# EDGAR Filing Document

**Accession Number:** 0000732337
**File Stem:** 0001752724-25-203471
**Filing Date:** 2025-8
**Character Count:** 197943
**Document Hash:** b2427a5e10bf79e152c2aeb657e71f1a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203471.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203471

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM MORTGAGE SECURITIES FUND
- **CENTRAL INDEX KEY:** 0000732337

**ORGANIZATION NAME:**
- **EIN:** 042811119
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03897
- **FILM NUMBER:** 251253167

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM U S GOVERNMENT INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM U S GOVERNMENT GUARANTEED SECURITIES INCOME TRUST
- **DATE OF NAME CHANGE:** 19910102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM UNITED STATES GOVERNMENT SECURITIES INCOME FUND
- **DATE OF NAME CHANGE:** 19840806

## Series and Classes Contracts Data

### PUTNAM MORTGAGE SECURITIES FUND (Series ID: S000006570)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000017922 | Class A Shares  | PGSIX           |
| C000017924 | Class C Shares  | PGVCX           |
| C000017926 | Class R Shares  | PGVRX           |
| C000017927 | Class Y Shares  | PUSYX           |
| C000200295 | Class R6 Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Mortgage Securities Fund

- **b. Investment Company Act file number:** 811-03897

- **c. CIK number of Registrant:** 0000732337

- **d. LEI of Registrant:** V36NQTUWG8SKLKSHZZ27

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

  - **Street Address 1:** 100 Federal Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-292-1000

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

- **a. Name of Series:** Putnam Morgtage Securities Fund

- **b. EDGAR series identifier (if any):** S000006570

- **c. LEI of Series:** V36NQTUWG8SKLKSHZZ27

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1014696361.55

**Total Liabilities:** $597786496.76

**Net Assets:** $416909864.79

**Delayed Delivery Securities:** $577026953.16

**Cash Not Reported:** $304206.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1380.34000000 | **1-Year:** 39212.13000000 | **5-Year:** 86629.87000000 | **10-Year:** 174278.02000000 | **30-Year:** 61031.51000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000200295 | -0.13%               | -0.64%               | 1.99%                |
| Class ID C000017926 | -0.06%               | -0.82%               | 1.94%                |
| Class ID C000017922 | -0.03%               | -0.79%               | 2.05%                |
| Class ID C000017924 | -0.23%               | -0.73%               | 1.89%                |
| Class ID C000017927 | -0.01%               | -0.65%               | 1.98%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-36.72                  | $4803940.13                                |
| Month 2  | $-6074211.42             | $-6210463.10                               |
| Month 3  | $-4436743.98             | $15851935.64                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BMO Mortgage Trust                                     | BMO Mortgage Trust, Series 2024-5C6, Class XA                                       | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11396608 | PA      | $547179.62    | 0.13%             | 2057-09-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class D                                      | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2536000 | PA      | $1449095.76   | 0.35%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                     | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7237621 | PA      | $1258454.37   | 0.30%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  107000000 | PA      | $106992239.29 | 25.66%            | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D                | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732000 | PA      | $1341382.04   | 0.32%             | 2046-08-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1462000 | PA      | $135924.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-96, Class KS                                                      | CUSIP: 38382GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12405510 | PA      | $1675257.42   | 0.40%             | 2050-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                    | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    1174000 | PA      | $1059687.62   | 0.25%             | 2059-01-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                            | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     763000 | PA      | $699295.53    | 0.17%             | 2057-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     130000 | PA      | $5547.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                           | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2151621 | PA      | $2024935.77   | 0.49%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                     | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9591354 | PA      | $1810707.58   | 0.43%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3369, Class BO                                                        | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1067 | PA      | $903.13       | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $956187.10    | 0.23%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class B                     | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |    1072000 | PA      | $1035945.10   | 0.25%             | 2048-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                      | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18759975 | PA      | $3635352.89   | 0.87%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19000000 | PA      | $16808764.01  | 4.03%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                      | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3855132 | PA      | $380192.39    | 0.09%             | 2048-03-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA2, Class B2                                 | CUSIP: 35565LBE5<br>LEI: 5493000ITBJ4KEFYWF83 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1214076.80   | 0.29%             | 2050-03-25      | Floating      | 12.02%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                       | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10900196 | PA      | $1643466.18   | 0.39%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-20, Class IK                                                      | CUSIP: 3136B9JP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5408876 | PA      | $798968.35    | 0.19%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                        | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3541442 | PA      | $787902.84    | 0.19%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H19, Class JI                                                     | CUSIP: 38380LMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8029465 | PA      | $300342.16    | 0.07%             | 2068-10-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                       | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3304283 | PA      | $810230.43    | 0.19%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-59, Class 2A1                 | CUSIP: 31394PPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4516 | PA      | $3734.42      | 0.00%             | 2043-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-NPL1, Class A1                                               | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     593042 | PA      | $595078.69    | 0.14%             | 2054-09-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $474911.58    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                     | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    1206000 | PA      | $1106043.34   | 0.27%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2024-5, Class A                          | CUSIP: 85778YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510000 | PA      | $1510979.39   | 0.36%             | 2025-08-04      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                     | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8479213 | PA      | $1658099.05   | 0.40%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class D                                      | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240000 | PA      | $1128320.89   | 0.27%             | 2048-02-10      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                     | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329756 | PA      | $6850.31      | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                     | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6606442 | PA      | $193198.80    | 0.05%             | 2067-04-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                      | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1396437 | PA      | $1400449.12   | 0.34%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                      | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497790 | PA      | $2291428.97   | 0.55%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-77, Class SM                                                      | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11401904 | PA      | $1565392.47   | 0.38%             | 2051-05-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36292DKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $64.05        | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                       | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23820541 | PA      | $3459073.59   | 0.83%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class SM                                                      | CUSIP: 38382RPL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3692727 | PA      | $494719.39    | 0.12%             | 2051-04-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E        | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1232618 | PA      | $949344.51    | 0.23%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust   | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2AC2          | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460082 | PA      | $443676.15    | 0.11%             | 2045-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                        | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3989861 | PA      | $832076.43    | 0.20%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                        | COMM Mortgage Trust, Series 2013-CR12, Class AM                                     | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    1425983 | PA      | $1346962.52   | 0.32%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2024-5YR10, Class XA                                                  | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14900042 | PA      | $660636.56    | 0.16%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   21637500 | PA      | $64183.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                        | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195391 | PA      | $3797.16      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                      | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3029045 | PA      | $556878.32    | 0.13%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311000 | PA      | $318427.80    | 0.08%             | 2040-01-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C06, Class 1B                 | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     502172 | PA      | $545676.67    | 0.13%             | 2029-04-25      | Floating      | 13.67%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                                | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7127938 | PA      | $1178298.79   | 0.28%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                               | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7136359 | PA      | $467424.41    | 0.11%             | 2066-09-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class C                    | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     790000 | PA      | $560508.87    | 0.13%             | 2049-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $601568.19    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-119, Class SA                                                     | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2566328 | PA      | $236586.15    | 0.06%             | 2044-08-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-DC1, Class B                                       | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1285000 | PA      | $1225568.75   | 0.29%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $12089126.27  | 2.90%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                     | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4149554 | PA      | $819429.03    | 0.20%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                     | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9942521 | PA      | $437759.27    | 0.11%             | 2066-10-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                     | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     724699 | PA      | $20307.44     | 0.00%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1                 | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509000 | PA      | $511855.54    | 0.12%             | 2030-07-25      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR19, Class D                                      | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347599 | PA      | $334912.06    | 0.08%             | 2047-08-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                     | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588173 | PA      | $572271.63    | 0.14%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C    | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354617 | PA      | $333890.45    | 0.08%             | 2047-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                     | J.P. Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1                       | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     942676 | PA      | $804779.35    | 0.19%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                           | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1406000 | PA      | $1200360.41   | 0.29%             | 2045-03-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class B                                       | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1848000 | PA      | $1228543.38   | 0.29%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -21637500 | PA      | $-5786.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                      | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2491444 | PA      | $2626477.53   | 0.63%             | 2053-05-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $617441.62    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                  | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1556000 | PA      | $785854.38    | 0.19%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C                        | CUSIP: 17324DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     973000 | PA      | $952249.80    | 0.23%             | 2048-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -19064700 | PA      | $-39940.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                      | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12659432 | PA      | $1022459.25   | 0.25%             | 2053-02-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   13289300 | PA      | $108469.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class D                                         | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2287000 | PA      | $494064.27    | 0.12%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $71708.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS Ltd.                                               | BDS Ltd., Series 2021-FL9, Class A                                                  | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     249311 | PA      | $249696.04    | 0.06%             | 2038-11-16      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                      | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3309215 | PA      | $554309.06    | 0.13%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                     | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868000 | PA      | $811018.49    | 0.19%             | 2051-08-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1035000 | PA      | $-6718.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $422787.64    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-10, Class 11A1                                | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163301 | PA      | $154341.68    | 0.04%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $14664039.30  | 3.52%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                               | CUSIP: N/A<br>LEI: S6XOOCT0IEG5ABCC6L87       | Long             | ABS-MBS          | CORP              | US        |   20855000 | PA      | $2117053.62   | 0.51%             | 2049-02-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5121, Class KI                                                        | CUSIP: 3137H0LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6468694 | PA      | $1440475.30   | 0.35%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Note                                                                  | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     236000 | PA      | $232884.09    | 0.06%             | 2025-10-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $12729750.32  | 3.05%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2012-C9, Class E                            | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666927 | PA      | $662091.91    | 0.16%             | 2045-11-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                      | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3801959 | PA      | $593925.69    | 0.14%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D        | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903000 | PA      | $835037.33    | 0.20%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $28559950.32  | 6.85%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   21637500 | PA      | $52069.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC6, Class E                                       | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701000 | PA      | $648088.17    | 0.16%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class NS                                                       | CUSIP: 38384HZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14960857 | PA      | $937326.10    | 0.22%             | 2054-01-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-LC4, Class D                                       | CUSIP: 126192AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2266000 | PA      | $1663287.05   | 0.40%             | 2044-12-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5558, Class SG                                                        | CUSIP: 3137HM4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20855000 | PA      | $2145458.13   | 0.51%             | 2055-07-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                            | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603000 | PA      | $561939.14    | 0.13%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                     | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5517767 | PA      | $308492.82    | 0.07%             | 2066-06-20      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                       | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9858984 | PA      | $617031.40    | 0.15%             | 2054-01-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   11402000 | PA      | $73584.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                     | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839000 | PA      | $641651.26    | 0.15%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     784000 | PA      | $-23734.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                     | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5360920 | PA      | $181268.77    | 0.04%             | 2065-09-20      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2015-DNA3, Class B                                   | CUSIP: 3137G0GZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1567371 | PA      | $1601431.15   | 0.38%             | 2028-04-25      | Floating      | 13.77%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                      | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19963722 | PA      | $1488279.47   | 0.36%             | 2054-02-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-8729.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $68894.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class B                           | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     842000 | PA      | $789922.30    | 0.19%             | 2057-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81000000 | PA      | $64140364.35  | 15.38%            | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                               | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4514172 | PA      | $601149.53    | 0.14%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $640673.87    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                      | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2648017 | PA      | $528757.92    | 0.13%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   13289300 | PA      | $272880.69    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                     | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8377421 | PA      | $650456.46    | 0.16%             | 2067-01-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B2                                 | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $391567.40    | 0.09%             | 2042-04-25      | Floating      | 14.06%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W11, Class A1                                         | CUSIP: 31393C6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $208.67       | 0.00%             | 2033-06-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C                     | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1373000 | PA      | $1345512.13   | 0.32%             | 2048-11-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H05, Class BI                                                     | CUSIP: 38380L4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2490487 | PA      | $123929.13    | 0.03%             | 2070-03-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-57, Class SC                                                      | CUSIP: 3136BQQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5395409 | PA      | $568925.92    | 0.14%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class E                      | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2035000 | PA      | $1730333.84   | 0.42%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-12458.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B        | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     947228 | PA      | $894593.81    | 0.21%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class C                                      | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1360000 | PA      | $1247255.73   | 0.30%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                             | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        459 | PA      | $460.11       | 0.00%             | 2026-07-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                     | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283259 | PA      | $5854.51      | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                             | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1695000 | PA      | $1015355.68   | 0.24%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                  | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19400 | PA      | $16848.45     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4                   | CUSIP: 94989VAD1<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |     508000 | PA      | $505981.26    | 0.12%             | 2057-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      14000 | PA      | $1785.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2007-10, Class 1A1              | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2924149 | PA      | $2776634.91   | 0.67%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                     | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6669162 | PA      | $336839.37    | 0.08%             | 2065-04-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                       | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5208131 | PA      | $921052.30    | 0.22%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4                    | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603000 | PA      | $600536.93    | 0.14%             | 2048-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4626600 | PA      | $596543.25    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities Trust  | Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-2, Class A3      | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     393546 | PA      | $387834.03    | 0.09%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-80, Class SD                                                      | CUSIP: 38379XFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5536960 | PA      | $693437.23    | 0.17%             | 2046-06-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                       | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    2108000 | PA      | $2618402.03   | 0.63%             | 2048-10-25      | Floating      | 15.42%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                      | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1959000 | PA      | $1572106.32   | 0.38%             | 2047-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F012478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $9777980.63   | 2.35%             | 2040-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  213943700 | PA      | $516783.13    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                     | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8656956 | PA      | $287687.97    | 0.07%             | 2064-10-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                                | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16888648 | PA      | $868861.84    | 0.21%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                        | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16691984 | PA      | $2742736.75   | 0.66%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                        | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2631797 | PA      | $274382.25    | 0.07%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                      | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28630303 | PA      | $2123337.78   | 0.51%             | 2053-04-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      65000 | PA      | $1169.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1274000 | PA      | $-54720.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -31456700 | PA      | $-422525.52   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4531000 | PA      | $-501535.12   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA19, Class A1                                  | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1632071 | PA      | $1311057.50   | 0.31%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                            | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     838000 | PA      | $652351.83    | 0.16%             | 2057-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                     | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4419079 | PA      | $651319.63    | 0.16%             | 2050-08-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E         | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677000 | PA      | $874136.25    | 0.21%             | 2045-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -213943700 | PA      | $-1708947.29  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                     | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2684480 | PA      | $447939.61    | 0.11%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                      | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    1484155 | PA      | $1493196.03   | 0.36%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                      | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6460445 | PA      | $520116.19    | 0.12%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                     | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9301577 | PA      | $656168.61    | 0.16%             | 2053-11-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $29714511.75  | 7.13%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048000 | PA      | $3119365.87   | 0.75%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                     | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4921289 | PA      | $568813.42    | 0.14%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                     | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7200664 | PA      | $1000814.58   | 0.24%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR7, Class D                                       | CUSIP: 12625FBA3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |     691855 | PA      | $661205.49    | 0.16%             | 2046-03-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2069000 | PA      | $-9172.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2B                 | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     464934 | PA      | $504571.36    | 0.12%             | 2028-10-25      | Floating      | 17.17%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    2892493 | PA      | $2941230.46   | 0.71%             | 2049-10-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                     | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3037058 | PA      | $165474.11    | 0.04%             | 2066-11-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12179037.24  | 2.92%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                         | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1336430.52   | 0.32%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-7, Class SA                                                       | CUSIP: 38384GL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9416817 | PA      | $647991.92    | 0.16%             | 2054-01-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F        | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    2316000 | PA      | $205660.34    | 0.05%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-9, Class A11                                | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2530297 | PA      | $2542499.68   | 0.61%             | 2055-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-4, Class AF             | CUSIP: 61777BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1474839 | PA      | $1480515.92   | 0.36%             | 2054-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                        | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6185405 | PA      | $840343.50    | 0.20%             | 2050-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2019-CD8, Class D                                         | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $894930.87    | 0.21%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $22319068.56  | 5.35%             | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     216000 | PA      | $-93721.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                              | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1631888 | PA      | $1643183.07   | 0.39%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   73000000 | PA      | $60537668.49  | 14.52%            | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                   | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $851418.23    | 0.20%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D        | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924000 | PA      | $879003.69    | 0.21%             | 2050-07-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E                     | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1097477.97   | 0.26%             | 2048-11-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                        | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4383937 | PA      | $958030.17    | 0.23%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $16452441.36  | 3.95%             | 2040-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2                | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     397532 | PA      | $400454.55    | 0.10%             | 2041-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                     | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2296442 | PA      | $307424.01    | 0.07%             | 2043-12-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                        | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644834 | PA      | $648015.48    | 0.16%             | 2053-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8405386.47   | 2.02%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                     | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6700030 | PA      | $1025050.31   | 0.25%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M                   | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         31 | PA      | $29.77        | 0.00%             | 2058-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                              | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1021000 | PA      | $151035.51    | 0.04%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $17219805.30  | 4.13%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2               | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887000 | PA      | $1961973.91   | 0.47%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                      | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5617206 | PA      | $618518.99    | 0.15%             | 2043-06-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                           | Home RE Ltd., Series 2021-2, Class B1                                               | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    1000000 | PA      | $1020512.60   | 0.24%             | 2034-01-25      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C        | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1616000 | PA      | $1404940.70   | 0.34%             | 2048-04-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust             | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D                | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859000 | PA      | $536890.12    | 0.13%             | 2050-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-14, Class CI                                                      | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3902778 | PA      | $847922.71    | 0.20%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -257 | NC      | $-207172.02   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                        | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                            | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796000 | PA      | $776375.73    | 0.19%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                     | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2056000 | PA      | $1784603.48   | 0.43%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1792000 | PA      | $-241972.30   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                     | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6095002 | PA      | $246410.56    | 0.06%             | 2067-02-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                     | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3248459 | PA      | $196952.77    | 0.05%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C         | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1398000 | PA      | $1311662.46   | 0.31%             | 2046-05-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                      | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18404493 | PA      | $1193776.18   | 0.29%             | 2054-02-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                     | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3167762 | PA      | $176460.20    | 0.04%             | 2065-07-20      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     349000 | PA      | $44503.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D    | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1339475.46   | 0.32%             | 2047-12-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C                       | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1387488 | PA      | $1307610.44   | 0.31%             | 2045-09-10      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                       | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4890037 | PA      | $986520.08    | 0.24%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C        | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751000 | PA      | $656378.66    | 0.16%             | 2052-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                   | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    2050792 | PA      | $2082638.54   | 0.50%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1                 | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2609000 | PA      | $2627973.17   | 0.63%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -180000000 | PA      | $-565672.20   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                                 | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |    2647000 | PA      | $3511435.03   | 0.84%             | 2050-08-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                      | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8007442 | PA      | $1094312.99   | 0.26%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  120000000 | PA      | $780081.92    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D                 | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330000 | PA      | $1125815.69   | 0.27%             | 2049-06-15      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7841076.32   | 1.88%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                     | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7174595 | PA      | $208468.63    | 0.05%             | 2064-12-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                     | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $384609.53    | 0.09%             | 2053-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2023-NQM3, Class A1                                               | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360144 | PA      | $363029.45    | 0.09%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D    | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     936689 | PA      | $886435.36    | 0.21%             | 2046-12-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D         | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1122000 | PA      | $1033223.43   | 0.25%             | 2046-05-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                     | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     785154 | PA      | $753663.27    | 0.18%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      37000 | PA      | $3429.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                     | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28260915 | PA      | $1786420.48   | 0.43%             | 2053-11-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                       | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22541243 | PA      | $2620137.77   | 0.63%             | 2049-11-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class B   | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287956 | PA      | $272181.83    | 0.07%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN1, Class M2 | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1051000 | PA      | $1080017.06   | 0.26%             | 2051-01-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-51, Class SA                                                      | CUSIP: 3136B5P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5752321 | PA      | $763414.74    | 0.18%             | 2049-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                           | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624000 | PA      | $615389.99    | 0.15%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust          | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A4B           | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1763397 | PA      | $1541736.97   | 0.37%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B                            | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    1109000 | PA      | $1061979.84   | 0.25%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                            | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1033000 | PA      | $886552.00    | 0.21%             | 2048-08-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     141000 | PA      | $7249.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                           | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $410578.50    | 0.10%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-57, Class 2A1                 | CUSIP: 31394JDB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8859 | PA      | $8554.92      | 0.00%             | 2043-07-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-2, Class A2                                  | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862000 | PA      | $779478.15    | 0.19%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                             | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986000 | PA      | $911621.58    | 0.22%             | 2051-06-15      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D                | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1294832.00   | 0.31%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                     | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10353608 | PA      | $578683.83    | 0.14%             | 2066-03-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                     | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14874954 | PA      | $1331440.78   | 0.32%             | 2052-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2024-CMG1, Class A1                               | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     640015 | PA      | $641137.08    | 0.15%             | 2054-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                     | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9082225 | PA      | $382933.87    | 0.09%             | 2066-09-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class E        | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1239000 | PA      | $1080383.96   | 0.26%             | 2048-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                               | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6312403 | PA      | $188305.31    | 0.05%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E                | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1235000 | PA      | $849062.50    | 0.20%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                      | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14867032 | PA      | $1195068.51   | 0.29%             | 2053-01-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  245202000 | PA      | $-3261076.12  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                     | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7152403 | PA      | $856691.94    | 0.21%             | 2049-10-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2                 | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      19476 | PA      | $18795.36     | 0.00%             | 2034-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   62913400 | PA      | $192718.73    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-9195.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13681500 | PA      | $372749.79    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                      | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1436000 | PA      | $1129140.59   | 0.27%             | 2048-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                                | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1714930 | PA      | $360323.96    | 0.09%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B                | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1497000 | PA      | $1397287.82   | 0.34%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2001-79, Class BI                                                      | CUSIP: 31392BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442099 | PA      | $2198.12      | 0.00%             | 2045-03-25      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                     | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13793711 | PA      | $646856.07    | 0.16%             | 2065-06-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                      | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13906692 | PA      | $865940.49    | 0.21%             | 2054-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class B                 | CUSIP: 46591ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636000 | PA      | $600183.60    | 0.14%             | 2051-06-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                       | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27631224 | PA      | $2159601.19   | 0.52%             | 2053-01-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V11, Class XA                                 | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23289000 | PA      | $528699.89    | 0.13%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                    | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     781000 | PA      | $788774.54    | 0.19%             | 2028-11-25      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES Trust, Series 2024-NQM1, Class A1                                             | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |     172717 | PA      | $173870.94    | 0.04%             | 2069-07-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                      | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |    1622038 | PA      | $1645003.81   | 0.39%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D        | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954000 | PA      | $850799.62    | 0.20%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2873200 | PA      | $59921.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                     | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28932913 | PA      | $2426820.44   | 0.58%             | 2054-08-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class C                                      | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     397060 | PA      | $295214.11    | 0.07%             | 2047-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                      | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2305000 | PA      | $1362610.43   | 0.33%             | 2044-02-10      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     140000 | PA      | $10273.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B                 | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     776740 | PA      | $840990.65    | 0.20%             | 2029-01-25      | Floating      | 14.67%                | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -31456700 | PA      | $-105.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                     | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6575817 | PA      | $595953.14    | 0.14%             | 2067-02-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  775226000 | PA      | $-2377348.32  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                      | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2054560 | PA      | $301529.92    | 0.07%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                        | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8993021 | PA      | $1783135.34   | 0.43%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                           | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920000 | PA      | $1859007.36   | 0.45%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                     | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14117115 | PA      | $978225.75    | 0.23%             | 2053-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                     | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13660194 | PA      | $2018023.17   | 0.48%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                        | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486921 | PA      | $488522.60    | 0.12%             | 2054-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                      | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9534869 | PA      | $1614380.19   | 0.39%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                                 | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   14000000 | PA      | $13847354.08  | 3.32%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1B1               | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3455000 | PA      | $3680833.66   | 0.88%             | 2040-02-25      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $726091.23    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                       | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |     282000 | PA      | $337350.28    | 0.08%             | 2049-03-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B         | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1034233 | PA      | $1004298.35   | 0.24%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2007-14, Class KO                                                      | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1930 | PA      | $1624.05      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W3, Class 1A4                                                     | CUSIP: 31392JYJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12824 | PA      | $12382.59     | 0.00%             | 2042-08-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG         | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193181 | PA      | $170311.36    | 0.04%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4326, Class GS                                                        | CUSIP: 3137BABH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7325902 | PA      | $764525.32    | 0.18%             | 2044-04-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2025-C32, Class XA                                     | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9294746 | PA      | $794945.19    | 0.19%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2354000 | PA      | $-264189.44   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                     | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4832697 | PA      | $675972.59    | 0.16%             | 2038-04-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                       | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    2681000 | PA      | $3194429.73   | 0.77%             | 2048-01-25      | Floating      | 12.77%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                     | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5606458 | PA      | $279301.39    | 0.07%             | 2065-06-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                      | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     779972 | PA      | $34575.91     | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                      | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     882000 | PA      | $775017.72    | 0.19%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                     | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571625 | PA      | $565546.47    | 0.14%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1                                 | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268657 | PA      | $223817.92    | 0.05%             | 2035-10-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2413000 | PA      | $139133.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                     | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21817040 | PA      | $3125997.79   | 0.75%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                        | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7346431 | PA      | $830551.47    | 0.20%             | 2049-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA2, Class B2                                       | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $770931.16    | 0.18%             | 2049-04-25      | Floating      | 15.67%                | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                            | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     644000 | PA      | $587811.84    | 0.14%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                      | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8996225 | PA      | $1000772.50   | 0.24%             | 2044-05-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                   | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9732800 | PA      | $809950.03    | 0.19%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-34, Class P1                                                      | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29105 | PA      | $26499.63     | 0.01%             | 2043-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C                 | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835000 | PA      | $752126.50    | 0.18%             | 2051-06-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $15295533.84  | 3.67%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                     | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8879255 | PA      | $423194.16    | 0.10%             | 2065-08-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                            | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1269000 | PA      | $1228014.09   | 0.29%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72000000 | PA      | $73172094.48  | 17.55%            | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-83, Class QS                                                      | CUSIP: 3136B8BC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13176382 | PA      | $1852698.13   | 0.44%             | 2050-01-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-24, Class SP                                                      | CUSIP: 31397LDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7965 | PA      | $8010.15      | 0.00%             | 2038-02-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4626600 | PA      | $506957.94    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                     | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11570822 | PA      | $641740.90    | 0.15%             | 2066-12-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class B                           | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    1577636 | PA      | $1533142.26   | 0.37%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2006-84, Class OT                                                      | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        644 | PA      | $537.93       | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D        | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $745910.24    | 0.18%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                      | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6361090 | PA      | $998026.39    | 0.24%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                      | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1721000 | PA      | $1556885.78   | 0.37%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                     | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5739027 | PA      | $220131.85    | 0.05%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $952615.53    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                     | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188053 | PA      | $13401.83     | 0.00%             | 2041-10-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                     | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    1407000 | PA      | $1342964.33   | 0.32%             | 2048-06-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                      | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6403347 | PA      | $1499033.77   | 0.36%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E                            | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066568 | PA      | $1006850.64   | 0.24%             | 2044-06-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D                | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     726000 | PA      | $624791.10    | 0.15%             | 2047-09-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                       | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $405557.54    | 0.10%             | 2047-09-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                      | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1351375 | PA      | $1104169.19   | 0.26%             | 2048-10-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                             | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1608000 | PA      | $1514096.18   | 0.36%             | 2047-09-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                         | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001000 | PA      | $582372.49    | 0.14%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                      | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8578016 | PA      | $1040353.82   | 0.25%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                   | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                     | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1290794 | PA      | $1240408.32   | 0.30%             | 2044-08-10      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL4, Class A1                                                | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1225343 | PA      | $1232508.65   | 0.30%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LLC                                        | CAFL Issuer LLC, Series 2023-RTL1, Class A1                                         | CUSIP: 124762AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526000 | PA      | $530855.09    | 0.13%             | 2030-12-28      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12019497.48  | 2.88%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2022-9, Class AS                                                   | CUSIP: 69291QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     687000 | PA      | $689554.25    | 0.17%             | 2035-08-19      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C                | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124000 | PA      | $1039050.33   | 0.25%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class E                             | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2070838 | PA      | $2017026.72   | 0.48%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust, Series 2005-2, Class 1A                             | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950145 | PA      | $264483.39    | 0.06%             | 2035-05-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                     | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4513123 | PA      | $161344.16    | 0.04%             | 2065-07-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                         | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2034000 | PA      | $1065779.18   | 0.26%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-140, Class JS                                                     | CUSIP: 38384EUV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |     909781 | PA      | $929850.91    | 0.22%             | 2053-09-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                      | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2107208 | PA      | $2034493.81   | 0.49%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C                 | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590000 | PA      | $393953.86    | 0.09%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                     | Putnam Short Term Investment Fund, Class P                                          | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   37146774 | NS      | $37146774.22  | 8.91%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class FB                                                     | CUSIP: 38384DZX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931078 | PA      | $946474.48    | 0.23%             | 2051-04-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                        | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     783226 | PA      | $812797.50    | 0.19%             | 2035-03-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                           | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |     985000 | PA      | $863352.50    | 0.21%             | 2046-08-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class C                                      | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233261 | PA      | $219063.23    | 0.05%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2004-W2, Class 4A                                                      | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2172 | PA      | $2140.95      | 0.00%             | 2044-02-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class B                | CUSIP: 46641JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     738920 | PA      | $717216.26    | 0.17%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA3, Class B2                                 | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     916000 | PA      | $1211697.90   | 0.29%             | 2050-07-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust              | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A                  | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     358383 | PA      | $366047.26    | 0.09%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1670000 | PA      | $51629.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C        | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1824000 | PA      | $1753116.26   | 0.42%             | 2048-10-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2023-10, Class AS                                                  | CUSIP: 69380CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | BM        |     507000 | PA      | $508246.50    | 0.12%             | 2038-09-16      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                      | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    1269387 | PA      | $1291125.31   | 0.31%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                                 | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    1330000 | PA      | $1470961.91   | 0.35%             | 2051-01-25      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                      | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24879159 | PA      | $4534465.64   | 1.09%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2004-W7, Class A2                                          | CUSIP: 31393YZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2115.37      | 0.00%             | 2034-03-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-8540.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G         | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1288000 | PA      | $74990.58     | 0.02%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     988000 | PA      | $-6276.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                     | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991000 | PA      | $558617.09    | 0.13%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL2, Class A1                                    | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641000 | PA      | $643410.54    | 0.15%             | 2028-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                     | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5455765 | PA      | $176060.80    | 0.04%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-105, Class FC                                                     | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2040467 | PA      | $2038051.05   | 0.49%             | 2055-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                       | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12460834 | PA      | $1032071.05   | 0.25%             | 2054-01-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $719142.51    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $514936.90    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C3, Class C                              | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1405000 | PA      | $1331017.06   | 0.32%             | 2050-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                    | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19363371 | PA      | $1129368.59   | 0.27%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2018-COR3, Class D                                      | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499000 | PA      | $193976.32    | 0.05%             | 2051-05-10      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                     | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10666709 | PA      | $263990.39    | 0.06%             | 2066-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA4, Class B2                                       | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $1205200.28   | 0.29%             | 2049-10-25      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1425000 | PA      | $6978.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                             | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892000 | PA      | $1206132.22   | 0.29%             | 2047-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| HTAP                                                   | HTAP Trust, Series 2024-1, Class A                                                  | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1030252 | PA      | $1034761.44   | 0.25%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                      | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1930362 | PA      | $112532.97    | 0.03%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1930256.18   | 0.46%             | 2040-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                      | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4667105 | PA      | $836680.81    | 0.20%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      31000 | PA      | $14682.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-20, Class SC                                                      | CUSIP: 38376VFR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356908 | PA      | $40213.99     | 0.01%             | 2040-02-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-158, Class AS                                                     | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4433939 | PA      | $459706.77    | 0.11%             | 2043-09-16      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass-Through Trust          | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A3             | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1665347 | PA      | $1633950.26   | 0.39%             | 2036-11-28      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                      | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1741904 | PA      | $1645223.62   | 0.39%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class D                     | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     522500 | PA      | $507839.28    | 0.12%             | 2058-09-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class C                                      | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409000 | PA      | $292668.13    | 0.07%             | 2047-06-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B                 | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2811287 | PA      | $3024966.78   | 0.73%             | 2028-10-25      | Floating      | 16.17%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                     | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30990981 | PA      | $2225353.86   | 0.53%             | 2052-12-20      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     360000 | PA      | $-162102.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H23, Class BI                                                     | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5122548 | PA      | $176046.59    | 0.04%             | 2067-11-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $1554282.90   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12604500 | PA      | $425023.11    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-10780.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                      | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1959391 | PA      | $213852.25    | 0.05%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                     | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5331643 | PA      | $469077.91    | 0.11%             | 2066-06-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                      | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37941415 | PA      | $2955886.61   | 0.71%             | 2054-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                                | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |     801988 | PA      | $803504.24    | 0.19%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                     | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10387193 | PA      | $494440.76    | 0.12%             | 2065-09-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  346454000 | PA      | $2724880.76   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-1, Class A                          | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1458000 | PA      | $1473957.81   | 0.35%             | 2026-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Note                                                                  | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     114000 | PA      | $111199.02    | 0.03%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-58, Class SP                                                      | CUSIP: 3136BQXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26901155 | PA      | $2472251.12   | 0.59%             | 2053-12-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                      | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7819611 | PA      | $994487.22    | 0.24%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                      | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     618222 | PA      | $597169.47    | 0.14%             | 2047-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                           | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    1353000 | PA      | $1287930.58   | 0.31%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                              | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132786 | PA      | $1030704.49   | 0.25%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2165000 | PA      | $25468.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                                | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8639046 | PA      | $1616571.91   | 0.39%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                        | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51833 | PA      | $1062.10      | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IG                                                     | CUSIP: 38383CJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12968282 | PA      | $2043602.79   | 0.49%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust, Series 2019-3, Class M1                                      | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $687334.13    | 0.16%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3814602.48   | 0.91%             | 2040-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                           | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1104500 | PA      | $1057232.92   | 0.25%             | 2045-03-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B15, Class XA                                 | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13517058 | PA      | $374711.77    | 0.09%             | 2072-12-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                   | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141000 | PA      | $775322.96    | 0.19%             | 2051-04-10      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D     | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123000 | PA      | $1005509.27   | 0.24%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                     | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6960329 | PA      | $870853.37    | 0.21%             | 2049-10-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                      | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65920 | PA      | $57017.76     | 0.01%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V10, Class XA                                 | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12778381 | PA      | $615042.63    | 0.15%             | 2057-09-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                     | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8533942 | PA      | $357555.09    | 0.09%             | 2067-02-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class DI                                                     | CUSIP: 38380QQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1864592 | PA      | $103732.86    | 0.02%             | 2070-11-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      69000 | PA      | $5063.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                   | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718000 | PA      | $594572.64    | 0.14%             | 2051-01-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                  | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4792803 | PA      | $2818496.39   | 0.68%             | 2047-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28000000 | PA      | $26806373.44  | 6.43%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                      | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2868417 | PA      | $481452.04    | 0.12%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D   | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933000 | PA      | $205726.50    | 0.05%             | 2046-04-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                       | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5657415 | PA      | $984256.76    | 0.24%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF             | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267982 | PA      | $1272632.21   | 0.31%             | 2054-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class C                                         | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1638000 | PA      | $766165.33    | 0.18%             | 2050-02-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2010-C1, Class D                               | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     742000 | PA      | $709621.35    | 0.17%             | 2043-08-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2024-10, Class A                         | CUSIP: 85779PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1507969.35   | 0.36%             | 2025-10-27      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   19064700 | PA      | $201636.01    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN3, Class M2 | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2289000 | PA      | $2366249.63   | 0.57%             | 2051-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3117, Class AF                                                        | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9880 | PA      | $8633.72      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                       | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    4520000 | PA      | $5597109.67   | 1.34%             | 2049-01-25      | Floating      | 15.17%                | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                   | Cross Mortgage Trust, Series 2024-H1, Class A1                                      | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1783925 | PA      | $1796015.23   | 0.43%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $355864.46    | 0.09%             | 2040-01-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9824597.20   | 2.36%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                        | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100813 | PA      | $117356.19    | 0.03%             | 2037-04-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class D                                      | CUSIP: 12591QAD4<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     757000 | PA      | $169533.56    | 0.04%             | 2047-08-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W14, Class 2A                                         | CUSIP: 31393E6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5594 | PA      | $5503.65      | 0.00%             | 2043-01-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                         | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826000 | PA      | $549491.87    | 0.13%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     348000 | PA      | $44376.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Putnam Mortgage Securities Fund

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer