<SEC-DOCUMENT>0001752724-22-077850.txt : 20220330
<SEC-HEADER>0001752724-22-077850.hdr.sgml : 20220330
<ACCEPTANCE-DATETIME>20220330165419
ACCESSION NUMBER:		0001752724-22-077850
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20220131
FILED AS OF DATE:		20220330
PERIOD START:           	20221031

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			FIRST TRUST MORTGAGE INCOME FUND
		CENTRAL INDEX KEY:			0001319183
		IRS NUMBER:				356758396
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21727
		FILM NUMBER:		22787271

	BUSINESS ADDRESS:	
		STREET 1:		120 EAST LIBERTY DRIVE, SUITE 400
		CITY:			WHEATON
		STATE:			IL
		ZIP:			60187
		BUSINESS PHONE:		630765-8000

	MAIL ADDRESS:	
		STREET 1:		120 EAST LIBERTY DRIVE, SUITE 400
		CITY:			WHEATON
		STATE:			IL
		ZIP:			60187

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	FIRST TRUST/FIDAC MORTGAGE INCOME FUND
		DATE OF NAME CHANGE:	20050228
</SEC-HEADER>
<DOCUMENT>
<TYPE>NPORT-P
<SEQUENCE>1
<FILENAME>primary_doc.xml
<TEXT>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Banc of America Mortgage Secur</name>
        <lei>N/A</lei>
        <title>Banc of America Mortgage 2002-L Trust</title>
        <cusip>05948JAA0</cusip>
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          <isin value="US05948JAA07"/>
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        <curCd>USD</curCd>
        <valUSD>39965.70000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>2.97426100</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38374JA30</cusip>
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          <isin value="US38374JA303"/>
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        <balance>273998.94000000</balance>
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        <curCd>USD</curCd>
        <valUSD>291307.23000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2012-7</title>
        <cusip>17319NAV1</cusip>
        <identifiers>
          <isin value="US17319NAV10"/>
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        <balance>209624.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>191278.72000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.24426000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QS6 Trust</title>
        <cusip>74922EAV1</cusip>
        <identifiers>
          <isin value="US74922EAV11"/>
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        <balance>832444.93000000</balance>
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        <curCd>USD</curCd>
        <valUSD>18819.08000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.76620000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSR Mortgage Loan Trust 2005-AR1</title>
        <cusip>36242DUQ4</cusip>
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          <isin value="US36242DUQ41"/>
          <other otherDesc="SEDOL" value="B7GZYG1"/>
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        <balance>146680.22000000</balance>
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        <curCd>USD</curCd>
        <valUSD>144721.79000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.70763900</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31393Y6N0</cusip>
        <identifiers>
          <isin value="US31393Y6N00"/>
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        <balance>325880.10000000</balance>
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        <curCd>USD</curCd>
        <valUSD>48692.97000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.99229000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16</title>
        <cusip>61763MAG5</cusip>
        <identifiers>
          <isin value="US61763MAG50"/>
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        <balance>24523717.52000000</balance>
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        <curCd>USD</curCd>
        <valUSD>398081.24000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.97668400</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31398TW80</cusip>
        <identifiers>
          <isin value="US31398TW807"/>
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        <balance>852283.28000000</balance>
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        <curCd>USD</curCd>
        <valUSD>159691.12000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2006-A2</title>
        <cusip>466247K93</cusip>
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          <isin value="US466247K935"/>
          <other otherDesc="SEDOL" value="B128ZQ9"/>
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        <balance>61235.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>62091.38000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.26932700</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2017-FHA1 Trust</title>
        <cusip>12651RAA5</cusip>
        <identifiers>
          <isin value="US12651RAA59"/>
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        <balance>313757.46000000</balance>
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        <curCd>USD</curCd>
        <valUSD>319619.08000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Structured Asset Securities Co</name>
        <lei>N/A</lei>
        <title>Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1</title>
        <cusip>86358RDU8</cusip>
        <identifiers>
          <isin value="US86358RDU86"/>
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        <balance>17820.50000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MortgageIT Trust</name>
        <lei>N/A</lei>
        <title>MortgageIT Trust 2005-2</title>
        <cusip>61915RAC0</cusip>
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          <isin value="US61915RAC07"/>
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        <balance>85978.25000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.75188000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3133TSSJ3</cusip>
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          <isin value="US3133TSSJ32"/>
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        <balance>6169.31000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38374NGD3</cusip>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2013-LC13 Mortgage Trust</title>
        <cusip>12626GAG8</cusip>
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          <isin value="US12626GAG82"/>
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      <invstOrSec>
        <name>Residential Asset Securitizati</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust 2004-A3</title>
        <cusip>45660NF75</cusip>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2015-LC21 Mortgage Trust</title>
        <cusip>12593FBE3</cusip>
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          <isin value="US12593FBE34"/>
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        <balance>16458506.26000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2048-07-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.67389800</annualizedRt>
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        <securityLending>
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        <name>Freddie Mac</name>
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        <name>Fannie Mae</name>
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        <name>Vendee Mortgage Trust</name>
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        <name>Morgan Stanley BAML Trust</name>
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        <name>Saxon Asset Securities Trust</name>
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        <name>Fannie Mae</name>
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        <name>Government National Mortgage A</name>
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        <name>Countrywide Home Loans</name>
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        <name>Fannie Mae - CAS</name>
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        <name>FHLMC Multifamily Structured P</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AECG0</cusip>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137A5AR5</cusip>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>VCAT Asset Securitization, LLC</name>
        <lei>N/A</lei>
        <title>VCAT 2021-NPL5 LLC</title>
        <cusip>91824AAB6</cusip>
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        <balance>1000000.00000000</balance>
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          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>MASTR Asset Backed Securities</name>
        <lei>N/A</lei>
        <title>Mastr Asset Backed Securities Trust 2006-HE5</title>
        <cusip>576455AC3</cusip>
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          <isin value="US576455AC39"/>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <maturityDt>2036-11-25</maturityDt>
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          <annualizedRt>0.26771000</annualizedRt>
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      <invstOrSec>
        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2020-IG2 Mortgage Trust</title>
        <cusip>08162NBB1</cusip>
        <identifiers>
          <isin value="US08162NBB10"/>
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        <balance>1000000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2048-09-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.50885800</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38375XJW5</cusip>
        <identifiers>
          <isin value="US38375XJW56"/>
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        <balance>151719.91000000</balance>
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        <curCd>USD</curCd>
        <valUSD>20049.44000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.63629000</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>31395WV87</cusip>
        <identifiers>
          <isin value="US31395WV874"/>
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        <balance>200413.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>309950.26000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>24.27169200</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FTZT7</cusip>
        <identifiers>
          <isin value="US3137FTZT73"/>
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        <balance>4000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>944060.40000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.40402000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31359KF85</cusip>
        <identifiers>
          <isin value="US31359KF852"/>
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        <balance>34627.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>37443.04000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.50000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AQE63</cusip>
        <identifiers>
          <isin value="US3136AQE630"/>
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        <balance>787917.88000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2041-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>Wachovia Mortgage Loan Trust,</name>
        <lei>N/A</lei>
        <title>Wachovia Mortgage Loan Trust LLC Series 2006-A Trust</title>
        <cusip>92977TAE2</cusip>
        <identifiers>
          <isin value="US92977TAE29"/>
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        <balance>40541.21000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2036-05-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.04108400</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AHE48</cusip>
        <identifiers>
          <isin value="US3136AHE480"/>
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        <balance>698807.27000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.14229000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31396VUF3</cusip>
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          <isin value="US31396VUF39"/>
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        <balance>205340.76000000</balance>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.64229000</annualizedRt>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust</title>
        <cusip>92922FB49</cusip>
        <identifiers>
          <isin value="US92922FB498"/>
          <other otherDesc="SEDOL" value="B04QKM5"/>
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        <balance>180901.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>178397.62000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.82771000</annualizedRt>
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      <invstOrSec>
        <name>MASTR Alternative Loans Trust</name>
        <lei>N/A</lei>
        <title>MASTR Alternative Loan Trust 2006-2</title>
        <cusip>5764342K9</cusip>
        <identifiers>
          <isin value="US5764342K98"/>
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        <balance>3557554.49000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.45771000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2015-CCRE26 Mortgage Trust</title>
        <cusip>12593QAE0</cusip>
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          <isin value="US12593QAE08"/>
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        <balance>3829000.00000000</balance>
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        <valUSD>157708.85000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2048-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.22819900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QO1 Trust</title>
        <cusip>761118RJ9</cusip>
        <identifiers>
          <isin value="US761118RJ97"/>
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        <balance>89217.37000000</balance>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Government National Mortgage Association</title>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2021-980M</title>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <debtSec>
          <maturityDt>2038-02-15</maturityDt>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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        <name>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
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        <name>Freddie Mac</name>
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        <name>New Residential Mortgage Loan</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Government National Mortgage Association</title>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Government National Mortgage Association</title>
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        <name>MASTR Asset Backed Securities</name>
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        <name>FHLMC Structured Pass Through</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
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          <couponKind>None</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Wells Fargo Commercial Mortgag</name>
        <lei>549300DT2BKPLXAJ4C66</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2015-C26</title>
        <cusip>94989CBA8</cusip>
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          <isin value="US94989CBA80"/>
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        <curCd>USD</curCd>
        <valUSD>42175.98000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2048-02-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.19923700</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2009-10</title>
        <cusip>17316AAA8</cusip>
        <identifiers>
          <isin value="US17316AAA88"/>
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        <balance>20416.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>20641.19000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.51582200</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137F62Q9</cusip>
        <identifiers>
          <isin value="US3137F62Q91"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.69277600</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>312912G28</cusip>
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          <isin value="US312912G284"/>
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        <balance>2864.14000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2933.39000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2022-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>9.56601600</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137ARQP4</cusip>
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          <isin value="US3137ARQP42"/>
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        <curCd>USD</curCd>
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        <debtSec>
          <maturityDt>2027-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      <invstOrSec>
        <name>Fanniemae-Aces</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae-Aces</title>
        <cusip>3136B7HP9</cusip>
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          <isin value="US3136B7HP90"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2029-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.70000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31398T5K3</cusip>
        <identifiers>
          <isin value="US31398T5K37"/>
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        <balance>51481.69000000</balance>
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        <curCd>USD</curCd>
        <valUSD>78820.97000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>24.49060000</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>31395ANN1</cusip>
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          <isin value="US31395ANN18"/>
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        <balance>344616.40000000</balance>
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        <curCd>USD</curCd>
        <valUSD>56092.11000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
          <maturityDt>2033-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.34371000</annualizedRt>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2004-AR1 Trust</title>
        <cusip>92922FLD8</cusip>
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          <isin value="US92922FLD86"/>
          <other otherDesc="SEDOL" value="B8D3N02"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.44043800</annualizedRt>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Gold Pool</title>
        <cusip>31302VVJ7</cusip>
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        <balance>377372.04000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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      <invstOrSec>
        <name>Hudsons Bay Simon JV Trust</name>
        <lei>N/A</lei>
        <title>Hudsons Bay Simon JV Trust 2015-HBS</title>
        <cusip>44422PAN2</cusip>
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          <isin value="US44422PAN24"/>
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        <balance>510000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2034-08-05</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Freddie Mac Multiclass Certifi</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multiclass Certificates Series 2021-P011</title>
        <cusip>3137H2NR1</cusip>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AA7M1</cusip>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376R7P5</cusip>
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        <balance>121993.16000000</balance>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>Mid-State Trust</name>
        <lei>N/A</lei>
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        <cusip>595481AA0</cusip>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FUZY3</cusip>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31359RCK6</cusip>
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        <balance>86158.93000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3540.13000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
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        <name>Government National Mortgage A</name>
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        <name>Morgan Stanley BAML Trust</name>
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        <name>Credit Suisse Mortgage Trust</name>
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        <name>Ace Securities Corp.</name>
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        <name>Fannie Mae</name>
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        <name>Fannie Mae</name>
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        <name>Freddie Mac</name>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Commercial Mortgage</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2016-GC37</title>
        <cusip>17290XAY6</cusip>
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          <isin value="US17290XAY67"/>
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        <balance>9301911.77000000</balance>
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        <curCd>USD</curCd>
        <valUSD>527842.56000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <maturityDt>2049-04-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.68784400</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38375LYK0</cusip>
        <identifiers>
          <isin value="US38375LYK06"/>
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        <balance>172516.40000000</balance>
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        <curCd>USD</curCd>
        <valUSD>18558.05000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136ATF58</cusip>
        <identifiers>
          <isin value="US3136ATF581"/>
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        <balance>168142.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49658.96000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HOUSTON GALLERIA MALL TRUST</name>
        <lei>N/A</lei>
        <title>Houston Galleria Mall Trust 2015-HGLR</title>
        <cusip>44217NAN6</cusip>
        <identifiers>
          <isin value="US44217NAN66"/>
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        <balance>1000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>971294.10000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2037-03-05</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LSTAR Commercial Mortgage Trus</name>
        <lei>N/A</lei>
        <title>LSTAR Commercial Mortgage Trust 2017-5</title>
        <cusip>54910TAS1</cusip>
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          <isin value="US54910TAS15"/>
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        <balance>1500000.00000000</balance>
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        <curCd>USD</curCd>
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          <maturityDt>2050-03-10</maturityDt>
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          <annualizedRt>4.69022700</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2006-A2</title>
        <cusip>466247K51</cusip>
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          <isin value="US466247K513"/>
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        <balance>280827.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>296183.01000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.22374900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LSTAR Commercial Mortgage Trus</name>
        <lei>N/A</lei>
        <title>LSTAR Commercial Mortgage Trust 2017-5</title>
        <cusip>54910TBA9</cusip>
        <identifiers>
          <isin value="US54910TBA97"/>
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        <balance>22109471.72000000</balance>
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        <curCd>USD</curCd>
        <valUSD>584998.93000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.85586800</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137BRYL3</cusip>
        <identifiers>
          <isin value="US3137BRYL37"/>
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        <balance>326493.11000000</balance>
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        <curCd>USD</curCd>
        <valUSD>300879.24000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38379RCY7</cusip>
        <identifiers>
          <isin value="US38379RCY71"/>
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        <balance>2722134.96000000</balance>
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        <curCd>USD</curCd>
        <valUSD>121424.64000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-01-16</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.84559000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137AMGA9</cusip>
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          <isin value="US3137AMGA95"/>
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        <balance>22525.73000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1077.45000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2027-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31396XXQ2</cusip>
        <identifiers>
          <isin value="US31396XXQ23"/>
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        <balance>36723.68000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6739.84000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.34229000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2013-LC6 Mortgage Trust</title>
        <cusip>20048EAZ4</cusip>
        <identifiers>
          <isin value="US20048EAZ43"/>
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        <balance>23037179.76000000</balance>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2046-01-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.26661400</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Fanniemae Strip</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Interest Strip</title>
        <cusip>3136FCNT9</cusip>
        <identifiers>
          <isin value="US3136FCNT93"/>
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        <balance>41915.69000000</balance>
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        <curCd>USD</curCd>
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          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust</title>
        <cusip>929227R65</cusip>
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          <isin value="US929227R651"/>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31394AR81</cusip>
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          <isin value="US31394AR814"/>
          <other otherDesc="SEDOL" value="B80ZHM1"/>
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        <balance>11259.70000000</balance>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Commercial Mortgage</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2015-GC29</title>
        <cusip>17323VBF1</cusip>
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        <balance>4329105.61000000</balance>
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        <debtSec>
          <maturityDt>2048-04-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.02174400</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38379FN62</cusip>
        <identifiers>
          <isin value="US38379FN626"/>
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        <balance>4606684.53000000</balance>
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        <curCd>USD</curCd>
        <valUSD>813056.79000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.14629000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Pretium Mortgage Credit Partne</name>
        <lei>N/A</lei>
        <title>Pretium Mortgage Credit Partners I 2021-NPL2 LLC</title>
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      <invstOrSec>
        <name>CoreVest American Finance Trus</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <name>Freddie Mac</name>
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      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
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        <name>COMM Mortgage Trust</name>
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        <name>Fannie Mae</name>
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        <name>Fannie Mae</name>
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        <name>Fannie Mae</name>
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        <name>IXIS Real Estate Capital Trust</name>
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        <name>ROC Securities Trust</name>
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        <name>GS Mortgage Securities Trust</name>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137AX5B5</cusip>
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        <valUSD>177127.70000000</valUSD>
        <pctVal>0.307974331577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136A84C1</cusip>
        <identifiers>
          <isin value="US3136A84C14"/>
        </identifiers>
        <balance>473939.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13279.27000000</valUSD>
        <pctVal>0.023088846646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38382RUQ9</cusip>
        <identifiers>
          <isin value="US38382RUQ90"/>
        </identifiers>
        <balance>3574414.04000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>536958.84000000</valUSD>
        <pctVal>0.933617609404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <maturityDt>2051-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>MBRT 2019 MBR</name>
        <lei>N/A</lei>
        <title>MBRT 2019-MBR</title>
        <cusip>55282DBE3</cusip>
        <identifiers>
          <isin value="US55282DBE31"/>
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        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>987887.10000000</valUSD>
        <pctVal>1.717652683889</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.35600000</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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    <signature>
      <ncom:dateSigned>2022-03-22</ncom:dateSigned>
      <ncom:nameOfApplicant>First Trust Mortgage Income Fund</ncom:nameOfApplicant>
      <ncom:signature>Donald P. Swade</ncom:signature>
      <ncom:signerName>Donald P. Swade</ncom:signerName>
      <ncom:title>Treasurer, Chief Financial Officer and Chief Accounting Officer</ncom:title>
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<DOCUMENT>
<TYPE>NPORT-EX
<SEQUENCE>2
<FILENAME>FT22FTMortgageIncome.htm
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<!--Document created using ArcReporting-->
<!--Copyright 2022 DFIN-->
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<DIV
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<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
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<DIV
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<DIV
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(Unaudited)</DIV>
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<DIV
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<DIV
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<TABLE
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text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
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</TD><TD
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text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
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</TD><TD
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text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
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</TD><TD
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text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
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</TD><TD
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text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
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style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">MORTGAGE-BACKED SECURITIES&#8201;&#8211; 44.6%
</TD></TR>
<TR
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</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
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text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;&#8211; 24.7%
</TD><TD
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</TD><TD
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</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">ACE Securities Corp. Home Equity Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
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text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">715,309</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
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text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-ASAP6, Class A2D, 1 Mo. LIBOR + 0.44% (a)</DIV><HR
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noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.55%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:22.5pt;">338,331</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Banc of America Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">45,608
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2002-L, Class 1A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.97%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/32
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">39,966
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Chase Mortgage Finance Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">55,382
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-A1, Class 1A3 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.32%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">56,298
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Citigroup Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">98,774
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-6, Class A1, US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.19%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">103,674
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">20,417
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2009-10, Class 1A1 (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.51%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">20,641
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">209,624
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2012-7, Class 10A2 (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.24%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">191,279
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Connecticut Avenue Securities Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-R01, Class 1B2, 30 Day Avg. SOFR + 6.00% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.05%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/25/41
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">983,559
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Countrywide Home Loan Mortgage Pass-Through Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">159,513
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-21, Class A8</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.75%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">107,788
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">269,002
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-HYB5, Class 3A1A (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.67%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">256,886
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Credit Suisse Commercial Mortgage Securities Corp. Pass-Through<BR>
Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2020-UNFI, Class A, 1 Mo. LIBOR + 3.67%, 4.17% minimum (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.17%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/15/22
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:20pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">1,002,457
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Credit Suisse Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">313,758
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-FHA1, Class A1 (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.25%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">319,619
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">DSLA Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">331,074
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-AR3, Class 2A2A, 1 Mo. LIBOR + 0.74% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.84%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/19/44
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">321,844
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">GSR Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,274
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-10, Class 1A12 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.39%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">3,305
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">146,680
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-AR1, Class 4A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.71%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">144,722
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">IXIS Real Estate Capital Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,017,104
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-HE1, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.27%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/25/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">339,118
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">JP Morgan Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">280,827
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-A2, Class 4A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.23%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">296,183
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">61,235
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-A2, Class 5A3 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.27%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">62,091
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">38,591
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-2, Class 1A1 (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/29
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">38,717
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">MASTR Alternative Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,557,555
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-2, Class 2A3, 1 Mo. LIBOR + 0.35% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.46%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">246,668
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">MASTR Asset Backed Securities Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">636,062
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.27%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">468,974
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,073,918
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.22% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.33%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">538,084
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">490,192
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-NC2, Class A5, 1 Mo. LIBOR + 0.48% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.59%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">252,458
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">MASTR Asset Securitization Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:39pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">338
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-11, Class 5A2</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.25%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/23
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:45pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">344
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">30,362
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-11, Class 6A16</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.25%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">31,144
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Meritage Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,469
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-2, Class M3, 1 Mo. LIBOR + 0.98% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.08%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/25/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">2,864
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">MortgageIT Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">85,978
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-2, Class 2A, 1 Mo. LIBOR + 1.65% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.75%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/01/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">86,545
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">New Residential Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">256,673
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-2A, Class A2 (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.75%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/01/54
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">263,850
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Pretium Mortgage Credit Partners I LLC&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-NPL2, Class A2 (c) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.84%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/27/60
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">982,682
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">PRKCM Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-AFC1, Class B2 (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.95%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/56
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">926,040
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Residential Accredit Loans, Inc.&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">89,217
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-QO1, Class 2A1, 1 Mo. LIBOR + 0.54% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.65%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/25/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">62,471
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">832,445
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-QS6, Class 1AV, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.76%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/36
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">18,819
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:25pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-top:12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Residential Asset Securitization Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:21.5pt;">22,054</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-A3, Class A7</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.25%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:27.5pt;">23,197</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Roc Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-RTL1, Class M (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.68%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/25/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">984,246
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Saxon Asset Securities Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">640,444
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-2, Class A2D, 1 Mo. LIBOR + 0.30% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.41%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/25/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">567,355
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Structured Asset Securities Corp. Mortgage Pass-Through<BR>
Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">17,821
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2001-SB1, Class A2</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.38%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">17,677
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">VCAT LLC&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-NPL5, Class A2 (c) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.84%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/25/51
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">977,229
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-NPL6, Class A2 (c) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.97%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/25/51
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">978,466
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Vendee Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">45,086,409
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2010-1, Class DI, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.28%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/40
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">379,141
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">VOLT CI LLC&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-NP10, Class A2 (c) (d)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.83%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/25/51
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">985,121
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Wachovia Mortgage Loan Trust, LLC&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">40,541
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-A, Class 3A1 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.04%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/01/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">39,736
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">WaMu Mortgage Pass-Through Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">110,681
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-AR5, Class A7 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.58%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">112,958
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">161,204
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-AR1, Class A (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.44%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">166,472
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">180,902
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-AR13, Class A1A, 1 Mo. LIBOR + 0.72% (a)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.83%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/25/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">178,398
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">25,531
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-AR3, Class A2 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.60%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">26,257
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Washington Mutual Alternative Mortgage Pass-Through Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">12,347
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">38.83%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/25/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">21,506
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">WinWater Mortgage Loan Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">264,788
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-3, Class B1 (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.88%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/45
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">264,204
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:18pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">14,229,384
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Commercial Mortgage-Backed Securities&#8201;&#8211; 19.9%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Benchmark Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2020-IG2. Class UBRD (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.51%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">990,384
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Citigroup Commercial Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,329,106
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-GC29, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.02%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">119,085
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">9,301,912
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-GC37, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.69%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">527,842
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">5,766,478
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-P4, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.90%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">391,768
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">COMM Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">518,732
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-LC13, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">6,583
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">23,037,180
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-LC6, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.27%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">140,898
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:4pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">122,774,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-UBS6, Class XB (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.04%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">220,146
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,829,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-CCRE26, Class XD (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.23%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">157,709
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">16,458,506
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-LC21, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.68%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">318,870
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Credit Suisse Mortgage Capital Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-980M, Class G (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.54%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/15/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">844,650
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">GS Mortgage Securities Corp Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2018-3PCK, Class C, 1 Mo. LIBOR + 3.25% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.36%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/15/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">975,372
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">GS Mortgage Securities Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2012-GCJ9, Class D (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.74%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">999,774
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Houston Galleria Mall Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-HGLR, Class D (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.98%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">971,294
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Hudsons Bay Simon JV Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">510,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-HBFL, Class DFL, 1 Mo. LIBOR + 3.90% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/05/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">383,177
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">JP Morgan Chase Commercial Mortgage Securities Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,215,036
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-JP4, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.59%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/49
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">71,559
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:25pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-top:12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Commercial Mortgage-Backed Securities&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">LSTAR Commercial Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:9pt;">1,500,000</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-5, Class D (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.69%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/50
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:15pt;">1,429,487</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">22,109,472
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-5, Class X (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.86%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/50
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">584,999
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">MBRT&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2019-MBR, Class H1, 1 Mo. LIBOR + 4.25% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.36%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/15/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">987,887
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Morgan Stanley Bank of America Merrill Lynch Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">500,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-C7, Class B</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.77%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">500,854
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">24,523,718
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-C16, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.98%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">398,081
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,992,153
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-C19, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.97%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">43,251
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">5,632,500
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-C19, Class XE (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.18%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">177,793
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">471,103
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-C31, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.29%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">22,427
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Morgan Stanley Capital I Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,180,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-UBS9, Class XD (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.61%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">131,258
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Wells Fargo Commercial Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,385,017
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-C26, Class XA (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.20%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/48
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:32.5pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">42,176
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:18pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">11,437,324
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:18pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">25,666,708
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $27,441,457)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;&#8211; 41.2%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;&#8211; 24.7%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,864
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 1394, Class ID, Cost of Funds 11th District of San Fransisco x -4.67 + 44.56%, Capped at 9.57% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">9.57%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/15/22
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">2,933
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:31.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">6,169
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2303, Class SW, IO, Cost of Funds 11th District of San Fransisco x -15.87 + 121.11%, Capped at 10.00% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/24
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:45pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">471
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">43,967
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2334, Class QS, 1 Mo. LIBOR x -3.5 + 28.18% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">27.80%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/15/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">59,995
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">167,683
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/32
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">27,107
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">344,616
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2807, Class SB, IO, 1 Mo. LIBOR x -1 + 7.45% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.34%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/15/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">56,092
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">748,350
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2975, Class SJ, IO, 1 Mo. LIBOR x -1 + 6.65% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.54%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/15/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">126,005
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">200,413
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3012, Class GK, 1 Mo. LIBOR x -4.5 + 24.75% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">24.27%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/15/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">309,950
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">13,874
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3195, Class SX, 1 Mo. LIBOR x -6.5 + 46.15% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">45.46%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/15/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">40,979
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">84,471
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3410, Class HC</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">96,236
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">36,921
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3451, Class SB, IO, 1 Mo. LIBOR x -1 + 6.03% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.92%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/15/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">4,109
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">285,080
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3471, Class SD, IO, 1 Mo. LIBOR x -1 + 6.08% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.97%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/15/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">45,909
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">250,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3797, Class KB</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/41
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">289,253
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">76,275
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 3985, Class GI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:45pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">830
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">22,526
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4021, Class IP, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">1,077
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">362,499
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4057, Class YI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">18,675
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">693,780
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4082, Class PI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">34,966
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,433,806
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4142, Class IO, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">177,128
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">379,853
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4206, Class IA, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">36,114
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,858,056
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4459, Class EI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">348,000
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">326,493
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4615, Class GT, 1 Mo. LIBOR x -4 + 16.00%, Capped at 4.00% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/15/42
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">300,879
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,407,209
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 4938, Class IB, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">537,814
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp. STACR REMIC Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2020-DNA2, Class B2, 1 Mo. LIBOR + 4.80% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.91%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/25/50
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">982,587
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp. STACR Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2019-HQA3, Class B2, 1 Mo. LIBOR + 7.50% (a) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.61%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/25/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:20pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">1,022,985
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp. Structured Pass-Through<BR>
Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">46,586
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series T-56, Class APO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:15.51pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">(f)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/01/43
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">46,153
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:25pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-top:12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp., STRIPS&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:21.5pt;">42,632</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 177, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:32.5pt;">4,293</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">645,964
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 243, Class 2, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">97,314
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,467,158
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 303, Class C17, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/43
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">373,254
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">932,184
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 324, Class C21, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/39
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">231,127
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal National Mortgage Association&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">34,627
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 1996-46, Class ZA</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">37,443
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">86,159
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 1997-85, Class M, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/27
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">3,540
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">27,456
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2002-80, Class IO, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/32
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">2,343
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">57,493
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-15, Class MS, IO, 1 Mo. LIBOR x -1 + 8.00% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.89%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/25/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">10,334
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">79,420
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2003-44, Class IU, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">14,750
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">325,880
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-49, Class SN, IO, 1 Mo. LIBOR x -1 + 7.10% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.99%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/25/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">48,693
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">11,260
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-74, Class SW, 1 Mo. LIBOR x -2 + 15.50% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">15.29%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/25/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">13,605
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">273,214
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-122, Class SN, 1 Mo. LIBOR x -4 + 28.60% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">28.17%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/25/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">396,083
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">35,158
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-59 Class SU, 1 Mo. LIBOR x -5 + 25.50% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">24.96%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/25/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">51,064
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">76,335
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-6, Class SE, IO, 1 Mo. LIBOR x -1 + 6.70% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.59%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/25/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">12,353
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">36,724
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-100, Class SM, IO, 1 Mo. LIBOR x -1 + 6.45% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.34%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/25/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">6,740
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">205,341
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-37, Class SB, IO, 1 Mo. LIBOR x -1 + 6.75% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.64%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/25/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">36,976
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">294,178
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2008-17, Class BE</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">346,310
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">852,283
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2010-103, Class ID, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/40
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">159,691
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">424,344
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2010-59, Class EI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/40
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">79,837
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">51,482
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2010-99, Class SG, 1 Mo. LIBOR x -5 + 25.00% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">24.49%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/40
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">78,821
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">828,471
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2011-81, Class PI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/01/26
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">39,245
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">72,580
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2012-111, Class B</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/42
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">85,102
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">473,940
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2012-112, Class BI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">13,279
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,699,808
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2012-125, Class MI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/42
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">247,335
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">698,807
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-130, Class GS, IO, 1 Mo. LIBOR x -1 + 6.25% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.14%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/25/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">72,357
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">17,593
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-132, Class SW, 1 Mo. LIBOR x -2.67 + 10.67% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10.39%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/44
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">20,745
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">869,559
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-32, Class IG, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">103,572
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">269,894
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-51, Class PI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/32
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">24,613
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,776,725
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-20, Class ES, IO, 1 Mo. LIBOR x -1 + 6.15% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.04%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/25/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">294,558
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">147,446
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-76, Class BI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/39
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">11,627
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">787,918
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-97, Class AI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/41
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">27,820
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">168,142
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-74, Class LI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">49,659
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,489,665
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-109, Class SJ, IO, 1 Mo. LIBOR x -1+ 6.20% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.09%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/25/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">588,437
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,703,438
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 5112, Class ID, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/30
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">219,119
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal National Mortgage Association, STRIPS&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">28,538
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 305, Class 12, IO (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">12/01/29
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">3,347
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">41,916
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 355, Class 18, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">7.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/33
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:37.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">7,693
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,369,031
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 387, Class 10, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">300,736
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">579,992
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 406, Class 6, IO (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/41
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">85,583
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">535,541
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 413, Class 173, IO (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/42
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">89,313
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Government National Mortgage Association&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">273,999
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2004-95, Class QZ</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/01/34
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">291,307
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">152,091
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-33, Class AY</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">164,568
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">55,505
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-68, Class DP, 1 Mo. LIBOR x -2.41 + 16.43% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">16.18%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/17/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">64,945
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">203,814
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-68, Class KI, IO, 1 Mo. LIBOR x -1 + 6.30% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.20%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/20/35
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">34,443
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">32,036
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2006-28, Class VS, 1 Mo. LIBOR x -13 + 87.10% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">85.75%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/20/36
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">81,153
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">172,516
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2007-68, Class PI, IO, 1 Mo. LIBOR x -1 + 6.65% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.55%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/20/37
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">18,558
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">100,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2008-2, Class HB</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">111,024
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">304,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2008-32, Class JD</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">344,311
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">151,720
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2008-73, Class SK, IO, 1 Mo. LIBOR x -1 + 6.74% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.64%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">08/20/38
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">20,049
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">114,195
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2009-12, Class IE, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/39
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">11,483
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">148,326
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2009-79, Class PZ</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/39
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">197,638
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,031,964
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2010-57, Class TI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.00%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">05/01/40
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">592,908
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:25pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-top:12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Collateralized Mortgage Obligations&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Government National Mortgage Association&#8201;(Continued)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">293,082</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-104, Class YS, IO, 1 Mo. LIBOR x -1 + 6.15% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.04%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/16/43
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:27.5pt;">44,209</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">135,061
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2014-41, Class ST, 1 Mo. LIBOR x -2.67 + 11.47% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11.19%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/20/42
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">126,661
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,606,685
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2015-158, Class KS, IO, 1 Mo. LIBOR x -1 + 6.25% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">6.15%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/20/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">813,057
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:26.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">74,309
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-139, Class MZ</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:32.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">63,389
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">153,334
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-4, Class CZ</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">157,355
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">121,993
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2017-H18, Class DZ (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">4.62%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/67
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">143,148
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">13,137,206
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2020-13, Class BT, IO, 1 Mo. LIBOR x -1 + 6.20%, Capped at 0.50% (e)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/20/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">267,640
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,322,137
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2020-146, Class CI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.50%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/50
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">591,461
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">5,778,131
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-23, Class BI, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/51
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">663,725
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,574,414
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-69, Class IX, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/51
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">536,959
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:18pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">14,194,949
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Commercial Mortgage-Backed Securities&#8201;&#8211; 15.0%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp. Multifamily Structured<BR>
Pass-Through Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K110, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.40%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">06/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">944,060
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,330,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K112, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">706,824
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,605,411
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K115, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.96%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">960,632
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,326,216
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K118, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.69%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/25/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">839,804
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,900,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K122, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.63%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">363,176
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">5,000,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K124, Class X3 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.62%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">02/01/49
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">973,411
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,343,856
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K128, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.79%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">697,651
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">1,831,144
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series K739, Class X3, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.85%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">11/25/48
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">248,569
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">4,571,896
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series KG06, Class X3 (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.73%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/31
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">963,794
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal National Mortgage Association, ACES&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">13,100,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2019-M29, Class X4, IO</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.70%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">03/01/29
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">496,372
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Freddie Mac Multiclass Certificates&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">6,279,008
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-P011, Class X1, IO (b)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">1.85%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/45
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">971,493
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">FREMF Mortgage Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:4pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">252,010,105
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2013-K27, Class X2B, IO (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.10%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/46
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">199,945
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Government National Mortgage Association&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">2,722,135
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-11, Class IO (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.85%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/56
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">121,425
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">3,220,855
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2016-166, Class IO (g)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">0.97%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">04/01/58
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">152,288
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:23pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">8,639,444
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Pass-through Security&#8201;&#8211; 1.5%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal Home Loan Mortgage Corp.&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">377,372
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool K36017</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.00%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">09/01/47
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">405,245
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Federal National Mortgage Association&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">404,174
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Pool AB5688</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">3.50%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">07/01/37
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">427,799
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:75.78%;" colspan="5">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:30.5pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">833,044
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total U.S. Government Agency Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:18pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">23,667,437
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $25,167,568)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">ASSET-BACKED SECURITIES&#8201;&#8211; 3.5%
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">AMSR Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:21.5pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">750,000
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2019-SFR1, Class I (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">8.98%
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/19/39
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">821,624
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">CoreVest American Finance Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:14pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:8.56%;">9,965,410
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2021-3, Class XA (b) (c)</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:8pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">2.40%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">10/01/54
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:27.5pt;padding-top:1pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">964,789
</TD></TR></TABLE>
</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:25pt;width:100%;" type="Block">
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:0pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.56%;">Principal<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:51.33%;">Description
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Coupon
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.22%;">Stated<BR>
Maturity
</TD><TD
style="line-height:0pt;padding-bottom:2pt;padding-right:3pt;padding-top:12pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:1pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:2pt;padding-left:3pt;padding-top:12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-left:0pt;padding-top:1.75pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:100%;" colspan="9">ASSET-BACKED SECURITIES&#8201;(Continued)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">Mid-State Capital Corp. Trust&#8201;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:top;width:8.56%;">$<FONT
style="padding-left:16.5pt;">207,528</FONT>
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:9pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;"><DIV
style="float:left;">Series 2005-1, Class A</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">5.75%
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:10.22%;">01/01/40
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-top:1pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:12.22%;">$<FONT
style="padding-left:22.5pt;">216,120</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:75.78%;" colspan="5"><DIV
style="float:left;">Total Asset-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:23pt;padding-top:1.88pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.22%;">2,002,533
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:8.56%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:51.33%;">(Cost $1,975,797)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:10.22%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-top:1pt;text-align:center;vertical-align:bottom;width:12.22%;">&#160;
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:91.11%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="line-height:10pt;padding-bottom:1pt;padding-right:3pt;padding-top:12pt;text-align:right;vertical-align:top;width:11.59%;">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:85.37%;"><DIV
style="float:left;">Total Investments &#8211; 89.3%</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:18pt;padding-top:12pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:13.41%;">51,336,678
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1pt;text-align:right;vertical-align:top;width:11.59%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:85.37%;">(Cost $54,584,822)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-top:1pt;text-align:right;vertical-align:bottom;width:13.41%;">&#160;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:right;vertical-align:top;width:11.59%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:85.37%;"><DIV
style="float:left;">Net Other Assets and Liabilities &#8211; 10.7%</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:23pt;padding-top:1pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:13.41%;">6,159,219
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:right;vertical-align:top;width:11.59%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:85.37%;"><DIV
style="float:left;">Net Assets &#8211; 100.0%</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-top:1.88pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.41%;">$<FONT
style="padding-left:10pt;">57,495,897</FONT>
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;
padding-top:6pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:bottom;width:48.76%;">Futures Contracts
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:6pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:5.49%;">Position
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:6pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:7.82%;">Number of<BR>
Contracts
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:6pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Expiration<BR>
Date
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:6pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:8.06%;">Notional<BR>
Value
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:6pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-top:6pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:12.78%;">Unrealized<BR>
Appreciation<BR>
(Depreciation)/<BR>
Value
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:0pt;padding-right:3pt;padding-top:1.88pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:48.76%;">U.S. Treasury Long Bond Futures
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:5.49%;">Short
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.82%;">6
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Mar 2022
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-right:3pt;padding-top:1.88pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:8.06%;">$<FONT
style="padding-left:7.5pt;"></FONT> (933,750)
</TD><TD
style="line-height:0pt;padding-bottom:1pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1pt;padding-left:3pt;padding-top:1.88pt;text-align:right;text-decoration:none;
text-transform:none;vertical-align:bottom;width:12.78%;">$<FONT
style="padding-left:30.5pt;">29,875</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:48.76%;">Ultra 10-Year U.S. Treasury Note Futures
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:5.49%;">Short
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:7.82%;">5
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-right:3pt;padding-top:1pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:7.65%;">Mar 2022
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:10pt;font-size:10pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:13pt;line-height:13pt;padding-bottom:3pt;padding-left:15.5pt;padding-right:3pt;padding-top:1pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;
text-transform:none;vertical-align:bottom;white-space:nowrap;width:8.06%;">(714,141)
</TD><TD
style="line-height:0pt;padding-bottom:3pt;padding-right:3pt;padding-top:1pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:43.5pt;padding-top:1pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:12.78%;">6,734
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:bottom;width:48.76%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:left;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:5.49%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:7.82%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:bottom;width:7.65%;">&#160;
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-right:3pt;
padding-top:1.88pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:8.06%;">$(1,647,891)
</TD><TD
style="line-height:0pt;padding-bottom:1.5pt;padding-right:3pt;padding-top:1.88pt;text-align:center;vertical-align:top;width:2.00%;">&#160;
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-top:1.88pt;
text-align:right;text-decoration:none;text-transform:none;vertical-align:bottom;width:12.78%;">$<FONT
style="padding-left:30.5pt;">36,609</FONT>
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:right;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:6pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(a)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:6pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">Floating or variable rate security.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(b)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment&#8217;s underlying collateral. The interest rate resets periodically.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(c)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be
resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund&#8217;s Board of Trustees, this security has been determined to be liquid by
First Trust Advisors L.P., the Fund&#8217;s investment advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security
specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $21,763,970 or 37.9% of net assets.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(d)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects the rate in effect at January 31, 2022.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(e)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">Inverse floating rate security.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(f)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.78%;">Zero coupon security.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:0pt;padding-right:3pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:2.78%;">(g)
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:6pt;padding-left:3pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:97.78%;">Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change
in any period.
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">&nbsp;&nbsp;&nbsp;&nbsp;</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:6pt;padding-top:7pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:7.18%;">ACES
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:6pt;padding-top:7pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:93.93%;">Alternative Credit Enhancement Securities
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:6pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:7.18%;">IO
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:6pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:93.93%;">Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:6pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:7.18%;">LIBOR
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:6pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:93.93%;">London Interbank Offered Rate
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:6pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:7.18%;">SOFR
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:6pt;padding-top:1pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:93.93%;">Secured Overnight Financing Rate
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:6pt;padding-top:1pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:top;white-space:nowrap;width:7.18%;">STRIPS
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:6pt;padding-top:1pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;width:93.93%;">Separate Trading of Registered Interest and Principal of Securities
</TD></TR></TABLE>
</DIV>
<HR
noshade="noshade" style="background-color:#000000;border-bottom:0pt;border-left:0pt;border-right:0pt;border-top:0.5pt solid #000000;height:0.5pt;width:22%;" align="Left">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">Valuation Inputs</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The Fund is subject to
fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-left:3.89%;margin-top:1pt;width:96.11%;" cellpadding="6" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:2pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;white-space:nowrap;width:2.31%;">&#8226;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.69%;">Level 1 &#8211; Level 1 inputs are quoted prices in active markets for identical investments.
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:0pt;padding-right:2pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;white-space:nowrap;width:2.31%;">&#8226;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;vertical-align:top;
width:97.69%;">Level 2 &#8211; Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived
from observable market data.)
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:0pt;padding-left:0pt;padding-right:2pt;text-align:left;text-decoration:none;
text-transform:none;vertical-align:top;white-space:nowrap;width:2.31%;">&#8226;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:0pt;padding-left:2pt;text-align:left;text-decoration:none;text-transform:none;
vertical-align:top;width:97.69%;">Level 3 &#8211; Level 3 inputs are unobservable inputs that may reflect the reporting entity&#8217;s own assumptions about the assumptions that market participants would use in
pricing the investment.
</TD></TR></TABLE>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">The inputs or
methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.</DIV>
</DIV>
<DIV
style="width:100%;" type="Block">
</DIV>
</DIV>
<DIV
style="clear:both;font-size:12pt;height:0pt;">
</DIV>
<HR
style="margin-bottom:0pt;">
<!--PAGE BREAK-->
<DIV
style="width:100%;">
<DIV
style="width:100%;" type="Block">
<DIV
style="color:#003E87;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;text-align:left;text-decoration:none;text-transform:none;">First Trust Mortgage Income Fund (FMY)<BR>
</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">Portfolio of Investments
(Continued)</DIV>
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;margin-top:1pt;text-align:left;text-decoration:none;text-transform:none;">January 31, 2022
(Unaudited)</DIV>
</DIV>
<DIV
style="margin-top:13pt;width:100%;" type="Block">
<DIV
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;margin-top:8pt;text-align:left;text-decoration:none;text-transform:none;">A summary of the inputs
used to value the Fund&#8217;s investments as of January 31, 2022 is as follows:</DIV>
<DIV
style="text-align:left;">
<TABLE
style="border-collapse:collapse;empty-cells:show;margin-top:0pt;width:100%;" cellpadding="0" cellspacing="0">
<TR
style="page-break-inside:avoid;"><TD
style="line-height:10pt;padding-bottom:3pt;padding-right:1pt;padding-top:6pt;text-align:left;vertical-align:bottom;width:49.39%;">&#160;
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:1pt;padding-right:5pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">Total<BR>
Value at<BR>
1/31/2022
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:5pt;padding-right:3.5pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.93%;">Level 1<BR>
Quoted<BR>
Prices
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3.5pt;padding-right:3pt;
padding-top:6pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">Level 2<BR>
Significant<BR>
Observable<BR>
Inputs
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:bold;line-height:13pt;padding-bottom:3pt;padding-left:3pt;padding-top:6pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.68%;">Level 3<BR>
Significant<BR>
Unobservable<BR>
Inputs
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.39%;"><DIV
style="float:left;">Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:1pt;padding-right:5pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>25,666,708
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:5pt;padding-right:3.5pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:10.93%;">$<FONT
style="padding-left:17.5pt;"></FONT><FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>&#8212;
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3.5pt;padding-right:3pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>25,666,708
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:3pt;padding-top:2.12pt;text-align:center;text-decoration:none;
text-transform:none;vertical-align:bottom;width:14.68%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>&#8212;
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.39%;"><DIV
style="float:left;">U.S. Government Agency Mortgage-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:6pt;padding-right:5pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">23,667,437</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:27.5pt;padding-right:3.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;
width:10.93%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:8.5pt;padding-right:3pt;padding-top:1.25pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">23,667,437</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:8pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;width:14.68%;
">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.39%;"><DIV
style="float:left;">Asset-Backed Securities</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:3pt;padding-left:11pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">2,002,533</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:27.5pt;padding-right:3.5pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;
text-transform:none;vertical-align:bottom;width:10.93%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:3pt;padding-left:13.5pt;padding-right:3pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">2,002,533</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:8pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;
vertical-align:bottom;width:14.68%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.25pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.39%;"><DIV
style="float:left;">Total Investments</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:6pt;padding-right:5pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">51,336,678</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:27.5pt;padding-right:3.5pt;padding-top:2.12pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;
width:10.93%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD><TD
style="color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:1.25pt;padding-left:8.5pt;padding-right:3pt;padding-top:2.12pt;text-align:center;
text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">51,336,678</FONT>
</TD><TD
style="color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;font-weight:Normal;line-height:8pt;
line-height:8pt;padding-bottom:1.25pt;padding-left:8pt;padding-top:2.12pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;vertical-align:bottom;width:14.68%;
">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:3pt;padding-left:0pt;padding-right:1pt;padding-top:1.25pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;width:49.39%;"><DIV
style="float:left;">Futures Contracts</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:3pt;padding-left:23.5pt;padding-right:5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">36,609</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;font-family:Times New Roman;font-size:5pt;font-style:Normal;font-weight:Normal;line-height:8pt;padding-bottom:3pt;padding-left:10pt;padding-right:3.5pt;
padding-top:1.25pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.93%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">36,609</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:43.5pt;padding-right:3pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;
text-transform:none;vertical-align:bottom;width:14.17%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD><TD
style="border-bottom:0.5pt solid #000000;color:#000000;color:#000000;font-family:Times New Roman;font-family:Times New Roman;font-size:5pt;font-size:5pt;font-style:Normal;font-style:Normal;font-weight:Normal;
font-weight:Normal;line-height:8pt;line-height:8pt;padding-bottom:3pt;padding-left:8pt;padding-top:1.25pt;text-align:center;text-decoration:none;text-decoration:none;text-transform:none;text-transform:none;
vertical-align:bottom;width:14.68%;">&#8194;<FONT
style="font-size:10pt;line-height:13pt;">&#8212;</FONT>
</TD></TR>
<TR
style="page-break-inside:avoid;"><TD
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:0pt;padding-right:1pt;padding-top:2.12pt;text-align:left;
text-decoration:none;text-transform:none;vertical-align:bottom;white-space:nowrap;width:49.39%;"><DIV
style="float:left;">Total</DIV><HR
style="background-color:transparent;border-bottom:dotted medium Black;border-left:transparent;border-right:transparent;border-top:transparent;margin-bottom:-5pt;margin-top:5pt;padding-top:3pt;vertical-align:auto;"
noshade="noshade">
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:1pt;padding-right:5pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:13.06%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>51,373,287
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:5pt;padding-right:3.5pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:10.93%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>36,609
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3.5pt;padding-right:3pt;
padding-top:2.12pt;text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.17%;">$<FONT
style="font-size:5pt;line-height:8pt;">&#8194;</FONT>51,336,678
</TD><TD
style="border-bottom:medium double #000000;color:#000000;font-family:Times New Roman;font-size:10pt;font-style:Normal;font-weight:Normal;line-height:13pt;padding-bottom:1.5pt;padding-left:3pt;padding-top:2.12pt;
text-align:center;text-decoration:none;text-transform:none;vertical-align:bottom;width:14.68%;">$<FONT
style="padding-left:2.5pt;"></FONT>&#8212;
</TD></TR></TABLE>
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style="width:100%;" type="Block">
</DIV>
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