22541QY55
        
          
        
        135034.70000000
        PA
        USD
        133529.79000000
        0.019975493159
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          2.80657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2007-6 2A1
        52524PAD4
        
          
        
        1114183.74000000
        PA
        USD
        978958.27000000
        0.146448026511
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          0.87657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WFRBS Commercial Mortgage Trust 2013-C14
        N/A
        WFRBS 2013-C14 D
        92890PBG8
        
          
        
        1600000.00000000
        PA
        USD
        1377646.72000000
        0.206090136379
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-06-15
          Floating
          3.95953200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2004-RM2 M5
        004421KA0
        
          
        
        1297944.54000000
        PA
        USD
        1491594.62000000
        0.223136261420
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.85157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust 2007-SD1
        N/A
        CWL 2007-SD1 A1
        12669TAA1
        
          
        
        948213.61000000
        PA
        USD
        845802.46000000
        0.126528479181
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-03-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        AHM 2007-2 12A1
        02660CAD2
        
          
        
        4383174.90000000
        PA
        USD
        1972541.35000000
        0.295083862890
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.99657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hmh Tr 2017-Nss
        N/A
        HMH 2017-NSS A
        40390AAA9
        
          
        
        850000.00000000
        PA
        USD
        839187.92000000
        0.125538971907
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-07-05
          Fixed
          3.06220000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Irwin Hm Eqty Loan
        N/A
        IRWHE 2006-1 1A1
        464126CW9
        
          
        
        14012.89000000
        PA
        USD
        13933.92000000
        0.002084455638
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-09-25
          Floating
          0.87657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-56 1A2
        12668AGP4
        
          
        
        3356297.43000000
        PA
        USD
        2202722.90000000
        0.329518051527
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          1.61656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        SAST 2004-2 MV3
        805564QM6
        
          
        
        52690.65000000
        PA
        USD
        50310.81000000
        0.007526284891
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          2.36157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mut Pas
        N/A
        WMALT 2006-5 1A2
        93934NAB1
        
          
        
        446006.65000000
        PA
        USD
        406365.49000000
        0.060790562658
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        549300430UQIJMFG3R47
        CWALT 2003-4CB B1
        12669DN79
        
          
        
        160798.05000000
        PA
        USD
        83569.58000000
        0.012501656549
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          6.13537900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Hm Eqt
        N/A
        RAMC 2003-2 M2A
        759950AZ1
        
          
        
        409458.57000000
        PA
        USD
        396810.52000000
        0.059361179463
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-45 2A1
        12667G6K4
        
          
        
        662419.98000000
        PA
        USD
        518942.26000000
        0.077631572437
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-20
          Floating
          2.19112900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-OA11 A1B
        02147DAB7
        
          
        
        1047087.03000000
        PA
        USD
        1027615.19000000
        0.153726896437
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-25
          Floating
          0.83657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2004-HE7 B2
        61744CGK6
        
          
        
        25364.11000000
        PA
        USD
        28447.21000000
        0.004255582583
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx 07-Fl
        N/A
        INDX 2007-FLX3 A2
        45670AAB7
        
          
        
        1653344.28000000
        PA
        USD
        2169112.47000000
        0.324490073017
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-06-25
          Floating
          0.72657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adj Rate Mtg Loan Trust
        N/A
        SARM 2005-18 4A1
        863579XE3
        
          
        
        1299597.08000000
        PA
        USD
        1072092.73000000
        0.160380548750
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          2.81879300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Imsc Mtg
        N/A
        IMSC 2007-HOA1 A22
        45670LAD9
        
          
        
        5188083.75000000
        PA
        USD
        4189974.26000000
        0.626802469845
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-07-25
          Floating
          0.81657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-2A M2
        07324SBR2
        
          
        
        423716.44000000
        PA
        USD
        402537.31000000
        0.060217883083
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-08-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMC Mortgage Loan Trust
        N/A
        EMCM 2002-AA M2
        268668AS9
        
          
        
        984536.14000000
        PA
        USD
        972644.72000000
        0.145503546071
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2039-05-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2005-NC1 B2
        59020URT4
        
          
        
        226583.85000000
        PA
        USD
        219477.07000000
        0.032832843596
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          2.40657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust 2006-23
        N/A
        CWL 2006-23 1A
        12666CAA1
        
          
        
        131420.00040000
        PA
        USD
        126873.18000000
        0.018979692391
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          0.59657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments II Trust
        N/A
        SAMI 2005-AR5 X2
        86359LPH6
        
          
        
        3010625.65000000
        PA
        USD
        30739.99000000
        0.004598572797
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-19
          Floating
          0.62869700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bcap Llc Tr 06-Aa2
        N/A
        BCAP 2006-AA2 A1
        05530MAA7
        
          
        
        477617.73000000
        PA
        USD
        451784.92000000
        0.067585117741
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          0.79656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2005-3 2A2B
        17307GTK4
        
          
        
        179593.53000000
        PA
        USD
        150972.59000000
        0.022584862440
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          2.76962800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Argent Secs Inc
        N/A
        ARSI 2003-W10 M3
        040104ET4
        
          
        
        335921.87000000
        PA
        USD
        324964.84000000
        0.048613368886
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JPMMT 2005-A1 IB2
        466247MC4
        
          
        
        957410.84000000
        PA
        USD
        770225.91000000
        0.115222546194
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          2.54128000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSR 2003-2F 2A5
        36228FMW3
        
          
        
        155810.96000000
        PA
        USD
        154719.43000000
        0.023145373894
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-03-25
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carrington Mtg Ln
        N/A
        CARR 2005-NC1 M4
        144531BE9
        
          
        
        1262364.40000000
        PA
        USD
        1221670.57000000
        0.182756762475
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.62657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2005-OPT1 M5
        17307GNV6
        
          
        
        365369.10000000
        PA
        USD
        365243.89000000
        0.054638944810
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.55157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSRPM Mortgage Loan Trust
        CU46ESEFJB81SUVBJO28
        GSMS 2011-GC5 C
        36191YAJ7
        
          
        
        558529.00000000
        PA
        USD
        466541.06000000
        0.069792574022
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2044-08-10
          Floating
          5.16339400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4796 AS
        3137FG4D4
        
          
        
        1611558.48000000
        PA
        USD
        221819.10000000
        0.033183201402
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2048-05-15
          Floating
          5.80343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2006-4 23A4
        073871BB0
        
          
        
        1449689.36000000
        PA
        USD
        1121126.98000000
        0.167715865651
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          3.07531400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc
        549300RLSHIMYD3FZB52
        MSAC 2007-HE3 A2A
        617538AA1
        
          
        
        288814.90000000
        PA
        USD
        179600.41000000
        0.026867463518
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          0.51657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2006-1 X1
        41161PB36
        
          
        
        12655184.97000000
        PA
        USD
        373012.84000000
        0.055801146949
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-19
          Floating
          2.12274700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Yale Mtg Loan Tr
        N/A
        YMLT 2007-1 A
        984582AA4
        
          
        
        196752.01000000
        PA
        USD
        78783.11000000
        0.011785620833
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-06-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2013-15 IO
        38378B5P0
        
          
        
        3605370.69000000
        PA
        USD
        69484.87000000
        0.010394643363
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2051-08-16
          Floating
          0.54820100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Alt 06
        N/A
        JPALT 2006-A2 5A1
        46628GAQ2
        
          
        
        411797.00000000
        PA
        USD
        305239.21000000
        0.045662497869
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          3.18162200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Struct Ass 07-Ar7
        N/A
        SAMI 2007-AR7 2A1
        86364KAE4
        
          
        
        1018798.47000000
        PA
        USD
        891102.58000000
        0.133305185991
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-05-25
          Floating
          2.99503800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CBASS 2004-CB3 B2
        17307GET1
        
          
        
        108177.64000000
        PA
        USD
        111027.93000000
        0.016609309849
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Arm Trust
        N/A
        BSARM 2004-6 2A2
        07384MW73
        
          
        
        137702.03000000
        PA
        USD
        133683.09000000
        0.019998426192
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.42897800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2005-WF1 M11
        004421QZ9
        
          
        
        1291068.60000000
        PA
        USD
        1303799.05000000
        0.195042836545
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          3.95656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwmbs Reperform Ln
        N/A
        CWHL 2006-R1 AS
        12669UCQ1
        
          
        
        13766350.21000000
        PA
        USD
        1026895.39000000
        0.153619217394
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          5.46149900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Financial Trust
        N/A
        CHASE 2005-S3 A10
        16162WNL9
        
          
        
        452405.16000000
        PA
        USD
        403197.32000000
        0.060316617794
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equifirst Mtg Ln T
        N/A
        EMLT 2005-1 M7
        29445FCU0
        
          
        
        850860.08000000
        PA
        USD
        838638.92000000
        0.125456843824
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT Home Equity Loan Trust
        N/A
        CITHE 2002-2 MF1
        12558MAX0
        
          
        
        3118026.55000000
        PA
        USD
        3161978.88000000
        0.473018698588
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-02-25
          Floating
          6.49000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Raac Trust
        N/A
        RAAC 2007-RP4 A
        74919LAD0
        
          
        
        522925.12000000
        PA
        USD
        505666.81000000
        0.075645621132
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-11-25
          Floating
          0.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corp Alt Ln tr
        N/A
        NAA 2004-AR1 5M1
        65535VEA2
        
          
        
        127064.32000000
        PA
        USD
        146180.97000000
        0.021868056306
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          1.55657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Csail Commercial Mortgage Trust
        549300D5DIOOMKWXVZ20
        CSAIL 2015-C2 D
        12634NBA5
        
          
        
        1000000.00000000
        PA
        USD
        779847.10000000
        0.116661835622
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2057-06-15
          Floating
          4.18693300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        AHM 2004-2 2A
        02660TAW3
        
          
        
        19548.15000000
        PA
        USD
        20728.84000000
        0.003100946999
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-02-25
          Floating
          2.83070900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JPMMT 2006-A7 2A2
        46629DAK1
        
          
        
        176098.08000000
        PA
        USD
        163926.62000000
        0.024522730669
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          3.12398300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RALI Series Trust
        N/A
        RALI 2006-QS12 AV
        751151BA8
        
          
        
        39016256.76000000
        PA
        USD
        499509.53000000
        0.074724518024
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-09-25
          Floating
          0.47330600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2004-A1 M1
        59020UAG0
        
          
        
        59303.65000000
        PA
        USD
        54669.35000000
        0.008178304084
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          2.34169900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2001-C M2
        456606DD1
        
          
        
        468037.21000000
        PA
        USD
        480954.57000000
        0.071948774300
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-12-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saco I Trust
        N/A
        SACO 2006-3 A1
        785778QJ3
        
          
        
        232661.73000000
        PA
        USD
        262291.55000000
        0.039237709149
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Floating
          0.81657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2003-9A B1II
        86359ARN5
        
          
        
        195787.05000000
        PA
        USD
        185638.23000000
        0.027770695913
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-03-25
          Floating
          2.24958200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-36T2 1A9
        02146XAH1
        
          
        
        505159.61000000
        PA
        USD
        161864.25000000
        0.024214208819
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2007-16N 2A2
        52525BAD4
        
          
        
        149515.31000000
        PA
        USD
        150951.72000000
        0.022581740376
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-09-25
          Floating
          1.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage 2012-Lc4
        N/A
        COMM 2012-LC4 C
        126192AG8
        
          
        
        1860000.00000000
        PA
        USD
        1845245.92000000
        0.276041003680
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-12-10
          Floating
          5.46735600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2004-18SL 1B4
        881561MZ4
        
          
        
        675198.78000000
        PA
        USD
        645408.27000000
        0.096550353914
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-10-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2004-NC7 M4
        61744CFS0
        
          
        
        33774.73000000
        PA
        USD
        33550.64000000
        0.005019034178
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          2.18157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Res Mtg
        N/A
        CRMSI 2006-1 M3
        17309NAJ0
        
          
        
        4339141.18000000
        PA
        USD
        3203997.11000000
        0.479304448501
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          4.74568900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        LMT 2005-3 1A5
        52520MDR1
        
          
        
        1955770.73000000
        PA
        USD
        1394319.02000000
        0.208584242111
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2005-HE1 M6
        61744CKT2
        
          
        
        27058.13000000
        PA
        USD
        25770.29000000
        0.003855126647
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          1.76157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centex Home Loan Equity Trust
        N/A
        CXHE 2003-A M2
        152314GS3
        
          
        
        66077.73000000
        PA
        USD
        64218.84000000
        0.009606867494
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-03-25
          Floating
          2.18657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gmacm Home Equity Loan Trust
        N/A
        GMACM 2006-HE1 A
        361856ER4
        
          
        
        540987.96000000
        PA
        USD
        688458.84000000
        0.102990537535
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          0.77157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc
        549300RLSHIMYD3FZB52
        MSAC 2003-NC5 B1
        61746RBF7
        
          
        
        1617152.79000000
        PA
        USD
        1674836.79000000
        0.250548516868
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          5.40657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFCRE Commercial Mortgage Trust
        N/A
        CFCRE 2016-C6 D
        12532AAA7
        
          
        
        2500000.00000000
        PA
        USD
        2149446.00000000
        0.321548052087
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-11-10
          Floating
          4.19632900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2003-2 M2
        07324SAH5
        
          
        
        146776.33000000
        PA
        USD
        147900.42000000
        0.022125278771
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2033-12-25
          Floating
          3.68156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jpmdb Commercial Mortgage Secu
        N/A
        JPMDB 2016-C2 D
        46590LAE2
        
          
        
        2500000.00000000
        PA
        USD
        1649330.00000000
        0.246732808709
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-06-15
          Floating
          3.35947000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2002-HE16 M2
        22540V2M3
        
          
        
        97971.51000000
        PA
        USD
        96622.07000000
        0.014454253978
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-10-25
          Floating
          2.45657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative loan Trust
        N/A
        CWALT 2006-OA19 A1
        12668RAA6
        
          
        
        269767.09000000
        PA
        USD
        220615.69000000
        0.033003176343
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-02-20
          Floating
          0.62857100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2005-1 MF3
        126673WG3
        
          
        
        2651472.69000000
        PA
        USD
        2564025.53000000
        0.383567400471
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          4.72564400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2003-48 B1
        12669EV60
        
          
        
        486624.98000000
        PA
        USD
        340663.76000000
        0.050961861077
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          2.39207800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2005-13 2A11
        41161PWB5
        
          
        
        3804748.36000000
        PA
        USD
        2329610.51000000
        0.348499902585
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-02-19
          Floating
          1.00856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Peoples Chce Hm Ln
        N/A
        PCHLT 2004-2 M5
        71085PAZ6
        
          
        
        1325384.19000000
        PA
        USD
        1271295.39000000
        0.190180426157
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Ixis Real Estate Cap
        N/A
        MSIX 2006-2 A3
        617463AC8
        
          
        
        2142641.08000000
        PA
        USD
        902041.61000000
        0.134941618722
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          0.60657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Green Tree Financial Corporation
        N/A
        GT 1999-1 M1
        393505T51
        
          
        
        2756838.27000000
        PA
        USD
        2430104.69000000
        0.363533407881
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2028-11-01
          Floating
          6.55999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2004-C M5
        456606FY3
        
          
        
        344441.35000000
        PA
        USD
        323261.58000000
        0.048358568377
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          2.03157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Coml Tr 2016-C36
        549300BSYX29G4VVM177
        WFCM 2016-C36 D
        95000MAC5
        
          
        
        2500000.00000000
        PA
        USD
        1791604.75000000
        0.268016510986
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2059-11-15
          Fixed
          2.94200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2002-AL1 A2
        86358RXY8
        
          
        
        140884.31000000
        PA
        USD
        131921.94000000
        0.019734965583
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-02-25
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2003-RS9 MII2
        760985B42
        
          
        
        386389.55000000
        PA
        USD
        385093.91000000
        0.057608424045
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2005-9 M2
        86358EYG5
        
          
        
        3596128.05000000
        PA
        USD
        3707868.38000000
        0.554681464426
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          1.13157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2005-2 2M2
        45254NNM5
        
          
        
        115038.31000000
        PA
        USD
        109958.74000000
        0.016449363536
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          1.58157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-OA10 XBI
        02146QAF0
        
          
        
        25098061.18000000
        PA
        USD
        930477.99000000
        0.139195581184
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-08-25
          Floating
          2.53653100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2004-SL1 MI6
        760985Z95
        
          
        
        6258.46000000
        PA
        USD
        5926.01000000
        0.000886506091
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-10-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
        N/A
        JPMBB 2015-C28 E
        46644FAZ4
        
          
        
        1000000.00000000
        PA
        USD
        705063.40000000
        0.105474509649
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-10-15
          Floating
          3.64682900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-AC5 A2
        073879GN2
        
          
        
        40589.16000000
        PA
        USD
        39652.33000000
        0.005931821256
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        LMT 2005-3 2A7
        52520MEF6
        
          
        
        41466.32000000
        PA
        USD
        41075.26000000
        0.006144685580
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Alternative Loan Trust
        N/A
        BOAA 2006-8 1A5
        06050AAE3
        
          
        
        212481.71000000
        PA
        USD
        38986.02000000
        0.005832144091
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          6.00000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-AHL2 A3A
        17312TAH6
        
          
        
        1888171.49000000
        PA
        USD
        1486119.17000000
        0.222317157203
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          0.52656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securities Corp.
        N/A
        RASC 2005-KS6 M8
        76110WZ58
        
          
        
        3000000.00000000
        PA
        USD
        2915727.60000000
        0.436180546148
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2007-1 2A1B
        41164MAD9
        
          
        
        2170425.82000000
        PA
        USD
        3136528.58000000
        0.469211441094
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-19
          Floating
          0.80857100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        54930023UHZHF7UJ8596
        BAFC 2005-C M2
        05946XUF8
        
          
        
        2841287.36000000
        PA
        USD
        2766594.18000000
        0.413870815780
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-20
          Floating
          1.09856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2017-16 CS
        3136AVA82
        
          
        
        5016838.32000000
        PA
        USD
        864912.96000000
        0.129387329345
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2047-03-25
          Floating
          5.59343200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass 2007-Cb1 Tr
        N/A
        CBASS 2007-CB1 AF2
        1248MGAK0
        
          
        
        863044.98000000
        PA
        USD
        360695.84000000
        0.053958575720
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Fixed
          5.72100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE9 M4
        073879KF4
        
          
        
        376471.32000000
        PA
        USD
        349404.50000000
        0.052269438899
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2005-WMC4 M6
        61744CRF5
        
          
        
        200000.00000000
        PA
        USD
        196108.82000000
        0.029337051997
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          1.50657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2004-C M6
        456606FZ0
        
          
        
        293557.91000000
        PA
        USD
        281444.10000000
        0.042102849816
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass 2007-Cb1 Tr
        N/A
        CBASS 2007-CB1 AF1A
        1248MGAJ3
        
          
        
        445929.27000000
        PA
        USD
        172199.24000000
        0.025760279715
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          0.52656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CBASS 2004-CB3 B4
        17307GEV6
        
          
        
        221577.52000000
        PA
        USD
        231467.06000000
        0.034626495508
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-03-25
          Floating
          3.76223000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2005-R11 M6
        03072SV69
        
          
        
        3580805.87000000
        PA
        USD
        4550416.84000000
        0.680723158938
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          1.61156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank 2017-Bnk6
        N/A
        BANK 2017-BNK6 XG
        060352AT8
        
          
        
        18729314.00000000
        PA
        USD
        1082518.76000000
        0.161940238845
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2060-07-15
          Floating
          1.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        MSBAM 2016-C29 E
        61766EAN5
        
          
        
        1666666.00000000
        PA
        USD
        1246058.50000000
        0.186405093899
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-05-15
          Fixed
          2.87700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JPMMT 2006-A6 3A2
        46628BBF6
        
          
        
        80753.92000000
        PA
        USD
        65127.83000000
        0.009742848563
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-10-25
          Floating
          2.55959600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2003-AL1 B1
        86359AMH3
        
          
        
        653448.88000000
        PA
        USD
        652425.71000000
        0.097600133328
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-04-25
          Fixed
          3.35650000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass 2007-Cb1 Tr
        N/A
        CBASS 2007-CB1 AF6
        1248MGAP9
        
          
        
        2363525.48000000
        PA
        USD
        987571.47000000
        0.147736524888
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Fixed
          5.83500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2005-NC1 M5
        61744CMP8
        
          
        
        1100106.20000000
        PA
        USD
        1069851.74000000
        0.160045306101
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.55157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ML
        N/A
        MSM 2007-7AX 2A6
        61754HAG7
        
          
        
        5261450.64000000
        PA
        USD
        261857.66000000
        0.039172801036
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          1.09657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2004-AR6 2A
        45660NX34
        
          
        
        1010651.69000000
        PA
        USD
        1003786.23000000
        0.150162184566
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          3.06951800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gmacm Home Ln Tr
        N/A
        GMACM 2004-GH1 M2
        36185HED1
        
          
        
        1549199.01000000
        PA
        USD
        1453803.05000000
        0.217482802008
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          5.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2012-144 SH
        3136ABJT1
        
          
        
        5365410.44000000
        PA
        USD
        981009.50000000
        0.146754881864
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2043-01-25
          Floating
          5.64342800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2002-FFA M2
        32027NBB6
        
          
        
        37556.68000000
        PA
        USD
        40874.84000000
        0.006114703594
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-09-25
          Floating
          2.45657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM 2014-LC17 MORTGAGE TRUST
        N/A
        COMM 2014-LC17 E
        12592MAQ3
        
          
        
        1300000.00000000
        PA
        USD
        1085424.99000000
        0.162374998590
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-10-10
          Fixed
          3.11400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2004-8CB M3
        12667FGN9
        
          
        
        706071.16000000
        PA
        USD
        867167.51000000
        0.129724600512
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Ser 2006-Qa8
        N/A
        RALI 2006-QA8 A1
        74922QAA0
        
          
        
        2134021.89000000
        PA
        USD
        2206551.32000000
        0.330090767005
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-09-25
          Floating
          0.83657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset M
        N/A
        SAMI 2006-AR3 12A3
        86360KAG3
        
          
        
        3832642.82000000
        PA
        USD
        3063234.02000000
        0.458246884182
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          0.99657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        QUEST 2003-X3 M3
        03072SKF1
        
          
        
        250747.61000000
        PA
        USD
        263976.48000000
        0.039489767568
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-02-25
          Floating
          5.33157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevy Chase Funding LLC Mortgage Backed Certificates
        N/A
        CCMFC 2007-2A A2
        16679BAB7
        
          
        
        524425.49000000
        PA
        USD
        339913.99000000
        0.050849698648
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-05-25
          Floating
          0.63657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4583 ST
        3137BPDJ5
        
          
        
        250964.02000000
        PA
        USD
        39336.28000000
        0.005884541509
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2046-05-15
          Floating
          5.60342900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Financial Trust
        N/A
        CHASE 2007-A1 5A2
        161630AR9
        
          
        
        27246.56000000
        PA
        USD
        26151.23000000
        0.003912113663
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-02-25
          Floating
          2.54830000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2004-HE3 M6
        04541GJY9
        
          
        
        270798.30000000
        PA
        USD
        291587.05000000
        0.043620192338
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          4.58156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2005-4 MF3
        126673P48
        
          
        
        1883000.00000000
        PA
        USD
        1543466.67000000
        0.230896101228
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          5.23599800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rfmsi Series 2007-S6 Trust 
        N/A
        RFMSI 2007-S6 2A5
        762009BC1
        
          
        
        1219694.00000000
        PA
        USD
        1029320.14000000
        0.153981949763
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-06-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns 7-Sl1
        N/A
        BSMF 2007-SL1 1A
        07401PAA2
        
          
        
        28653.80000000
        PA
        USD
        28426.27000000
        0.004252450048
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS Mortgage Funding Trust 2006-AR1
        N/A
        BSMF 2006-AR5 1A2
        07401NAB5
        
          
        
        3077874.46000000
        PA
        USD
        3949133.00000000
        0.590773633570
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-12-25
          Floating
          0.66656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2006-AR1 2A1
        17307G3C0
        
          
        
        96360.66000000
        PA
        USD
        93752.31000000
        0.014024949991
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          2.49000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Cap Mtg
        N/A
        BCM 2001-A M2
        09774XBW1
        
          
        
        302669.54000000
        PA
        USD
        105521.53000000
        0.015785575643
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-12-15
          Fixed
          8.26500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2003-HE1 M5
        004421DE0
        
          
        
        515762.32000000
        PA
        USD
        532476.84000000
        0.079656288496
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2005-HE4 M5
        17307GQ27
        
          
        
        4042218.12000000
        PA
        USD
        2682275.68000000
        0.401257123959
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          1.43156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-8 M4
        126673EY4
        
          
        
        506366.78000000
        PA
        USD
        482191.82000000
        0.072133861680
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4718 SC
        3137FAT73
        
          
        
        4609235.25000000
        PA
        USD
        758475.01000000
        0.113464661137
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2047-09-15
          Floating
          5.75343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Pl Secs Inc
        N/A
        PPSI 2004-WHQ1 M7
        70069FBX4
        
          
        
        1253891.82000000
        PA
        USD
        1397781.93000000
        0.209102278835
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wf-Rbs Com Mg Tst
        N/A
        WFRBS 2014-C25 D
        92939LAU0
        
          
        
        3042340.00000000
        PA
        USD
        2747769.08000000
        0.411054660251
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-11-15
          Floating
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        OOMLT 2004-1 M3
        68389FEU4
        
          
        
        330855.72000000
        PA
        USD
        321936.61000000
        0.048160358455
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          2.48157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4685 SA
        3137BXSJ2
        
          
        
        2211580.92000000
        PA
        USD
        382980.13000000
        0.057292211476
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2047-05-15
          Floating
          5.70343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST
        N/A
        WFCM 2020-SDAL F
        95002GAL6
        
          
        
        2500000.00000000
        PA
        USD
        2227346.50000000
        0.333201638188
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-02-15
          Floating
          3.88770100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSMPS 2006-RP1 1AF2
        3623413V9
        
          
        
        152755.37000000
        PA
        USD
        129123.38000000
        0.019316312816
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-01-25
          Floating
          0.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSFB Mtg Accep Corp
        N/A
        CSFB 2003-1 DB2
        2254W0GK5
        
          
        
        1237212.44000000
        PA
        USD
        1058447.24000000
        0.158339241022
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-02-25
          Floating
          6.67863700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2003-BC5 M4
        126671L20
        
          
        
        198264.56000000
        PA
        USD
        198293.82000000
        0.029663918778
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular Abs Inc
        N/A
        POPLR 2005-5 AF4
        73316PGH7
        
          
        
        38231.86000000
        PA
        USD
        37876.15000000
        0.005666112222
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          3.59019700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2007-3 2A1B
        41164UAC3
        
          
        
        2013239.86000000
        PA
        USD
        1948533.93000000
        0.291492454156
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-05-19
          Floating
          0.67857100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Coml Mtg Tr 2015-C27
        5493001SKB2HKIF64L70
        WFCM 2015-C27 E
        94989DAJ8
        
          
        
        1666666.00000000
        PA
        USD
        704933.72000000
        0.105455110068
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-02-15
          Fixed
          2.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2004-R12 M5
        03072SXH3
        
          
        
        2199781.14000000
        PA
        USD
        2151853.41000000
        0.321908190465
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          2.13657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass
        N/A
        CBASS 2002-CB5 M2
        12489WFT6
        
          
        
        573150.69000000
        PA
        USD
        592558.03000000
        0.088644181009
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-05-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2003-AC4 M1
        07384YKH8
        
          
        
        253405.31000000
        PA
        USD
        230173.52000000
        0.034432987382
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          5.65800100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables Llc Trust
        N/A
        SABR 2004-OP2 M3
        81375WBQ8
        
          
        
        152206.01000000
        PA
        USD
        151731.63000000
        0.022698411621
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          2.48157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE5 M2
        073879CD8
        
          
        
        83612.00000000
        PA
        USD
        83856.67000000
        0.012544604001
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2005-A6 M2
        59020UZM0
        
          
        
        3405797.24000000
        PA
        USD
        4813523.59000000
        0.720082818568
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          1.43156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Mortgage Funding Trust
        N/A
        NHEL 2004-1 B1
        66987XEG6
        
          
        
        1281027.42000000
        PA
        USD
        1300212.86000000
        0.194506357653
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-4 B
        1266715S1
        
          
        
        1677818.76000000
        PA
        USD
        1724036.63000000
        0.257908605335
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Floating
          4.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2003-SD2 M2
        126671ZG4
        
          
        
        5461.53000000
        PA
        USD
        7016.80000000
        0.001049683672
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2032-03-25
          Floating
          3.83157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-BC3 M5
        126673CE0
        
          
        
        200271.60000000
        PA
        USD
        196022.34000000
        0.029324114954
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          2.33156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Secs Trust
        N/A
        AABST 2004-1 M3
        00764MBF3
        
          
        
        372476.26000000
        PA
        USD
        367275.26000000
        0.054942829190
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          2.78656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2004-OP1 M5
        004421FA6
        
          
        
        245351.31000000
        PA
        USD
        232425.96000000
        0.034769942902
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          3.83157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevy Chase Funding Llc
        N/A
        CCMFC 2004-2A A2
        16678RBD8
        
          
        
        48848.62000000
        PA
        USD
        48742.96000000
        0.007291741146
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-05-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Coml Mtg Tr 2018
        N/A
        CGCMT 2015-GC35 D
        17324KAU2
        
          
        
        3000000.00000000
        PA
        USD
        2167383.30000000
        0.324231396481
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2048-11-10
          Fixed
          3.23600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Mtg Tst
        N/A
        BOAMS 2007-1 2IO
        05952HCP2
        
          
        
        520434.69000000
        PA
        USD
        80151.78000000
        0.011990368090
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        QUEST 2003-X4A M2
        03072SMJ1
        
          
        
        1602614.65000000
        PA
        USD
        1485248.61000000
        0.222186925101
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2033-12-25
          Floating
          4.17010300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2005-1 MF4
        126673WH1
        
          
        
        132573.63000000
        PA
        USD
        101463.41000000
        0.015178498014
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          4.72564400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2004-4 1M6
        45254NJA6
        
          
        
        64120.95000000
        PA
        USD
        63439.93000000
        0.009490345845
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2006-2 M7
        07388FAK9
        
          
        
        2987000.00000000
        PA
        USD
        3038626.71000000
        0.454565734436
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          4.20657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2002-4 M2
        126671SM9
        
          
        
        558011.42000000
        PA
        USD
        560662.20000000
        0.083872699425
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-11-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Ln
        CU46ESEFJB81SUVBJO28
        GSR 2006-AR2 1B2
        36297TAN2
        
          
        
        24569.19000000
        PA
        USD
        11497.62000000
        0.001719995438
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Floating
          1.23657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-SP2 M4
        07325KAE8
        
          
        
        1547897.85000000
        PA
        USD
        1448251.46000000
        0.216652307569
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-01-25
          Floating
          1.16156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust
        N/A
        FFML 2006-FF10 M1
        32028HAH6
        
          
        
        4610790.54000000
        PA
        USD
        7263033.91000000
        1.086519226816
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          0.72657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mtg Trust
        N/A
        HMBT 2005-1 B1
        43739EAT4
        
          
        
        468333.03000000
        PA
        USD
        391208.18000000
        0.058523093038
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          2.15844100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Chase Commercial Mortgage Securities Trust
        N/A
        JPMCC 2014-DSTY A
        46642MAA6
        
          
        
        2418450.00000000
        PA
        USD
        1375614.36000000
        0.205786103899
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2027-06-10
          Fixed
          3.42890000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc
        549300RLSHIMYD3FZB52
        MSAC 2003-NC8 B1
        61746RDQ1
        
          
        
        420214.70000000
        PA
        USD
        437629.57000000
        0.065467537109
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-09-25
          Floating
          5.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAAC 2004-SP3 MII4
        76112BEW6
        
          
        
        325066.95000000
        PA
        USD
        206326.66000000
        0.030865597747
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Velocity Commercial Capital Loan Trust
        N/A
        VCC 2017-2 M5
        92258VAG2
        
          
        
        1478170.58000000
        PA
        USD
        1466798.27000000
        0.219426832087
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-11-25
          Floating
          6.41999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CitiMortgage Alternative Loan Trust
        N/A
        CMALT 2007-A6 1A2
        18976GAB2
        
          
        
        3554539.02000000
        PA
        USD
        343747.38000000
        0.051423157617
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-06-25
          Floating
          4.94343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2006-7 2A1A
        41161VAC4
        
          
        
        139085.79000000
        PA
        USD
        125980.96000000
        0.018846220043
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-19
          Floating
          0.84857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2003-BC2 A2
        86358EAK2
        
          
        
        69450.68000000
        PA
        USD
        68328.60000000
        0.010221670249
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        SASC 2001-SB1 A5
        86358RDX2
        
          
        
        27423.39000000
        PA
        USD
        26613.71000000
        0.003981298720
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-08-25
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2003-BC8 M2
        86358EEB8
        
          
        
        68261.99000000
        PA
        USD
        73835.58000000
        0.011045491221
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ownit Mtg Loan Tr
        N/A
        OWNIT 2006-3 M1
        69121PDZ3
        
          
        
        3812754.16000000
        PA
        USD
        4095667.76000000
        0.612694615368
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.95157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wamu Wmalt 07-0c1
        N/A
        WMALT 2007-1 1A3
        93935PAC3
        
          
        
        1406465.64000000
        PA
        USD
        832925.27000000
        0.124602105892
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-02-25
          Floating
          0.82657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac Secured Assets Corp
        N/A
        IMSA 2004-1 M2
        45254TPB4
        
          
        
        900164.95000000
        PA
        USD
        834476.67000000
        0.124834188786
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          5.39536000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2005-HE2 M5
        61744CNF9
        
          
        
        492840.47000000
        PA
        USD
        472983.58000000
        0.070756347830
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.47656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        CGCMT 2014-GC21 E
        17322MAC0
        
          
        
        3500000.00000000
        PA
        USD
        2694494.25000000
        0.403084970475
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-05-10
          Floating
          3.58800100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chaseflex Trust
        549300U1F9IQTDPULK34
        CFLX 2007-M1 2AV2
        16165YAR3
        
          
        
        668272.70000000
        PA
        USD
        598985.65000000
        0.089605725840
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Floating
          0.68657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Financial Secs Corp
        N/A
        CNF 2001-2 M1
        20846QHE1
        
          
        
        858993.85000000
        PA
        USD
        793166.57000000
        0.118654372133
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-03-01
          Floating
          7.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-1A M2
        07324SDH2
        
          
        
        25371.97000000
        PA
        USD
        23536.77000000
        0.003521001479
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-04-25
          Floating
          1.05657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merit Securities Corp
        N/A
        MESC 12-1 1M2
        589962CP2
        
          
        
        835156.52000000
        PA
        USD
        734453.68000000
        0.109871171526
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-07-28
          Floating
          8.34999800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spclty Undrw & Res
        N/A
        SURF 2003-BC2 B1
        84751PAQ2
        
          
        
        166394.35000000
        PA
        USD
        198685.94000000
        0.029722578275
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          4.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Series Trust 2006-QO7
        N/A
        RALI 2006-QO7 1A1
        751150AA1
        
          
        
        1829177.90000000
        PA
        USD
        1734788.48000000
        0.259517036728
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-25
          Floating
          0.94113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-3A M2
        07324SCE0
        
          
        
        43557.58000000
        PA
        USD
        39899.14000000
        0.005968742990
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2035-11-25
          Floating
          1.19157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saco I Inc
        N/A
        SACO 1999-3 1B1
        78386NBC2
        
          
        
        187033.75000000
        PA
        USD
        180410.14000000
        0.026988595709
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2039-04-25
          Floating
          5.28856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Secs Trust
        N/A
        AABST 2004-1 B1
        00764MBG1
        
          
        
        209020.75000000
        PA
        USD
        205859.37000000
        0.030795693135
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          3.23656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truman Cap Mtg Ln
        N/A
        TRUMN 2004-1 M3
        897896AT3
        
          
        
        736548.72000000
        PA
        USD
        806698.50000000
        0.120678691763
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-01-25
          Floating
          4.58156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        MABS 2004-OPT2 M4
        57643LEZ5
        
          
        
        267360.11000000
        PA
        USD
        263349.44000000
        0.039395965030
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          1.95657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300FWFHJGIW2B2U59
        WELLS FARGO COMMERCIAL MR
        95000DBK6
        
          
        
        967758.00000000
        PA
        USD
        866586.35000000
        0.129637661429
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2049-06-15
          Floating
          5.05228000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-56 5A1
        12668AHE8
        
          
        
        406716.43000000
        PA
        USD
        354913.53000000
        0.053093566542
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-11-25
          Floating
          1.09657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Finl Secs
        N/A
        BAYV 2005-C B2
        07325NBU5
        
          
        
        2430000.00000000
        PA
        USD
        2320603.59000000
        0.347152505357
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-06-28
          Floating
          1.79714200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suntrust Alt Loan
        N/A
        STALT 2006-1F 1A4
        86800RAD3
        
          
        
        482822.05000000
        PA
        USD
        331199.27000000
        0.049546013308
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wilshire Mtg Ln Tr
        N/A
        WIMLT 1997-2 A7
        971885AL2
        
          
        
        45248.83000000
        PA
        USD
        45490.59000000
        0.006805200318
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Floating
          6.83500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prime Mtg Tst 2006
        N/A
        PRIME 2006-CL1 M3
        74161QAE2
        
          
        
        695000.00000000
        PA
        USD
        590178.50000000
        0.088288213362
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Securities Corp
        N/A
        JPMCC 2018-PTC D
        46649GAL8
        
          
        
        27000.00000000
        PA
        USD
        26717.66000000
        0.003996849201
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-04-15
          Floating
          3.76700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Securities Corp
        N/A
        JPMCC 2018-PTC C
        46649GAJ3
        
          
        
        64000.00000000
        PA
        USD
        63494.54000000
        0.009498515270
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2031-04-15
          Floating
          2.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ML
        3IFG42XD94UUZ7FL2766
        MSM 2004-11AR 1B1
        61748HGT2
        
          
        
        550423.56000000
        PA
        USD
        464276.66000000
        0.069453829336
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.05657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Salomon Brothers Mtg Secs VII Inc
        N/A
        CBASS 2003-CB1 M1
        79549ARX9
        
          
        
        100675.50000000
        PA
        USD
        99610.85000000
        0.014901362855
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-01-25
          Floating
          1.88156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMC Hm Eqty Ln Tst
        N/A
        IMCHE 1998-5 A6
        449670EY0
        
          
        
        1573.09000000
        PA
        USD
        1575.65000000
        0.000235710591
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-15
          Fixed
          6.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equity One, Inc.
        N/A
        EQABS 2004-3 M3
        294751FB3
        
          
        
        652978.39000000
        PA
        USD
        580452.73000000
        0.086833279207
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          4.03387200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2004-OP1 M6
        004421FB4
        
          
        
        73565.51000000
        PA
        USD
        70058.75000000
        0.010480493389
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        549300FVY7JUBJ0PIH53
        COMM 2013-CR7 E
        12625FBC9
        
          
        
        918000.00000000
        PA
        USD
        860620.23000000
        0.128745155050
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-03-10
          Floating
          4.38851900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Finl Mbpt
        N/A
        BAYV 2006-D 1A4
        07325HAE5
        
          
        
        635963.84000000
        PA
        USD
        670226.84000000
        0.100263107265
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-28
          Floating
          6.59599900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Arm Trust
        N/A
        BSARM 2007-4 22A1
        07401CAV5
        
          
        
        90244.86000000
        PA
        USD
        88750.16000000
        0.013276649457
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-06-25
          Floating
          3.25351100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-2A M3
        07324YAF6
        
          
        
        47685.60000000
        PA
        USD
        44669.49000000
        0.006682367222
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-07-25
          Floating
          0.98156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2003-FF4 M2
        32027NDV0
        
          
        
        274112.63000000
        PA
        USD
        263381.72000000
        0.039400793981
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          2.93157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I TRUST
        N/A
        MSC 2019-MEAD B
        61771LAE2
        
          
        
        99000.00000000
        PA
        USD
        95618.21000000
        0.014304080758
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-11-10
          Floating
          3.17709700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Res Mtg T
        N/A
        CRMSI 2006-2 M3
        17310EAJ7
        
          
        
        1266892.25000000
        PA
        USD
        567221.11000000
        0.084853884686
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-09-25
          Fixed
          5.99600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNR 2012-42 PS
        3136A5GH3
        
          
        
        193173.64400000
        PA
        USD
        2952.45000000
        0.000441674062
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2041-08-25
          Floating
          6.12343100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES TRUST
        N/A
        GSMS 2014-GC26 D
        36250HAS2
        
          
        
        3790000.00000000
        PA
        USD
        2709586.22000000
        0.405342665507
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-11-10
          Floating
          4.52420600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-SP2 M1
        07325KAB4
        
          
        
        1008140.44000000
        PA
        USD
        941590.87000000
        0.140858021142
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-01-25
          Floating
          0.95157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        549300NHEJTDVQUV3M53
        CWALT 2005-22T1 A2
        12667GGP2
        
          
        
        395243.81000000
        PA
        USD
        43552.86000000
        0.006515324086
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-06-25
          Floating
          4.61342900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2004-9 M6
        86358EMY9
        
          
        
        71561.67000000
        PA
        USD
        70300.52000000
        0.010516661161
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2005-12 1A1A
        41161PVF7
        
          
        
        518902.00000000
        PA
        USD
        347955.65000000
        0.052052697053
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-19
          Floating
          2.14112900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2006-HE6 M1
        04544NAE4
        
          
        
        5406987.24000000
        PA
        USD
        5339130.09000000
        0.798711333190
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          0.68657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-11 4A2
        12669GUS8
        
          
        
        350733.70000000
        PA
        USD
        199401.26000000
        0.029829587129
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          0.77657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSAMP 2004-OPT B2
        36242DNY5
        
          
        
        166296.60000000
        PA
        USD
        157941.01000000
        0.023627308669
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Strn 2007-Ar3
        N/A
        BSMF 2007-AR3 1A2
        07401VAB7
        
          
        
        2304999.31000000
        PA
        USD
        3330907.71000000
        0.498289738766
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.63657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 1999-2 MF1
        07383GAT3
        
          
        
        190419.47000000
        PA
        USD
        250231.16000000
        0.037433525694
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-10-25
          Floating
          8.21999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2004-AR14 2A1A
        45660LAC3
        
          
        
        1528803.08000000
        PA
        USD
        1332052.09000000
        0.199269372116
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBA Commercial Assets Small Balance
        N/A
        CBAC 2006-2A A
        14983CAA3
        
          
        
        887950.68000000
        PA
        USD
        827750.29000000
        0.123827950720
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2039-01-25
          Floating
          6.04000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMC Hm Eqty Ln Tst
        N/A
        IMCHE 1998-1 M1
        449670ED6
        
          
        
        453975.49000000
        PA
        USD
        435286.32000000
        0.065116996796
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-06-20
          Floating
          7.53000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST
        N/A
        WFCM 2015-C31 D
        94989WBB2
        
          
        
        2500000.00000000
        PA
        USD
        2194201.75000000
        0.328243323442
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2048-11-15
          Fixed
          3.85200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2005-AR4 2A1A
        45660LEG0
        
          
        
        486869.58000000
        PA
        USD
        477158.33000000
        0.071380872815
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.01657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-Bass Mortgage Loan Asset-Backed Certificates
        N/A
        CBASS 2006-RP2 M1
        1248M3AE3
        
          
        
        1367268.94000000
        PA
        USD
        1354049.91000000
        0.202560153169
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-07-25
          Floating
          1.50657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDC Mortgage Capital Trust
        N/A
        CDCMC 2004-HE3 M2
        12506YDG1
        
          
        
        589551.65000000
        PA
        USD
        596848.53000000
        0.089286021706
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2005-HE2 M4
        04541GQE5
        
          
        
        199369.58900000
        PA
        USD
        196997.75000000
        0.029470032174
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.68657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2005-10 11A1
        07386HYW5
        
          
        
        2125392.11000000
        PA
        USD
        3125354.88000000
        0.467539902721
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LB Small Bal Coml
        N/A
        LBSBC 2007-2A M2
        52521VAH5
        
          
        
        5000000.00000000
        PA
        USD
        4316456.00000000
        0.645723604463
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-06-25
          Floating
          1.05657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-36 4A2
        12667GA37
        
          
        
        31685.72000000
        PA
        USD
        5447.23000000
        0.000814882623
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-05-25
          Floating
          2.84634700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Mortgage Securities Trust
        549300ISEJNGWSXAKR30
        CMSI 2006-4 1A12
        17310DAM2
        
          
        
        88632.68000000
        PA
        USD
        59017.95000000
        0.008828836295
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          6.00000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Asset Trust
        N/A
        AHMA 2006-4 1A12
        02660LAB6
        
          
        
        821790.94000000
        PA
        USD
        510902.41000000
        0.076428844801
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-10-25
          Floating
          0.66656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-SP2 M6
        07325KAG3
        
          
        
        516087.62000000
        PA
        USD
        482074.56000000
        0.072116320079
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-01-25
          Floating
          1.29656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-14 A3
        12669GK75
        
          
        
        267862.27000000
        PA
        USD
        132401.94000000
        0.019806771558
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust
        N/A
        WFHET 2005-1 M10
        9497ERAK0
        
          
        
        430628.37010000
        PA
        USD
        450867.73000000
        0.067447909987
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          4.20657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Secs Corp Home Equity Loan
        N/A
        ABSHE 2004-HE9 M2
        04541GNB4
        
          
        
        363286.69000000
        PA
        USD
        393875.14000000
        0.058922059001
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Mortgage Funding Trust
        N/A
        NHEL 2005-1 B1
        66987XGL3
        
          
        
        3328544.25000000
        PA
        USD
        2574716.85000000
        0.385166776831
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-06-25
          Floating
          2.22657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Bank Home
        N/A
        PBHET 1999-3 A2
        743844CV2
        
          
        
        174483.52000000
        PA
        USD
        162919.97000000
        0.024372140076
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-01-25
          Floating
          1.02686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-1A M4
        07324SDK5
        
          
        
        12370.63000000
        PA
        USD
        11373.40000000
        0.001701412650
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-04-25
          Floating
          1.23657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DP Rev Repo - 43710XAF5
        N/A
        
          
        
        -5025000.00000000
        PA
        USD
        -5025000.00000000
        -0.75171879718
        Long
        RA
        
        US
        
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.15000000
          2022-04-22
          
            
              5025000.00000000
              USD
              5025000.00000000
              USD
              ACMO
            
          
        
        
          N
          N
          N
        
      
      
        ACE Securities Corp Home Equity Loan Trust Series 2007-SL2
        N/A
        ACE 2004-OP1 M4
        004421EZ2
        
          
        
        344243.71000000
        PA
        USD
        336645.53000000
        0.050360750823
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-04-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Securities Corp
        N/A
        JPMCC 2011-C3 C
        46635TAX0
        
          
        
        2500000.00000000
        PA
        USD
        2401464.75000000
        0.359248993702
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-02-15
          Floating
          5.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2003-BC2 M1
        86358EAN6
        
          
        
        260149.12000000
        PA
        USD
        255736.37000000
        0.038257081881
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          1.83656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-6 M4
        64352VFG1
        
          
        
        877688.37000000
        PA
        USD
        935459.14000000
        0.139940740206
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          5.21907100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        1V8Y6QCX6YMJ2OELII46
        HEAT 2005-4 M7
        437084LS3
        
          
        
        1139654.32000000
        PA
        USD
        1392833.31000000
        0.208361986164
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          2.13657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-61 2A3
        12668AVR3
        
          
        
        1778466.83000000
        PA
        USD
        1575114.80000000
        0.235630527937
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Floating
          1.29656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSAA 2005-1 B1
        36242DSW4
        
          
        
        1842000.00000000
        PA
        USD
        1779400.55000000
        0.266190814161
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          5.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        N/A
        MANA 2007-OAR4 A1
        59025EAV8
        
          
        
        663187.88000000
        PA
        USD
        607153.61000000
        0.090827618192
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Floating
          0.70656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WFRBS Commercial Mortgage Trust 2011-C2
        N/A
        WFRBS 2012-C9 D
        92930RAJ1
        
          
        
        4000000.00000000
        PA
        USD
        3945391.20000000
        0.590213876079
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2045-11-15
          Floating
          4.81843800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loan Trust
        N/A
        MALT 2006-2 2A1
        5764342H6
        
          
        
        284603.89000000
        PA
        USD
        27403.00000000
        0.004099373173
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS, IN
        N/A
        RALI 2003-QS9 A2
        76110HCB3
        
          
        
        9233.55000000
        PA
        USD
        8800.89000000
        0.001316576008
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-05-25
          Floating
          0.00010100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Eqty Ln Tst
        N/A
        HELT 2007-FRE1 M1
        43710XAF5
        
          
        
        8718547.01000000
        PA
        USD
        10895709.44000000
        1.629952158156
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Alt
        N/A
        NAA 2006-AF1 2A
        65536PAL4
        
          
        
        232015.36000000
        PA
        USD
        200658.67000000
        0.030017690359
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-06-25
          Floating
          3.27380000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ramp Ser 2007 Rs2
        N/A
        RAMP 2007-RS2 A3
        75157DAC8
        
          
        
        263391.09000000
        PA
        USD
        251804.38000000
        0.037668872768
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          1.19657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        549300430UQIJMFG3R47
        CWALT 2006-OA2 X1P
        126694Z68
        
          
        
        42939999.71000000
        PA
        USD
        3551399.91000000
        0.531274441527
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-05-20
          Floating
          2.74027700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A
        N/A
        INABS 2007-A 2A3
        43710BAD8
        
          
        
        1580143.11000000
        PA
        USD
        1201365.58000000
        0.179719221647
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.69657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Loan Trust
        N/A
        GSR 2006-OA1 2A2
        362631AC7
        
          
        
        1258021.43000000
        PA
        USD
        507500.94000000
        0.075919999241
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-08-25
          Floating
          0.97656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAAC 2005-SP2 2A
        76112BF54
        
          
        
        581601.12000000
        PA
        USD
        527991.98000000
        0.078985372364
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-06-25
          Floating
          1.05657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C-BASS Mortgage Loan Asset Backed Certificates Series 2007- CB6
        N/A
        CBASS 2007-CB6 A4
        1248RHAD9
        
          
        
        924377.08000000
        PA
        USD
        711073.19000000
        0.106373548875
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-07-25
          Floating
          0.79656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2012-72 IO
        38378BVN6
        
          
        
        18568417.67000000
        PA
        USD
        121654.70000000
        0.018199029802
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2052-11-16
          Floating
          0.33256100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2004-HE2 M4
        07384YRB4
        
          
        
        29154.00000000
        PA
        USD
        31139.24000000
        0.004658298913
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cherrywood Sb Coml Mtg 2016-1
        N/A
        CCMLT 2016-1A M4
        164863AM4
        
          
        
        1496000.00000000
        PA
        USD
        1474073.28000000
        0.220515142887
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-03-25
          Floating
          6.88569800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2005-WMC1 M2
        59020UQW8
        
          
        
        138470.26000000
        PA
        USD
        137254.26000000
        0.020532658156
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          1.25156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wamu Mortgage Pass-Through CTFS TR
        N/A
        WAMU 2005-AR15 X
        92922F6D5
        
          
        
        27769453.75000000
        PA
        USD
        870214.15000000
        0.130180365001
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-11-25
          Floating
          2.11085600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Alt 2006-J8
        N/A
        CWALT 2006-OA12 A2
        23243AAD8
        
          
        
        1422571.77000000
        PA
        USD
        1164488.80000000
        0.174202610959
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-20
          Floating
          0.65857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Financial Secs Corp
        N/A
        CNFHE 2002-A B1
        20846QJN9
        
          
        
        575769.13000000
        PA
        USD
        583837.50000000
        0.087339626517
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-04-15
          Floating
          5.64657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ownit
        N/A
        OWNIT 2004-1 B2
        691215AH0
        
          
        
        941654.71000000
        PA
        USD
        1170706.29000000
        0.175132721229
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-07-25
          Floating
          3.23156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2004-FF7 B
        32027NLK5
        
          
        
        943370.27000000
        PA
        USD
        952608.41000000
        0.142506198637
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          5.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sasco Mtg Ln Tr
        N/A
        SASC 2004-GEL2 M3
        80382UAM5
        
          
        
        618855.59000000
        PA
        USD
        603577.96000000
        0.090292716039
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-07-19
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2003-A MF1
        456606DX7
        
          
        
        105692.81000000
        PA
        USD
        145442.59000000
        0.021757597774
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Floating
          4.80540600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Alt 2006-J8
        N/A
        CWALT 2006-J5 1A4
        12668EAD9
        
          
        
        178328.72000000
        PA
        USD
        100498.40000000
        0.015034136590
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-09-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        1V8Y6QCX6YMJ2OELII46
        HEAT 2004-6 M5
        437084EX0
        
          
        
        215407.15000000
        PA
        USD
        216295.17000000
        0.032356844782
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          2.10656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        BAFC 2005-F 4A1
        05946XYZ0
        
          
        
        84085.24000000
        PA
        USD
        78892.95000000
        0.011802052433
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-20
          Floating
          2.58336700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Hm Mtg In
        N/A
        AHM 2006-3 11A2
        026929AB5
        
          
        
        528516.27000000
        PA
        USD
        580357.16000000
        0.086818982339
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-12-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2004-FF7 M5
        32027NLE9
        
          
        
        1148387.55000000
        PA
        USD
        1185384.69000000
        0.177328547934
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sasco Mtg Ln Tr
        N/A
        SASC 2004-GEL2 M4
        80382UAN3
        
          
        
        719805.38000000
        PA
        USD
        680676.76000000
        0.101826371204
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenpoint Mtg Fdg
        N/A
        GPMF 2006-AR6 A3A
        39538BAE4
        
          
        
        5810461.95000000
        PA
        USD
        5864474.84000000
        0.877300691116
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-10-25
          Floating
          0.89656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2004-11 2A2
        45254NMC8
        
          
        
        401158.40000000
        PA
        USD
        405279.26000000
        0.060628067234
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.19657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4416 DS
        3137BFM32
        
          
        
        4428066.91000000
        PA
        USD
        656339.59000000
        0.098185633261
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2044-12-15
          Floating
          5.70343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Financial Secs Corp
        N/A
        CNF 2002-1 M2
        20846QJT6
        
          
        
        3000000.00000000
        PA
        USD
        3029031.00000000
        0.453130256709
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-12-01
          Floating
          9.54600100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rali Ser 2006-Qs7
        N/A
        RALI 2006-QS7 A4
        748940AD5
        
          
        
        170217.88000000
        PA
        USD
        126109.87000000
        0.018865504435
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-06-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance America Mt
        N/A
        FINA 2004-2 M2
        317350BE5
        
          
        
        231187.93000000
        PA
        USD
        226223.15000000
        0.033842028699
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wilshire Mtg Ln Tr
        N/A
        WIMLT 1997-2 B
        971885AX6
        
          
        
        13300.01000000
        PA
        USD
        6631.19000000
        0.000991998043
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2028-05-25
          Floating
          8.98999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        SAMI 2006-AR7 X
        86361HAT1
        
          
        
        41407954.72000000
        PA
        USD
        1059120.24000000
        0.158439918982
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carrington Mtg Ln
        N/A
        CARR 2005-FRE1 M4
        144531EJ5
        
          
        
        5185701.45000000
        PA
        USD
        4543905.56000000
        0.679749098924
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Floating
          1.38656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        ARC 2001-BC5 M1
        86358RHG5
        
          
        
        160449.91000000
        PA
        USD
        182082.20000000
        0.027238728830
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-08-25
          Floating
          1.28157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Strn 2007-Ar3
        N/A
        BSMF 2007-AR3 21A2
        07401VAQ4
        
          
        
        2018351.46000000
        PA
        USD
        2947978.31000000
        0.441005116284
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.64657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saco I Trust
        N/A
        SACO 2005-5 2M6
        785778GQ8
        
          
        
        304327.54000000
        PA
        USD
        304225.10000000
        0.045510791292
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          1.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-OPX1 A4B
        17311FAG9
        
          
        
        347782.00000000
        PA
        USD
        189277.47000000
        0.028315110862
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Fixed
          6.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDC Mortgage Capital Trust
        N/A
        CDCMC 2004-HE1 M1
        12506YCL1
        
          
        
        1192520.65000000
        PA
        USD
        1530782.23000000
        0.228998562525
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          1.31157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        RAST 2003-A4 B1
        45660NPT6
        
          
        
        1175086.84000000
        PA
        USD
        901219.93000000
        0.134818698861
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-05-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        ARMT 2007-1 5A1
        007037AE4
        
          
        
        2110336.96000000
        PA
        USD
        2364852.67000000
        0.353771981018
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.75656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-2 2A3
        12669GPT2
        
          
        
        354324.92000000
        PA
        USD
        328907.92000000
        0.049203237016
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.13657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2004-3 B1
        07324SBB7
        
          
        
        84792.77000000
        PA
        USD
        84921.20000000
        0.012703853197
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-01-25
          Floating
          2.85657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Bank Home
        N/A
        PBHET 1999-3 A3
        743844CW0
        
          
        
        609741.14000000
        PA
        USD
        561224.04000000
        0.083956748318
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-01-25
          Floating
          0.96685900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        CU46ESEFJB81SUVBJO28
        GSAMP 2006-NC1 M2
        362334EE0
        
          
        
        1664977.35000000
        PA
        USD
        2012408.51000000
        0.301047821808
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-02-25
          Floating
          1.02656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-3A M3
        07324SCF7
        
          
        
        402444.40000000
        PA
        USD
        367707.41000000
        0.055007477007
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2035-11-25
          Floating
          1.22157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Mtg Ac
        N/A
        RAMC 2002-3 B
        75970NAD9
        
          
        
        353649.32000000
        PA
        USD
        328457.75000000
        0.049135893483
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-12-25
          Floating
          5.70656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Bank Home
        N/A
        PBHET 1998-4 A9
        743844CD2
        
          
        
        300000.00000000
        PA
        USD
        282732.06000000
        0.042295523197
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-01-25
          Floating
          3.95656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust 2005-1
        N/A
        NCHET 2003-2 M2
        64352VCS8
        
          
        
        1135407.64000000
        PA
        USD
        1040563.86000000
        0.155663962832
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-01-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx Mtg
        N/A
        INDX 2006-AR21 A1
        45660HAA6
        
          
        
        255211.46000000
        PA
        USD
        251062.84000000
        0.037557941513
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          0.69657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAAC 2006-SP1 M2
        76112B3G3
        
          
        
        199810.82000000
        PA
        USD
        187524.17000000
        0.028052824580
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-09-25
          Floating
          1.28157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Mortgage Funding Trust
        N/A
        NMFT 2006-MTA1 2A1A
        66988UAB6
        
          
        
        336874.16000000
        PA
        USD
        330464.19000000
        0.049436048441
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-09-25
          Floating
          0.47880000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Argent Sec Tr 2006
        N/A
        ARSI 2006-M2 A2C
        04013BAC6
        
          
        
        297968.46980000
        PA
        USD
        120398.33000000
        0.018011082151
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-09-25
          Floating
          0.60657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mtg Invest
        N/A
        OAK 2002-A M1
        67087TDH1
        
          
        
        1900132.24000000
        PA
        USD
        1793878.56000000
        0.268356663367
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-03-15
          Floating
          7.76000200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Pl Secs Inc
        N/A
        PPSI 2005-WCW1 M5
        70069FKJ5
        
          
        
        3010830.00000000
        PA
        USD
        3016633.98000000
        0.451275714825
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          1.44657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voyager Cwabs
        N/A
        VCWHE 2009-1 5AX4
        92910EAA3
        
          
        
        63307.68000000
        PA
        USD
        57757.48000000
        0.008640275302
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-02-16
          Floating
          40.71097800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2003-HE1 M5
        07384YPF7
        
          
        
        73148.26000000
        PA
        USD
        80289.48000000
        0.012010967429
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          3.83157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dsla Mortgage Loan Trust
        N/A
        DSLA 2004-AR3 B3
        23332UBN3
        
          
        
        309260.71000000
        PA
        USD
        170068.31000000
        0.025441501578
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2044-07-19
          Floating
          2.32357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwasb A/Bkd 06-12
        N/A
        CWL 2006-12 1A
        12667AAA4
        
          
        
        407549.27000000
        PA
        USD
        381231.37000000
        0.057030604359
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-25
          Floating
          0.71656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10
        549300P1YQ48837ZOI22
        MSBAM 2013-C10 C
        61762MCB5
        
          
        
        100000.00000000
        PA
        USD
        88965.79000000
        0.013308906795
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-07-15
          Floating
          4.07486900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2004-HE1 M6
        07384YQC3
        
          
        
        112358.14000000
        PA
        USD
        115525.38000000
        0.017282109392
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          6.06321400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Ln
        N/A
        GSR 2006-AR2 2A1
        36297TAB8
        
          
        
        115107.57000000
        PA
        USD
        91261.91000000
        0.013652396659
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Floating
          2.65784800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        AMSI 2004-R3 M4
        03072SQF5
        
          
        
        1322847.37000000
        PA
        USD
        1262616.41000000
        0.188882087369
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          3.21657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wash Mutual A/Bkd
        N/A
        WMABS 2006-HE5 2A1
        93934XAB9
        
          
        
        2049608.00000000
        PA
        USD
        1021171.07000000
        0.152762883276
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-10-25
          Floating
          0.51657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Commercial Mortgage Finance Corp
        N/A
        JPMCC 2013-LC11 D
        46639YAX5
        
          
        
        1821000.00000000
        PA
        USD
        1511820.60000000
        0.226161982685
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-04-15
          Floating
          4.16490800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accredited Mortgage Loan Trust
        N/A
        ACCR 2005-3 M6
        004375DZ1
        
          
        
        562272.00000000
        PA
        USD
        453496.55000000
        0.067841170367
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          1.50657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centex Home Loan Equity Trust
        N/A
        CXHE 2004-D MV3
        152314LS7
        
          
        
        42090.40000000
        PA
        USD
        44431.43000000
        0.006646754451
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          1.95657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE5 M6
        073879CH9
        
          
        
        51738.59000000
        PA
        USD
        51959.10000000
        0.007772862120
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mut Pas
        N/A
        WMALT 2007-OA1 1A
        93935NAA2
        
          
        
        399844.36000000
        PA
        USD
        373124.08000000
        0.055817787983
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-12-25
          Floating
          0.85113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2007-12N 1A3A
        52524YAC7
        
          
        
        777725.22000000
        PA
        USD
        786885.11000000
        0.117714692221
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-07-25
          Floating
          0.65657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset M
        N/A
        SAMI 2006-AR3 11A1
        86360KAA6
        
          
        
        260882.40000000
        PA
        USD
        244983.73000000
        0.036648532307
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Floating
          0.87657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Corp
        5493009YQSUTUX056896
        ABFC 2004-OPT4 M3
        04542BHF2
        
          
        
        481733.43000000
        PA
        USD
        471196.86000000
        0.070489062057
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dsla Mortgage Loan Trust
        N/A
        DSLA 2004-AR3 B2
        23332UBM5
        
          
        
        14923.14000000
        PA
        USD
        13713.46000000
        0.002051475752
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          2.09857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac Secured Assets Corp
        N/A
        IMSA 2004-4 M5
        45254TQW7
        
          
        
        4221392.31000000
        PA
        USD
        4081440.07000000
        0.610566212977
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          2.10656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Home Loan Mortgage Corporation
        S6XOOCT0IEG5ABCC6L87
        FHR 4238 NS
        3137B4EB8
        
          
        
        841604.10000000
        PA
        USD
        110260.99000000
        0.016494578861
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2042-02-15
          Floating
          6.30343100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2005-3 1A1
        07386HRU7
        
          
        
        1424279.45000000
        PA
        USD
        1301147.22000000
        0.194646133966
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          2.77094500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        1V8Y6QCX6YMJ2OELII46
        HEAT 2004-3 B1
        437084CH7
        
          
        
        291770.67000000
        PA
        USD
        642093.44000000
        0.096054469333
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          3.05656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-3 M5
        1266714X1
        
          
        
        47507.61000000
        PA
        USD
        47122.39000000
        0.007049310712
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          2.40657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenpoint Mtg Fdg
        N/A
        GPMF 2006-AR3 3A1
        39538WHC5
        
          
        
        19041.45000000
        PA
        USD
        20423.93000000
        0.003055333749
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-04-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Finance Home Equity Ln Tst
        N/A
        CNFHE 2002-B B1
        20847TBU4
        
          
        
        612209.98000000
        PA
        USD
        622088.48000000
        0.093061811727
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-05-15
          Floating
          5.64657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Loan Trust
        N/A
        SVHE 2007-OPT2 2A3
        83613DAD8
        
          
        
        281212.45000000
        PA
        USD
        264880.50000000
        0.039625005145
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-07-25
          Floating
          0.63657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A
        N/A
        INABS 2007-A 1A
        43710BAA4
        
          
        
        1063704.77000000
        PA
        USD
        889777.98000000
        0.133107031420
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.67657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        SAST 2007-4 M1
        80557CAC6
        
          
        
        4500000.00000000
        PA
        USD
        3376034.10000000
        0.505040456301
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-12-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp
        N/A
        CSFB 2005-1 1A4
        225458AD0
        
          
        
        610319.55000000
        PA
        USD
        593511.72000000
        0.088786849009
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS Mortgage Funding Trust 2006-AR1
        N/A
        BSMF 2006-AR1 2A2
        07401LAR4
        
          
        
        1692317.05000000
        PA
        USD
        2254351.79000000
        0.337241515625
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          0.97656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rasc Ser 2005-Ks12
        N/A
        RASC 2005-KS12 M5
        753910AH1
        
          
        
        1199976.06000000
        PA
        USD
        1343875.51000000
        0.201038105860
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          1.46157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust
        N/A
        FFML 2006-FF11 M1
        32028PAG0
        
          
        
        4243513.36000000
        PA
        USD
        4677854.78000000
        0.699787337042
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-08-25
          Floating
          0.83157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ramp Ser 2006-Rz2
        N/A
        RAMP 2006-RZ2 M2
        75156UAE7
        
          
        
        2380432.25000000
        PA
        USD
        2991615.37000000
        0.447533036334
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          0.96657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables Llc Trust
        N/A
        SABR 2004-NC3 M2
        81375WCK0
        
          
        
        141886.10000000
        PA
        USD
        164454.80000000
        0.024601744168
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          2.13657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular Abs Inc
        N/A
        POPLR 2006-C M2
        73316MAF4
        
          
        
        2263391.79000000
        PA
        USD
        2917108.45000000
        0.436387115482
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-07-25
          Floating
          0.88656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
        549300RLSHIMYD3FZB52
        MSAC 2005-NC2 M6
        61744CPM2
        
          
        
        1887631.40000000
        PA
        USD
        1642285.19000000
        0.245678934858
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          1.49157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        N/A
        MSBAM 2013-C7 D
        61690KAL6
        
          
        
        2667000.00000000
        PA
        USD
        2120177.26000000
        0.317169572081
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2046-02-15
          Floating
          4.21254000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mellon Residential
        N/A
        MRFC 1999-TBC3 A2
        585525DF2
        
          
        
        749351.26000000
        PA
        USD
        752842.94000000
        0.112622127229
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-10-20
          Floating
          2.60999600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bcap Llc Tr 07-Aa1
        N/A
        BCAP 2009-RR4 1A2
        05531RAB3
        
          
        
        1715545.46000000
        PA
        USD
        630090.68000000
        0.094258907082
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-06-26
          Floating
          6.50000200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Financial Secs Corp
        N/A
        CNF 2002-1 B1
        20846QJU3
        
          
        
        1011484.09000000
        PA
        USD
        50893.43000000
        0.007613442384
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-12-01
          Floating
          9.78765500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CBASS 2004-CB3 B3
        17307GEU8
        
          
        
        145075.46000000
        PA
        USD
        200256.42000000
        0.029957515456
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          3.76223000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        QUEST 2004-X2 M3
        03072SSY2
        
          
        
        1378102.05000000
        PA
        USD
        1336769.88000000
        0.199975133593
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-06-25
          Floating
          3.68156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac Secured Assets Corp
        N/A
        IMSA 2002-2 M1
        45254TLL6
        
          
        
        237214.46000000
        PA
        USD
        170365.24000000
        0.025485921053
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Green Tree Financial Corporation
        N/A
        GT 1997-2 M1
        393505SV5
        
          
        
        186409.67000000
        PA
        USD
        192418.70000000
        0.028785025615
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2028-06-15
          Floating
          7.53999800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevy Chase Funding Llc
        N/A
        CCMFC 2004-4A B1
        16678RCE5
        
          
        
        637000.67000000
        PA
        USD
        485085.76000000
        0.072566782893
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-10-25
          Floating
          0.65916000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust 2016-C1
        N/A
        JPMBB 2016-C1 E
        46645LAJ6
        
          
        
        3138000.00000000
        PA
        USD
        2615938.79000000
        0.391333405121
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-03-15
          Floating
          4.73254200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Terwin Mtg Tst
        N/A
        TMTS 2004-7HE M1
        881561FY5
        
          
        
        185775.77000000
        PA
        USD
        183399.33000000
        0.027435765920
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2034-07-25
          Floating
          1.73157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2003-AC6 M2
        07384YNK8
        
          
        
        51789.85000000
        PA
        USD
        19797.64000000
        0.002961643408
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-11-25
          Floating
          3.10657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Arm Trust
        N/A
        BSARM 2004-7 1A1
        07384MX98
        
          
        
        88926.51000000
        PA
        USD
        75562.81000000
        0.011303877541
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          2.62500100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spclty Undrw & Res
        N/A
        SURF 2004-BC1 B1
        84751PCC1
        
          
        
        690393.12000000
        PA
        USD
        678404.86000000
        0.101486504550
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          3.00656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding Trust
        N/A
        BSMF 2007-AR1 1A2
        07401MAB7
        
          
        
        2874716.63000000
        PA
        USD
        3487667.16000000
        0.521740291045
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-01-25
          Floating
          0.66656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal National Mortgage Association
        B1V7KEBTPIMZEU4LTD58
        FNW 2003-W1 M
        31392GWD3
        
          
        
        148213.89000000
        PA
        USD
        121970.71000000
        0.018246303564
        Long
        ABS-O
        USGSE
        US
        
        N
        
        2
        
          2042-12-25
          Floating
          2.80805000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Nlc Trust
        N/A
        FNLC 2005-1 M2
        32113JAC9
        
          
        
        4437905.82000000
        PA
        USD
        4112004.21000000
        0.615138479357
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          1.10157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-4A M4
        07324SCW0
        
          
        
        171028.13000000
        PA
        USD
        158028.40000000
        0.023640381844
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-01-25
          Floating
          1.37157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altern Ln 07-Hy5r
        549300NHEJTDVQUV3M53
        CWALT 2006-22R 2A2
        02147LAM5
        
          
        
        168490.81000000
        PA
        USD
        123821.47000000
        0.018523169451
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenpoint Mtg Fdg
        N/A
        GPMF 2006-AR6 A4
        39538BAG9
        
          
        
        1560659.49000000
        PA
        USD
        1356696.59000000
        0.202956085329
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-10-25
          Floating
          1.13657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Green Tree Financial Corporation
        N/A
        GT 1998-4 M1
        393505F64
        
          
        
        3322930.13000000
        PA
        USD
        3136610.45000000
        0.469223688501
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2030-04-01
          Floating
          6.82999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-3A M4
        07324SCG5
        
          
        
        48606.64000000
        PA
        USD
        44487.45000000
        0.006655134806
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2035-11-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RALI Series Trust
        N/A
        RALI 2007-QH5 AI2
        75116EAB8
        
          
        
        934731.83000000
        PA
        USD
        120430.01000000
        0.018015821345
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-06-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mtg Loan Trust
        N/A
        GSR 2006-4F 4A1
        362650AN3
        
          
        
        2206175.21000000
        PA
        USD
        220948.89000000
        0.033053021657
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-25
          Floating
          0.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        MABS 2004-FRE1 M6
        57643LDZ6
        
          
        
        109316.06000000
        PA
        USD
        106979.56000000
        0.016003690779
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          2.55656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-J3 2A1
        021469AJ0
        
          
        
        294587.89000000
        PA
        USD
        257226.25000000
        0.038479961642
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2022-12-25
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        MABS 2004-HE1 M8
        57643LER3
        
          
        
        113789.04000000
        PA
        USD
        110295.82000000
        0.016499789282
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          4.20657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-FR3 M4
        073879KT4
        
          
        
        542598.06000000
        PA
        USD
        538302.80000000
        0.080527827530
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Asset Trust
        N/A
        AHMA 2006-1 1A2
        02660WAB2
        
          
        
        562559.34000000
        PA
        USD
        526968.18000000
        0.078832216204
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-05-25
          Floating
          0.64657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-AHL3 A1
        17312GAS0
        
          
        
        252285.84000000
        PA
        USD
        228462.08000000
        0.034176963180
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-05-25
          Floating
          0.62656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        OOMLT 2004-2 M4
        68389FFK5
        
          
        
        593107.32000000
        PA
        USD
        598146.42000000
        0.089480180573
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2007-15 IO
        38373MYV6
        
          
        
        3197055.17000000
        PA
        USD
        46412.29000000
        0.006943082748
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2047-03-16
          Floating
          1.59036100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities Inc Mortgage Loan Trust
        529900RSBMUF46QF5O69
        DMSI 2004-1 3M1
        251563CD2
        
          
        
        2295501.73000000
        PA
        USD
        2155796.12000000
        0.322498003245
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-12-25
          Floating
          5.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2004-FF5 M6
        32027NKA8
        
          
        
        429595.43000000
        PA
        USD
        424844.71000000
        0.063554975998
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          2.85657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-2A M5
        07324SBU5
        
          
        
        112490.97000000
        PA
        USD
        106603.43000000
        0.015947423318
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-08-25
          Floating
          1.38656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        MABS 2005-NC1 M5
        57643LGK6
        
          
        
        85495.35000000
        PA
        USD
        87198.84000000
        0.013044578531
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          1.65656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Origen Mfd Housing
        N/A
        ORGN 2001-A M1
        68619AAG2
        
          
        
        207737.67000000
        PA
        USD
        200420.67000000
        0.029982086563
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-03-15
          Fixed
          7.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Bank Of America Merrill Lynch Trust
        N/A
        MSBAM 2016-C31 D
        61766RAJ5
        
          
        
        4566000.00000000
        PA
        USD
        3565668.39000000
        0.533408945930
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-11-15
          Floating
          2.99999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE8 M4
        073879HH4
        
          
        
        618957.97000000
        PA
        USD
        628088.47000000
        0.093959384914
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-OA14 X2
        02146SAK5
        
          
        
        15342529.48000000
        PA
        USD
        476221.38000000
        0.071240709048
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-11-25
          Floating
          1.96714400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST
        N/A
        WFCM 2020-SDAL E
        95002GAJ1
        
          
        
        3400000.00000000
        PA
        USD
        3229360.80000000
        0.483098749504
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2037-02-15
          Floating
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx Ar29
        N/A
        INDX 2006-AR29 A2
        45662DAB1
        
          
        
        595512.21000000
        PA
        USD
        605454.46000000
        0.090573432521
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          0.61656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-OA10 XAD
        02146QAJ2
        
          
        
        6059938.40000000
        PA
        USD
        171193.26000000
        0.025609789351
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-08-25
          Floating
          2.01742900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A
        N/A
        INABS 2006-E 2A2
        43709XAD3
        
          
        
        177340.47000000
        PA
        USD
        136345.67000000
        0.020396736926
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-04-25
          Floating
          0.57656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Secs Mtg Ln Tr
        N/A
        DBALT 2006-AR5 23A
        25150NAV6
        
          
        
        692125.27000000
        PA
        USD
        614438.02000000
        0.091917335192
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2022-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        LBMLT 2004-5 M5
        542514HH0
        
          
        
        70705.69900000
        PA
        USD
        72945.61000000
        0.010912355464
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          2.40657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2005-FF9 M1
        32027NVZ1
        
          
        
        5145950.20000000
        PA
        USD
        5961464.95000000
        0.891810002325
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          1.26657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFC Mortgage Loan
        N/A
        AFC 1999-2 1A
        00105HDZ6
        
          
        
        691799.06000000
        PA
        USD
        517689.49000000
        0.077444163331
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-06-25
          Floating
          1.26657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Salomon Brothers Mtg Secs VII Inc
        N/A
        SBM7 2002-WMC1 M1
        79549AKF5
        
          
        
        415010.53000000
        PA
        USD
        419507.34000000
        0.062756527967
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-01-25
          Floating
          1.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx Ar29
        N/A
        INDX 2006-AR29 A3
        45662DAC9
        
          
        
        729668.29000000
        PA
        USD
        746728.96000000
        0.111707501619
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-11-25
          Floating
          0.79656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2007-1 M2
        07325MAD6
        
          
        
        354264.43000000
        PA
        USD
        330111.18000000
        0.049383239635
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-03-25
          Floating
          0.74657200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accredited Mortgage Loan Trust
        N/A
        ACCR 2005-4 M3
        004375EM9
        
          
        
        114000.00000000
        PA
        USD
        96273.56000000
        0.014402118353
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        OOMLT 2004-1 M4
        68389FEV2
        
          
        
        298286.20000000
        PA
        USD
        288398.61000000
        0.043143215168
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          2.93157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Loan Trust
        N/A
        SVHE 2007-OPT4 1A1
        83613AAA0
        
          
        
        1144665.91000000
        PA
        USD
        939746.10000000
        0.140582051334
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-09-25
          Floating
          1.45657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MortgageIT Trust
        N/A
        MHL 2005-2 2M2
        61915RAG1
        
          
        
        37675.83000000
        PA
        USD
        36215.84000000
        0.005417736852
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-05-25
          Floating
          1.88057200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE8 M3
        073879HG6
        
          
        
        587352.92000000
        PA
        USD
        580355.55000000
        0.086818741489
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          2.55656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans Inc
        N/A
        RALI 2005-QS7 CB
        761118AH1
        
          
        
        237840.47000000
        PA
        USD
        231038.49000000
        0.034562383245
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-06-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-SP2 M5
        07325KAF5
        
          
        
        480405.01000000
        PA
        USD
        448600.23000000
        0.067108701554
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-01-25
          Floating
          1.19157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2005-2 2B
        45254NNN3
        
          
        
        76692.31000000
        PA
        USD
        74659.00000000
        0.011168671378
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          2.93157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mtg Trust
        N/A
        SEMT 2007-1 2A1
        81744HAD5
        
          
        
        245298.56000000
        PA
        USD
        215459.44000000
        0.032231823100
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-02-20
          Floating
          2.50645300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-4A M1
        07325BAD0
        
          
        
        1006191.12000000
        PA
        USD
        935336.15000000
        0.139922341421
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-12-25
          Floating
          0.89156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac ABS, Inc.
        N/A
        INHEL 2004-B M6
        456606FF4
        
          
        
        262272.40000000
        PA
        USD
        261031.30000000
        0.039049181067
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-SP2 B1
        07325KAH1
        
          
        
        1058469.73000000
        PA
        USD
        1761867.74000000
        0.263567979764
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2037-01-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        BSABS 2004-SD1 M3
        07384YSH0
        
          
        
        35246.06000000
        PA
        USD
        9820.37000000
        0.001469085915
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2042-12-25
          Floating
          5.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mtg Trust
        N/A
        HMBT 2005-1 B2
        43739EAY3
        
          
        
        61120.66000000
        PA
        USD
        50995.70000000
        0.007628741545
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-03-25
          Floating
          2.15844100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2003-HE1 M2
        5899294X3
        
          
        
        1088197.45000000
        PA
        USD
        1087853.69000000
        0.162738321863
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-07-25
          Floating
          2.93157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        CGCMT 2015-GC27 XH
        17323CBC0
        
          
        
        40297860.62000000
        PA
        USD
        1292553.88000000
        0.193360606561
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-02-10
          Floating
          1.42223800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corp.
        N/A
        ARC 2001-BC6 M2
        86358RNB9
        
          
        
        239850.27000000
        PA
        USD
        248465.02000000
        0.037169318602
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2031-10-25
          Floating
          2.48157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-11 3A3
        12669GUP4
        
          
        
        50473.08000000
        PA
        USD
        40987.74000000
        0.006131592957
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          2.53149800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHL Mortgage Pass-Through Trust
        N/A
        CWHL 2007-HYB2 3A1
        125438AB7
        
          
        
        87297.82000000
        PA
        USD
        84420.77000000
        0.012628990981
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-02-25
          Floating
          2.67429200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2005-6 B1
        41161PPD9
        
          
        
        1511151.20000000
        PA
        USD
        1307429.73000000
        0.195585970953
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-07-19
          Floating
          1.13649800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2007-7 2A1B
        411640AC9
        
          
        
        5225829.57000000
        PA
        USD
        4828983.21000000
        0.722395512489
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-10-25
          Floating
          1.45657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mut Mtg
        N/A
        WAMU 2006-AR4 2A1A
        93934FPT3
        
          
        
        572286.97000000
        PA
        USD
        554049.10000000
        0.082883407569
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-05-25
          Floating
          1.71799900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GNR 2019-111 SK
        38381YLR3
        
          
        
        12932109.62000000
        PA
        USD
        787474.95000000
        0.117802929796
        Long
        ABS-O
        USGA
        US
        
        N
        
        2
        
          2049-09-20
          Floating
          2.98143000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2003-6 B1
        07386HEM9
        
          
        
        306843.50000000
        PA
        USD
        173668.63000000
        0.025980094259
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-01-25
          Floating
          2.84168900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alternative A Trust
        N/A
        BALTA 2005-7 25A1
        07386HVW8
        
          
        
        242729.10000000
        PA
        USD
        123202.18000000
        0.018430526280
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-25
          Floating
          2.86779600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dsla Mortgage Loan Trust
        N/A
        DSLA 2007-AR1 2A1B
        23333YAD7
        
          
        
        3210279.31000000
        PA
        USD
        3858947.38000000
        0.577282245353
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-04-19
          Floating
          0.62857100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Struct Asset Mort
        N/A
        SAMI 2007-AR6 X2
        86364RAD1
        
          
        
        37228183.39000000
        PA
        USD
        804028.25000000
        0.120279233630
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-08-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Products, Inc.
        N/A
        RAMP 2006-RS1 M1
        76112BU32
        
          
        
        872533.06000000
        PA
        USD
        764823.30000000
        0.114414338534
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          1.07156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-65CB 1A5
        12668AX75
        
          
        
        492775.66000000
        PA
        USD
        343683.38000000
        0.051413583487
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Floating
          1.20656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Global Mortgage Securitization Ltd.
        N/A
        GMSL 2005-A B1
        378961AU0
        
          
        
        1575713.74000000
        PA
        USD
        1472844.21000000
        0.220331279201
        Long
        ABS-O
        CORP
        KY
        
        Y
        
        2
        
          2032-04-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2006-12 2A13
        41162DAD1
        
          
        
        1614706.17000000
        PA
        USD
        1646339.23000000
        0.246285402136
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-12-19
          Floating
          0.68856800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSAMP 2004-WF B1
        36242DKN2
        
          
        
        89597.03000000
        PA
        USD
        89931.76000000
        0.013453411832
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-10-25
          Floating
          2.93157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI Asset Sec 2007
        N/A
        HASC 2007-WF1 M2
        40431RAG0
        
          
        
        4943863.97000000
        PA
        USD
        6233543.07000000
        0.932511741053
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          0.72657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centex Home Loan Equity Trust
        N/A
        CXHE 2004-B M5
        152314JZ4
        
          
        
        710705.59000000
        PA
        USD
        680143.76000000
        0.101746636653
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          2.03157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493004YMVUQ9Z7JGZ50
        SRPT 2014-STAR A
        85571XAA5
        
          
        
        5176235.02000000
        PA
        USD
        3707294.06000000
        0.554595548577
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2027-11-15
          Floating
          1.86700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cwalt Incorporation
        N/A
        CWALT 2005-65CB 2A4
        12668AZ40
        
          
        
        693928.20000000
        PA
        USD
        600929.82000000
        0.089896565469
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative loan Trust
        N/A
        CWALT 2006-OA17 2X
        12668PAN2
        
          
        
        5838430.00000000
        PA
        USD
        364020.86000000
        0.054455984682
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-12-20
          Floating
          1.63789900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust 2016-GS4
        N/A
        GSMS 2016-GS4 D
        36251XAA5
        
          
        
        3000000.00000000
        PA
        USD
        2442345.60000000
        0.365364596367
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-11-10
          Fixed
          3.23300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS Mortgage Funding Trust 2006-AR1
        N/A
        BSMF 2006-AR5 1A1
        07401NAA7
        
          
        
        367540.62000000
        PA
        USD
        357156.75000000
        0.053429142789
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-12-25
          Floating
          0.61656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2005-3A M1
        07324SCD2
        
          
        
        632420.62000000
        PA
        USD
        580702.53000000
        0.086870648233
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2035-11-25
          Floating
          1.11656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alternative Loan Trust
        N/A
        CWALT 2006-OA7 2A1
        02146BAF3
        
          
        
        2354225.64000000
        PA
        USD
        2086708.39000000
        0.312162770350
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-06-25
          Floating
          1.08113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2004-HYB2 1A
        17307GEB0
        
          
        
        48434.81000000
        PA
        USD
        48805.54000000
        0.007301102850
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Floating
          2.42301200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        BAFC 2005-F 1A1
        05946XYP2
        
          
        
        75794.29000000
        PA
        USD
        59700.73000000
        0.008930977302
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-20
          Floating
          1.06857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Strn 2007-Ar3
        N/A
        BSMF 2007-AR3 1A1
        07401VAA9
        
          
        
        175679.79000000
        PA
        USD
        166260.86000000
        0.024871923124
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-03-25
          Floating
          0.59657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        CMLTI 2007-10 22AA
        17313QAL2
        
          
        
        79554.92000000
        PA
        USD
        75340.50000000
        0.011270620903
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-09-25
          Floating
          3.13966800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2004-AR13 B1
        45660N7R0
        
          
        
        989813.95000000
        PA
        USD
        848466.64000000
        0.126927029268
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-01-25
          Floating
          2.71240600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        RAST 2005-A11 1AX
        45660LB24
        
          
        
        16942584.92000000
        PA
        USD
        135774.49000000
        0.020311290808
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-10-25
          Floating
          0.34392200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Indx Mtg
        N/A
        INDX 2006-AR6 2A1A
        456612AC4
        
          
        
        87674.49000000
        PA
        USD
        80312.76000000
        0.012014450019
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-06-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust 2007-SEA1
        N/A
        GSAMP 2007-SEA1 M1
        3622MLAB3
        
          
        
        2000000.00000000
        PA
        USD
        1873934.40000000
        0.280332679238
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-12-25
          Floating
          5.50000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Imja Mtg
        N/A
        IMJA 2007-A3 A1
        456669AA8
        
          
        
        1555205.01000000
        PA
        USD
        901389.05000000
        0.134843998500
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-11-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Xs Trust
        N/A
        LXS 2007-7N 1A2
        52524GAC6
        
          
        
        971526.83000000
        PA
        USD
        986555.57000000
        0.147584550535
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-06-25
          Floating
          0.93656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        MABS 2004-OPT2 M8
        57643LFD3
        
          
        
        859918.85000000
        PA
        USD
        796806.91000000
        0.119198951636
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Coml Trust
        N/A
        BAYC 2006-SP1 B2
        07324MAJ4
        
          
        
        4000000.00000000
        PA
        USD
        3542940.00000000
        0.530008874687
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-04-25
          Floating
          3.83157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equifirst Mtg Ln T
        N/A
        EMLT 2004-3 M9
        29445FCF3
        
          
        
        439548.26000000
        PA
        USD
        420236.22000000
        0.062865565339
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          4.35656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Fdg 06-D
        54930023UHZHF7UJ8596
        BAFC 2006-D 1A2
        058933AB8
        
          
        
        1528817.46000000
        PA
        USD
        602695.46000000
        0.090160697763
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-05-20
          Floating
          1.00856900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2005-6 A1B
        41161PQR7
        
          
        
        135568.22000000
        PA
        USD
        124220.12000000
        0.018582805809
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-07-19
          Floating
          1.07150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac Imja Mtg
        N/A
        IMJA 2007-A1 A4
        456652AD8
        
          
        
        1548440.68000000
        PA
        USD
        801371.16000000
        0.119881744178
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adj Rate Mtg Loan Trust
        N/A
        SARM 2005-10 M1
        863579SM1
        
          
        
        4016815.25000000
        PA
        USD
        4071229.04000000
        0.609038685974
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-06-25
          Floating
          1.13157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Arm Trust
        N/A
        BSARM 2005-12 23A1
        07387AGE9
        
          
        
        365151.25000000
        PA
        USD
        358838.70000000
        0.053680755412
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-02-25
          Floating
          3.27273800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        549300430UQIJMFG3R47
        CWHL 2004-29 2X
        12669GJD4
        
          
        
        6294014.79000000
        PA
        USD
        177225.61000000
        0.026512203458
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          2.07602600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments II Trust
        N/A
        SAMI 2005-AR2 1A1
        86359LHX0
        
          
        
        1954456.93000000
        PA
        USD
        1650217.37000000
        0.246865555517
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-05-25
          Floating
          0.91657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300FWFHJGIW2B2U59
        WFCM 2016-C34 XFG
        95000DAC5
        
          
        
        15153000.00000000
        PA
        USD
        1031149.53000000
        0.154255618788
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2049-06-15
          Floating
          2.05227700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Commercial Mortgage Finance Corp
        N/A
        JPMCC 2006-LDP9 AMS
        46629PAQ1
        
          
        
        3378651.03000000
        PA
        USD
        3227314.16000000
        0.482792580796
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2047-05-15
          Fixed
          5.33700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-5 M1
        1266716K7
        
          
        
        36230.90000000
        PA
        USD
        36021.48000000
        0.005388661416
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          1.31157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centex Home Loan Equity Trust
        N/A
        CXHE 2001-B A5
        152314DP2
        
          
        
        310884.53000000
        PA
        USD
        280240.58000000
        0.041922808302
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-07-25
          Floating
          6.82999900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance America Mt
        N/A
        FINA 2004-1 M6
        317350AV8
        
          
        
        451551.58000000
        PA
        USD
        429562.33000000
        0.064260712044
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          2.63157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-FR3 M5
        073879KU1
        
          
        
        912694.63000000
        PA
        USD
        888406.73000000
        0.132901898206
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-09-25
          Floating
          3.30657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-1A M1
        07324SDG4
        
          
        
        24013.58000000
        PA
        USD
        22439.02000000
        0.003356782711
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-04-25
          Floating
          1.02656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        CBASS 2004-CB8 M1
        59020UPR0
        
          
        
        36780.45000000
        PA
        USD
        36537.60000000
        0.005465870790
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-12-25
          Floating
          1.25156900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Inc.
        N/A
        CWL 2004-SD4 M3
        126673SG8
        
          
        
        1133380.39000000
        PA
        USD
        1211616.96000000
        0.181252784840
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          4.65657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE10 M5
        073879MV7
        
          
        
        306462.61000000
        PA
        USD
        313527.25000000
        0.046902353682
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-12-25
          Floating
          3.15657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mortgage Loan Trust 2005-FF4
        N/A
        FFML 2002-FF4 M1
        32027NBU4
        
          
        
        640957.84000000
        PA
        USD
        583058.39000000
        0.087223074949
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-02-25
          Floating
          2.03157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2004-25 1A2
        12669GJZ5
        
          
        
        35468.60000000
        PA
        USD
        30272.50000000
        0.004528638266
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-02-25
          Floating
          1.23657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        IMM 2005-2 1M1
        45254NNB9
        
          
        
        306264.62000000
        PA
        USD
        298620.99000000
        0.044672440083
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          1.10157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2003-BC11 B
        86358EES1
        
          
        
        28184.00000000
        PA
        USD
        34002.30000000
        0.005086600608
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Floating
          4.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Velocity Commercial Capital Loan Trust
        N/A
        VCC 2017-2 M6
        92258VAH0
        
          
        
        391608.54000000
        PA
        USD
        383075.55000000
        0.057306485906
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2047-11-25
          Floating
          7.75000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Master Asset Securitization Trust
        N/A
        MASTR 2004-1 B1
        55265K7C7
        
          
        
        444139.26000000
        PA
        USD
        397292.74000000
        0.059433317541
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Floating
          2.15844100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Mtg Sec 06-Opt2
        N/A
        SGMS 2006-OPT2 A3C
        78420MAE9
        
          
        
        142722.73000000
        PA
        USD
        136943.12000000
        0.020486112925
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-10-25
          Floating
          0.60657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Frem Mil Hse Tr 2015-R1
        B1V7KEBTPIMZEU4LTD58
        FMMHR 2015-R1 C3
        35563CAY4
        
          
        
        2649016.78000000
        PA
        USD
        2545721.02000000
        0.380829123010
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2052-11-25
          Floating
          5.93961100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Master Asset Securitization Trust
        N/A
        MASTR 2004-3 4A11
        55265K8B8
        
          
        
        58009.66000000
        PA
        USD
        23306.02000000
        0.003486482253
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-03-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust 2006-21
        N/A
        CWL 2006-21 M1
        12667LAF9
        
          
        
        232829.33000000
        PA
        USD
        227877.89000000
        0.034089570821
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-05-25
          Floating
          0.68657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities I Trust
        N/A
        BSABS 2004-HE7 M6
        073879EZ7
        
          
        
        182515.67000000
        PA
        USD
        181741.33000000
        0.027187736116
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-08-25
          Floating
          6.08157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE Cap Mtg Fndg
        N/A
        GECMS 1999-HE3 M
        36157DAG1
        
          
        
        400206.45000000
        PA
        USD
        405167.81000000
        0.060611394784
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-10-25
          Floating
          7.77499900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors, Inc.
        N/A
        MLMI 2004-HE2 B2
        59020ULD5
        
          
        
        8029.04000000
        PA
        USD
        8323.53000000
        0.001245164967
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-08-25
          Floating
          4.80656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bcap Llc Trust
        N/A
        BCAP 2008-RR3 A1B
        05531VAK4
        
          
        
        575442.09000000
        PA
        USD
        268935.10000000
        0.040231556197
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-10-25
          Floating
          6.66815000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Coml Mtg Tr 2015-C27
        5493001SKB2HKIF64L70
        WFCM 2015-C27 D
        94989DAG4
        
          
        
        1631000.00000000
        PA
        USD
        1285940.91000000
        0.192371334153
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2048-02-15
          Fixed
          3.76800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc Amer Alternative Loan Trust
        N/A
        BOAA 2006-6 CBIO
        059487AN8
        
          
        
        1791469.83000000
        PA
        USD
        228235.76000000
        0.034143106663
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWMBS Inc
        N/A
        CWHL 2005-11 4A1
        12669GUR0
        
          
        
        24835.50000000
        PA
        USD
        23683.55000000
        0.003542959148
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-04-25
          Floating
          0.72657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strctrd Asset Invt
        N/A
        SAIL 2004-5 M7
        86358EJL1
        
          
        
        508600.90000000
        PA
        USD
        513793.72000000
        0.076861372577
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-05-25
          Floating
          3.45656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Fdg Mtg Ln
        N/A
        CFAB 2003-1 2A2
        161546EF9
        
          
        
        253096.52000000
        PA
        USD
        250667.60000000
        0.037498815276
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-11-25
          Floating
          1.11656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp
        CU46ESEFJB81SUVBJO28
        GSR 2004-7 1A2
        36228F5Q5
        
          
        
        16299.40000000
        PA
        USD
        16648.85000000
        0.002490597710
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-06-25
          Floating
          2.33523400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust 2006-SP2
        N/A
        BAYC 2006-2A M1
        07324YAD1
        
          
        
        163637.97000000
        PA
        USD
        154362.53000000
        0.023091983160
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2036-07-25
          Floating
          0.92157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harborview Mtg Loan Trust
        N/A
        HVMLT 2005-8 1X
        41161PQX4
        
          
        
        18166942.66000000
        PA
        USD
        23885.90000000
        0.003573229854
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2035-09-19
          Floating
          1.92658000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        CU46ESEFJB81SUVBJO28
        GSAA 2006-3 A1
        362334BQ6
        
          
        
        56199.31000000
        PA
        USD
        25273.64000000
        0.003780829902
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2036-03-25
          Floating
          0.61656800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        LMT 2007-5 10A2
        52521RCJ8
        
          
        
        4974484.83000000
        PA
        USD
        1125220.51000000
        0.168328240467
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2037-06-25
          Floating
          5.88343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust
        N/A
        WFHET 2005-1 M12
        9497ERAQ7
        
          
        
        1775414.72000000
        PA
        USD
        1844489.36000000
        0.275927825497
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2035-04-25
          Floating
          4.20657100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indymac MBS Inc
        N/A
        INDX 2004-AR9 5M2
        45660N3Y9
        
          
        
        966049.49000000
        PA
        USD
        740372.99000000
        0.110756675325
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2034-11-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-28
      Northern Lights Fund Trust
      James Colantino
      James Colantino
      Treasurer
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Form NPORT-P Northern Lights Fund For: Mar 31

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