# EDGAR Filing Document

**Accession Number:** 0000893226
**File Stem:** 0001752724-23-033178
**Filing Date:** 2023-2
**Character Count:** 143299
**Document Hash:** 11c00531bf3d854a9ff3f85efaa2b4b7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-033178.hdr.sgml**: 20230222

**ACCESSION NUMBER**: 0001752724-23-033178

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230222

**DATE AS OF CHANGE**: 20230222

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN STRATEGIC MORTGAGE PORTFOLIO
- **CENTRAL INDEX KEY:** 0000893226
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07288
- **FILM NUMBER:** 23651847

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

## Series and Classes Contracts Data

### FRANKLIN STRATEGIC MORTGAGE PORTFOLIO (Series ID: S000006875)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000018610 | Class A1      | FSMIX           |
| C000112386 | Class A       | FSMFX           |
| C000112387 | Class C       |  |
| C000112388 | Advisor Class | FSMZX           |
| C000194406 | Class R6      | FSMQX           |

## Nport-Ex

## Schedule of Investments
(unaudited)

| Franklin Strategic Mortgage Portfolio | 2 |
| --- | --- |
| Notes to Schedule of Investments | 8 |

FRANKLIN STRATEGIC MORTGAGE PORTFOLIO

Schedule of Investments (unaudited), June 30, 2022

| Net FDIC Incurred | May Lose Value | No Bank Guarantee |
| --- | --- | --- |

207-02/01

1

Principal
Amount
Value

**Corporate Bonds 0.2%**

**Equity Real Estate Investment Trusts (REITs) 0.2%**

American Airlines & Real L.P. Senior Bond, 0.25%, 0.0125% ... $195,935 ... $82,540

**Insurance 0.0%**

Wilkes Assurance Corp., Sub. Bond, 1.64%, 0.1%, Perpetual ... 237 ... 202

2 | Quarterly Schedule of Investments | First Series in Schedule of Investments

PENALIAL STRATEGIC MORTGAGE PORTFOLIO
SCHEDULE OF INVESTMENTS (2004/2015/2)

| Total Corporate Bonds (Cost $89,921) | Principal | 86,978,000 |
| --- | --- | --- |
|  | Amount |  |
| Accumulated Short-term Debt |  |  |
| Commercial Mortgage-Backed Securities (continued) |  |  |
| Debtors' Equity (2004/2015) |  |  |
| 2004-2015, 2016-2017, 2018-2019, 2020-2021, 2022-2023, 2024-2025, 2026-2027 | 100,000 | 100,000 |
| Total Commercial Mortgage-Backed Securities (Cost $1,846,922) | 100,000 | 1,740,000 |
| 2020-2, 2021-2022, 2023-2024, 2025-2026, 2027-2028 | 100,000 | 97,000 |

See Notes to Schedule of Investments | Quarterly Schedule of Investments | 3

PANGALDI STRATEGIC MORTGAGE PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)

| Management Securities 76.1% | Proposed | 80.0% |
| --- | --- | --- |
| Foreign Stock Loan 40% per Share (PNG) (Fiscal Year 2019) | 4,000,000 | 2,000,000 |
| Management Securities (continued) | 11,000,000 | 11,000,000 |
| Total (1) Total (2) Total (3) Total (4) Total (5) Total (6) Total (7) Total (8) Total (9) Total (10) Total (11) Total (12) Total (13) Total (14) Total (15) Total (16) Total (17) Total (18) Total (19) Total (20) Total (21) Total (22) Total (23) Total (24) Total (25) Total (26) Total (27) Total (28) Total (29) Total (30) Total (31) Total (32) Total (33) Total (34) Total (35) Total (36) Total (37) Total (38) Total (39) Total (40) Total (41) Total (42) Total (43) Total (44) Total (45) Total (46) Total (47) Total (48) Total (49) Total (50) Total (51) Total (52) Total (53) Total (54) Total (55) Total (56) Total (57) Total (58) Total (59) Total (60) Total (61) Total (62) Total (63) Total (64) Total (65) Total (66) Total (67) Total (68) Total (69) Total (70) Total (71) Total (72) Total (73) Total (74) Total (75) Total (76) Total (77) Total (78) Total (79) Total (80) Total (81) Total (82) Total (83) Total (84) Total (85) Total (86) Total (87) Total (88) Total (89) Total (90) Total (91) Total (92) Total (93) Total (94) Total (95) Total (96) Total (97) Total (98) Total (99) Total (100) | 144,000,000 | 131,000,000 |
| Total (1) Total (2) Total (3) Total (4) Total (5) Total (6) Total (7) Total (8) Total (9) Total (10) Total (11) Total (12) Total (13) Total (14) Total (15) Total (16) Total (17) Total (18) Total (19) Total (20) Total (21) Total (22) Total (23) Total (24) Total (25) Total (26) Total (27) Total (28) Total (29) Total (30) Total (31) Total (32) Total (33) Total (34) Total (35) Total (36) Total (37) Total (38) Total (39) Total (40) Total (41) Total (42) Total (43) Total (44) Total (45) Total (46) Total (47) Total (48) Total (49) Total (50) Total (51) Total (52) Total (53) Total (54) Total (55) Total (56) Total (57) Total (58) Total (59) Total (60) Total (61) Total (62) Total (63) Total (64) Total (65) Total (66) Total (67) Total (68) Total (69) Total (70) Total (71) Total (72) Total (73) Total (74) Total (75) Total (76) Total (77) Total (78) Total (79) Total (80) Total (81) Total (82) Total (83) Total (84) Total (85) Total (86) Total (87) Total (88) Total (89) Total (90) Total (91) Total (92) Total (93) Total (94) Total (95) Total (96) Total (97) Total (98) Total (99) Total (100) | 144,000,000 | 131,000,000 |
| Total (1) Total (2) Total (3) Total (4) Total (5) Total (6) Total (7) Total (8) Total (9) Total (10) Total (11) Total (12) Total (13) Total (14) Total (15) Total (16) Total (17) Total (18) Total (19) Total (20) Total (21) Total (22) Total (23) Total (24) Total (25) Total (26) Total (27) Total (28) Total (29) Total (30) Total (31) Total (32) Total (33) Total (34) Total (35) Total (36) Total (37) Total (38) Total (39) Total (40) Total (41) Total (42) Total (43) Total (44) Total (45) Total (46) Total (47) Total (48) Total (49) Total (50) Total (51) Total (52) Total (53) Total (54) Total (55) Total (56) Total (57) Total (58) Total (59) Total (60) Total (61) Total (62) Total (63) Total (64) Total (65) Total (66) Total (67) Total (68) Total (69) Total (70) Total (71) Total (72) Total (73) Total (74) Total (75) Total (76) Total (77) Total (78) Total (79) Total (80) Total (81) Total (82) Total (83) Total (84) Total (85) Total (86) Total (87) Total (88) Total (89) Total (90) Total (91) Total (92) Total (93) Total (94) Total (95) Total (96) Total (97) Total (98) Total (99) Total (100) | 144,000,000 | 131,000,000 |

6 Quarterly Schedule of Investments See Notes to Schedule of Investments

PENALIA STRATEGIC SHORTSAGE PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)

| Total (in thousands of dollars) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| --- | --- | --- |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| Net (in thousands of dollars) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| Net (in thousands of dollars) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |
| FINAL (1,000,000) (in thousands of dollars) | 1,000,000 | 1,000,000 |

Total (in thousands of dollars) (in thousands of dollars)

See Notes to Schedule of Investments | Quarterly Schedule of Investments | 5

PANGALIKI STRATEGIC MORTGAGE PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)

| FYI AND CASH NUMBER | Proposed | 2018 |
| --- | --- | --- |
| Prepayment of the Stockholders' Equity (PMI) (DUMA) Fiscal Rate 6.2% | 1,000,000 | 1,000,000 |
| Prepayment of the Stockholders' Equity (PMI) (DUMA) Fiscal Rate 6.2% | 1,000,000 | 1,000,000 |
| Prepayment of the Stockholders' Equity (PMI) (DUMA) Fiscal Rate 6.2% | 1,000,000 | 1,000,000 |
| Prepayment of the Stockholders' Equity (PMI) (DUMA) Fiscal Rate 6.2% | 1,000,000 | 1,000,000 |

9 | Quarterly Schedule of Investments | See Notes to Schedule of Investments

FRANKLIN STRATEGIC SHORTSAGE PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)

At December 31, 2022, the Fund had the following futures contracts outstanding:
---

|---|---|---|---|
| 1,000,000,000 | 1,000,000,000 | 1,000,000,000 |
| 1,000,000,000 | 1,000,000,000 | 1,000,000,000 |
| 1,000,000,000 | 1,000,000,000 | 1,000,000,000 |
| 1,000,000,000 | 1,000,000,000 | 1,000,000,000 |
| 1,000,000,000 |

See Notes to Schedule of Investments | Quarterly Schedule of Investments | 7

PANALRI STAPIDEE MORTONIE PORTFOLIO

# Notes to Schedule of Investments (unaudited)

| 1. Organization |  |  |
| --- | --- | --- |
| 1. Organization | 30,043 | 30,147 |
| 2. Organization | 30,043 | 30,147 |
| 3. Organization | 30,043 | 30,147 |
| 4. Organization | 30,043 | 30,147 |
| 5. Organization | 30,043 | 30,147 |
| 6. Organization | 30,043 | 30,147 |
| 7. Organization | 30,043 | 30,147 |
| 8. Organization | 30,043 | 30,147 |
| 9. Organization | 30,043 | 30,147 |
| 10. Organization | 30,043 | 30,147 |
| 11. Organization | 30,043 | 30,147 |
| 12. Organization | 30,043 | 30,147 |
| 13. Organization | 30,043 | 30,147 |
| 14. Organization | 30,043 | 30,147 |
| 15. Organization | 30,043 | 30,147 |
| 16. Organization | 30,043 | 30,147 |
| 17. Organization | 30,043 | 30,147 |
| 18. Organization | 30,043 | 30,147 |
| 19. Organization | 30,043 | 30,147 |
| 20. Organization | 30,043 | 30,147 |

The Fund's Investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to

9 Quarterly Schedule of Investments

FRANKLIN STRATEGIC SHORTSAGE PORTFOLIO
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)

3. Investments in Affiliated Management Investment Companies (continued) 22,000 22,000
Settlements in Affiliated Management Investment Companies (continued) 22,000 22,000
Settlements in Affiliated Management Investment Companies (continued) 22,000 22,000
Settlements in Affiliated Management Investment Companies (continued) 22,000 22,000
Settlements in Affiliated Management Investment Companies (continued) 22,000 22,000
Settlements in Affiliated Management Investment Companies (continued) 22,000 22,000

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Quarterly Schedule of Investments 9

MANAGER SYMPOSIUM, MORTGAGE PORTFOLIO

NOTES TO SCHEDULE OF INVESTMENTS (UNADJUSTED)

Additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

annual shareholder report.

30 Quarterly Schedule of Investments

revised, especially for the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s, the 1980s

2014-2015, 2016, 2017, 2018, 2019, 2020, 2021, 2022, 2023, 2024, 2025, 2026, 2027, 2028, 2029, 2030, 2031, 2032, 2033, 2034, 2035, 2036, 2037, 2038, 2039, 2040, 2041, 2042, 2043, 2044, 2045, 2046, 2047, 2048, 2049, 2050, 2051, 2052, 2053, 2054, 2055, 2056, 2057, 2058, 2059, 2060, 2061, 2062, 2063, 2064, 2065, 2066, 2067, 2068, 2069, 2070, 2071, 2072, 2073, 2074, 2075, 2076, 2077, 2078, 2079, 2080, 2081, 2082, 2083, 2084, 2085, 2086, 2087, 2088, 2089, 2090, 2091, 2092, 2093, 2094, 2095, 2096, 2097, 2098, 2099, 2100

3. International Fund Investment Companies: Investment Companies' assets and liabilities carried at fair value, is as follows:

The Fund invests in one or more affiliated management investment companies. As defined in the 1940 Act of the Investment
Co-operative Act of 1940, the Fund is deemed to be a "Controlled Affiliate" of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated
fund. The Funding Works, or was not power to exercise control over management or policies of such fund. The Fund does not
invest all. The Fund is not a controlling influence over the management or policies. During the period ended June 30,
2022, the Fund is a net assets in affiliated management investment companies as defined in the 1940 Act of the Investment
Co-operative Act of 1940. The Fund is a net assets in affiliated management investment companies as defined in the 1940 Act of the Investment
Co-operative Act of 1940. The Fund is a net assets in affiliated management investment companies as defined in the 1940 Act of the Investment
Co-operative Act of 1940. The Fund is a net assets in affiliated management investment companies as defined in the 1940 Act of the Investment
Co-operative Act of 1940.

| Commercial Mortgage-Backed Securities | - | 1,739,838 | - | 1,739,838 |
| --- | --- | --- | --- | --- |
| Mortgage-Backed Securities | - | 37,011,975 | - | 37,011,975 |
| Residential Mortgage-Backed Securities | - | 4,670,009 | - | 4,670,009 |
| Short Term Investments | 1,190,612 | - | - | 1,190,612 |
| Total Investments in Securities | $1,190,612 | $35,216,610 | $- | $38,387,222 |
| Other Financial Instruments |  |  |  |  |
| Foreign contracts | $15,433 | $- | $- | $15,433 |
| Total Other Financial Instruments | $15,433 | $- | $- | $15,433 |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Strategic Mortgage Portfolio

- **b. Investment Company Act file number:** 811-07288

- **c. CIK number of Registrant:** 0000893226

- **d. LEI of Registrant:** JHIR876BDWO4Q68OQX18

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

- **a. Name of Series:** Franklin Strategic Mortgage Portfolio

- **b. EDGAR series identifier (if any):** S000006875

- **c. LEI of Series:** JHIR876BDWO4Q68OQX18

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $36618658.56

**Total Liabilities:** $392094.14

**Net Assets:** $36226564.42

**Cash Not Reported:** $838650.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4.83000000 | **1-Year:** -80.74000000 | **5-Year:** -372.95000000 | **10-Year:** -3352.94000000 | **30-Year:** -13822.82000000

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

- **3-Month:** 0.00000000 | **1-Year:** -67.92000000 | **5-Year:** -397.39000000 | **10-Year:** -2190.39000000 | **30-Year:** -567.39000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000112387 | -1.63%               | 3.62%                | -0.68%               |
| Class ID C000112386 | -1.47%               | 3.65%                | -0.65%               |
| Class ID C000112388 | -1.58%               | 3.68%                | -0.50%               |
| Class ID C000018610 | -1.58%               | 3.68%                | -0.50%               |
| Class ID C000194406 | -1.57%               | 3.68%                | -0.62%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-49250.64               | $-506169.72                                |
| Month 2  | $-201756.00              | $1306529.40                                |
| Month 3  | $1062.14                 | $-257323.62                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS - Agency Fixed Rate MBS  Index

- **Index Identifier:** BM2707

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BX 2021-LBA3 Mortgage Trust                            | BX Mortgage Trust, Series 2021-PAC, Class A                                | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192278.50    | 0.53%             | 2036-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2017-2, Class A1                         | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7513 | PA      | $7425.78      | 0.02%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36206F6A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2478 | PA      | $2486.06      | 0.01%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                            | CUSIP: 36225BMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       392 | PA      | $391.98       | 0.00%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12027 | PA      | $11811.83     | 0.03%             | 2034-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403CH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19607 | PA      | $19802.34     | 0.05%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                          | Mill City Mortgage Loan Trust, Series 2018-4, Class A1B                    | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85903 | PA      | $81759.57     | 0.23%             | 2066-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31335GMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29 | PA      | $29.48        | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371E2V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67 | PA      | $67.21        | 0.00%             | 2025-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31402XD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32592 | PA      | $32727.13     | 0.09%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2017-1, Class A1                         | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28599 | PA      | $28163.26     | 0.08%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31406RDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55551 | PA      | $56598.72     | 0.16%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36204EFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       279 | PA      | $279.27       | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                            | CUSIP: 36225BGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1231 | PA      | $1284.01      | 0.00%             | 2029-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384VYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2323 | PA      | $2383.03      | 0.01%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3 | CUSIP: 3137G0KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    104911 | PA      | $108557.01    | 0.30%             | 2028-11-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31402X4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5197 | PA      | $5215.63      | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31411UE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3743 | PA      | $3656.00      | 0.01%             | 2037-04-01      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                                             | PSMC Trust, Series 2021-3, Class A3                                        | CUSIP: 69376DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236966 | PA      | $204853.00    | 0.57%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 313615TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.58        | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -12 | NC      | $13296.06     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2018-2, Class A1                         | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55587 | PA      | $53262.74     | 0.15%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132FCA21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38070 | PA      | $39006.04     | 0.11%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36203LBU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       255 | PA      | $255.29       | 0.00%             | 2023-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent LP                               | American Homes 4 Rent LP                                                   | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92639.85     | 0.26%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                          | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95172 | PA      | $82422.77     | 0.23%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283553 | PA      | $231205.53    | 0.64%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36207MRX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       238 | PA      | $238.11       | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31406CGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20021 | PA      | $20334.74     | 0.06%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1238648 | PA      | $1039455.32   | 2.87%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31385Y5K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $73.60        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | J.P. Morgan Mortgage Trust, Series 2013-3, Class A3                        | CUSIP: 46640MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52007 | PA      | $47237.70     | 0.13%             | 2043-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31405PNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196494 | PA      | $203272.96    | 0.56%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1024810 | PA      | $869029.25    | 2.40%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31297PCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3181 | PA      | $3243.55      | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2019-INV1, Class A1                                      | CUSIP: 12555DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12933 | PA      | $12151.41     | 0.03%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31378PNC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1246 | PA      | $1278.52      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2533145 | PA      | $2065611.05   | 5.70%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-DNA1, Class M2                        | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |     46884 | PA      | $46755.88     | 0.13%             | 2050-01-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20265 | PA      | $20698.26     | 0.06%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CDH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.41        | 0.00%             | 2024-11-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-3, Class B                     | CUSIP: 43730XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56078 | PA      | $46988.94     | 0.13%             | 2041-01-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                            | American Homes 4 Rent Trust, Series 2015-SFR1, Class A                     | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138024 | PA      | $131528.55    | 0.36%             | 2052-04-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2021-6, Class A4                        | CUSIP: 46653PAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261696 | PA      | $225579.91    | 0.62%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384WGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9775 | PA      | $10033.27     | 0.03%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403FHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33040 | PA      | $33246.50     | 0.09%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2021-PJ6, Class A8             | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208293 | PA      | $179546.74    | 0.50%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31376B7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $72.42        | 0.00%             | 2026-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C01, Class 1M2             | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    123923 | PA      | $129466.73    | 0.36%             | 2028-08-25      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208HQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       972 | PA      | $974.31       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2018-1, Class A1                         | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21108 | PA      | $20420.96     | 0.06%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3133KHXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793161 | PA      | $708190.28    | 1.95%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $136.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140X5UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204268 | PA      | $188369.98    | 0.52%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15958 | PA      | $16689.74     | 0.05%             | 2030-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384V2A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1340 | PA      | $1374.84      | 0.00%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DBJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2541 | PA      | $2573.30      | 0.01%             | 2029-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31402XQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13644 | PA      | $13731.61     | 0.04%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2  | CUSIP: 3137G0AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     87412 | PA      | $88480.53     | 0.24%             | 2023-11-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31335GFQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $47.49        | 0.00%             | 2024-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $36.07        | 0.00%             | 2024-09-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2254 | PA      | $2255.94      | 0.01%             | 2037-04-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31402DJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100 | PA      | $99.99        | 0.00%             | 2031-11-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31403LLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3698 | PA      | $3633.81      | 0.01%             | 2033-09-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390S7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22849 | PA      | $23437.93     | 0.06%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Associates LLP                       | Provident Funding Associates LLP, Series 2021-J1, Class A3                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    130840 | PA      | $112782.98    | 0.31%             | 2049-02-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31406XQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12802 | PA      | $13009.34     | 0.04%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403HK66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6130 | PA      | $6154.47      | 0.02%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                     | GS Mortgage Securities Corp. Trust, Series 2022-SHIP, Class A              | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98673.24     | 0.27%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390TRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38974 | PA      | $40054.39     | 0.11%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390PGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8131 | PA      | $8498.98      | 0.02%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371FAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $72.64        | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                     | Cold Storage Trust, Series 2020-ICE5, Class A                              | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324387 | PA      | $315829.12    | 0.87%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2017-4, Class A1                         | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88745 | PA      | $84569.51     | 0.23%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-1, Class A1                         | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118859 | PA      | $112380.96    | 0.31%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31371LK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3814 | PA      | $3721.61      | 0.01%             | 2033-12-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202BSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292 | PA      | $291.43       | 0.00%             | 2023-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36206HFY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       141 | PA      | $141.14       | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31402VKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27193 | PA      | $27852.62     | 0.08%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2005-1, Class 6A           | CUSIP: 02660TDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22868 | PA      | $22530.63     | 0.06%             | 2045-06-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132FCBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97950 | PA      | $100034.15    | 0.28%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403GX31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2519 | PA      | $2528.40      | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384BXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $120.38       | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390Q7M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6880 | PA      | $7130.79      | 0.02%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31376FL47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18105 | PA      | $17857.98     | 0.05%             | 2026-09-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493461 | PA      | $486921.16    | 1.34%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                                              | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2            | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17389 | PA      | $17349.32     | 0.05%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882848 | PA      | $815344.65    | 2.25%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31368JDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $19.54        | 0.00%             | 2024-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140XDXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199278 | PA      | $184845.32    | 0.51%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       725 | PA      | $728.90       | 0.00%             | 2034-06-01      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2021-J3, Class A4                                        | CUSIP: 67448XAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82704 | PA      | $71393.36     | 0.20%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254256 | PA      | $227026.80    | 0.63%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1322 | PA      | $1370.44      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202BVD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1040 | PA      | $1039.54      | 0.00%             | 2023-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371E3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $48.45        | 0.00%             | 2025-01-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390LGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3717 | PA      | $3869.10      | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                  | Conseco Finance Securitizations Corp., Series 2002-2, Class M1             | CUSIP: 20846QJY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63428 | PA      | $63340.48     | 0.17%             | 2033-03-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49 | PA      | $51.42        | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                          | Citigroup Mortgage Loan Trust, Series 2013-A, Class A                      | CUSIP: 17320XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5062 | PA      | $4842.46      | 0.01%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18728 | PA      | $19002.47     | 0.05%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31368HKL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1792 | PA      | $1838.62      | 0.01%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2021-13, Class A4                       | CUSIP: 46592XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178787 | PA      | $154326.89    | 0.43%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426328 | PA      | $348422.74    | 0.96%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2017-1, Class A2                         | CUSIP: 89173FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $158620.29    | 0.44%             | 2056-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3 | CUSIP: 3137G0JU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     90774 | PA      | $93462.53     | 0.26%             | 2028-10-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2014-C01, Class M2              | CUSIP: 30711XAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     77734 | PA      | $79823.31     | 0.22%             | 2024-01-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DVK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72177 | PA      | $68933.53     | 0.19%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31296NY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6219 | PA      | $6241.14      | 0.02%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384WAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1316 | PA      | $1345.11      | 0.00%             | 2030-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29224 | PA      | $29849.71     | 0.08%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31297KHX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1763 | PA      | $1761.53      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1205511 | PA      | $983223.78    | 2.71%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1356 | PA      | $1338.80      | 0.00%             | 2036-07-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31405X3A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47383 | PA      | $47658.19     | 0.13%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1202855 | PA      | $1020317.65   | 2.82%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR2, Class A                            | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148332 | PA      | $131553.76    | 0.36%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1201379 | PA      | $1019066.30   | 2.81%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1168 | PA      | $1167.54      | 0.00%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16502 | PA      | $16934.71     | 0.05%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846430 | PA      | $719332.72    | 1.99%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C03, Class 1M2             | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    134100 | PA      | $138747.52    | 0.38%             | 2028-10-25      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2019-XL, Class A                      | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127952 | PA      | $126461.57    | 0.35%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2022-LP2, Class A                     | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83555 | PA      | $80655.86     | 0.22%             | 2039-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140QEL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 312940AH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178620 | PA      | $177438.38    | 0.49%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36206YMY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $359.59       | 0.00%             | 2026-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31389YAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6102 | PA      | $6269.81      | 0.02%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31375BVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5491 | PA      | $5397.77      | 0.01%             | 2025-08-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31335GPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       894 | PA      | $919.46       | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140X8AN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340264 | PA      | $316622.51    | 0.87%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208WBT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       670 | PA      | $669.88       | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36203LS52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       234 | PA      | $240.65       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31388EDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2830 | PA      | $2914.98      | 0.01%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31379MGB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1764 | PA      | $1743.17      | 0.00%             | 2028-01-01      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DKL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6254 | PA      | $6551.17      | 0.02%             | 2030-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36201APX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $450.82       | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31374FXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $195.87       | 0.00%             | 2025-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2019-1, Class A1C                  | CUSIP: 10568GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16008 | PA      | $15610.53     | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2018-1, Class A2                                         | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30843 | PA      | $29146.72     | 0.08%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M3  | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    130532 | PA      | $132117.26    | 0.36%             | 2024-04-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140QBSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890899 | PA      | $819567.32    | 2.26%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31379MD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20097 | PA      | $19847.63     | 0.05%             | 2038-07-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA4, Class M2                              | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47285 | PA      | $47294.27     | 0.13%             | 2049-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36201SG60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37251 | PA      | $38336.03     | 0.11%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86456 | PA      | $88519.85     | 0.24%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust, Series 2021-4, Class A5                           | CUSIP: 33852FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170772 | PA      | $147459.83    | 0.41%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10222 | PA      | $10520.00     | 0.03%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                    | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96471.25     | 0.27%             | 2036-09-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31411S6L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5187 | PA      | $5157.66      | 0.01%             | 2037-04-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31375LDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2837 | PA      | $2796.66      | 0.01%             | 2025-12-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31371LJJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90388 | PA      | $88531.90     | 0.24%             | 2033-11-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390PVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11910 | PA      | $12218.79     | 0.03%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31296MPS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14852 | PA      | $15220.89     | 0.04%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31283HAZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $317.26       | 0.00%             | 2028-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2468 | PA      | $2533.02      | 0.01%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140JQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254664 | PA      | $227803.56    | 0.63%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31387N2M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14087 | PA      | $14644.23     | 0.04%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class M1A                       | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248319 | PA      | $242072.55    | 0.67%             | 2042-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403GMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14236 | PA      | $14327.86     | 0.04%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36209KZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6308 | PA      | $6334.78      | 0.02%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31371LPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14722 | PA      | $14397.68     | 0.04%             | 2034-04-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2022-IND, Class A                                         | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158710 | PA      | $155627.02    | 0.43%             | 2037-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2016-5, Class A1                         | CUSIP: 89173CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39733 | PA      | $39129.46     | 0.11%             | 2056-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                            | CUSIP: 36225BMR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       665 | PA      | $676.84       | 0.00%             | 2026-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                  | CWABS, Inc., Series 2004-1, Class M1                                       | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11072 | PA      | $10800.33     | 0.03%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31405RNE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9035 | PA      | $9205.93      | 0.03%             | 2034-08-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31410QGH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1870 | PA      | $1876.28      | 0.01%             | 2036-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2021-BN33, Class A5                                           | CUSIP: 06541CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $74575.64     | 0.21%             | 2064-05-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31335GQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2378 | PA      | $2446.46      | 0.01%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31298CB57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11212 | PA      | $11512.16     | 0.03%             | 2030-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31297X5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61514 | PA      | $61946.38     | 0.17%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2007-1, Class NF                                              | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29855 | PA      | $29457.51     | 0.08%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403HB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19875 | PA      | $20022.37     | 0.06%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DBCG Mortgage Trust                                    | DBCG Mortgage Trust, Series 2017-BBG, Class A                              | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $235948.22    | 0.65%             | 2034-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M2             | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     69874 | PA      | $71737.65     | 0.20%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36224DT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       413 | PA      | $412.21       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2019-INV2, Class A3                                      | CUSIP: 12554TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27859 | PA      | $26241.01     | 0.07%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36209YUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       981 | PA      | $1009.79      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36205A6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.29        | 0.00%             | 2024-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2021-BN34, Class A5                                           | CUSIP: 06541JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $101640.76    | 0.28%             | 2063-06-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140JAF37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1402784 | PA      | $1250246.35   | 3.45%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M2             | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     66422 | PA      | $67617.63     | 0.19%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24102 | PA      | $24662.30     | 0.07%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31378RVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1460 | PA      | $1448.11      | 0.00%             | 2024-12-01      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2019-INV2, Class A11                                     | CUSIP: 12554TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44220 | PA      | $43271.63     | 0.12%             | 2049-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1            | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $228635.41    | 0.63%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31377EG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26263 | PA      | $25680.75     | 0.07%             | 2027-04-01      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371E4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $167.99       | 0.00%             | 2025-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                            | CUSIP: 36225BQQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1082 | PA      | $1093.98      | 0.00%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp.                                  | Ambac Assurance Corp.                                                      | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       237 | PA      | $331.85       | 0.00%             | 2171-06-07      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31368H4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1332 | PA      | $1314.99      | 0.00%             | 2024-05-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2014-C02, Class 2M2             | CUSIP: 30711XAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     62210 | PA      | $62170.95     | 0.17%             | 2024-05-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390WTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10388 | PA      | $10442.38     | 0.03%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140X5CF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1757181 | PA      | $1682609.57   | 4.64%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31380GV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2140 | PA      | $2194.75      | 0.01%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31297B4N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3135 | PA      | $3152.46      | 0.01%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31407SDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101712 | PA      | $103782.48    | 0.29%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31296LGW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3292 | PA      | $3289.61      | 0.01%             | 2030-09-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31384WNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6580 | PA      | $6566.12      | 0.02%             | 2031-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                              | Commercial Mortgage Trust, Series 2006-GG7, Class AJ                       | CUSIP: 20173MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39434 | PA      | $26077.75     | 0.07%             | 2038-07-10      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108996 | PA      | $97408.92     | 0.27%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186022 | PA      | $1006766.86   | 2.78%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132XCSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314811 | PA      | $311158.98    | 0.86%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31376ZU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1031 | PA      | $1011.21      | 0.00%             | 2027-05-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 3140FXD82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521648 | PA      | $477253.82    | 1.32%             | 2056-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390JEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4043 | PA      | $4147.52      | 0.01%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113033 | PA      | $997397.03    | 2.75%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $48.18        | 0.00%             | 2025-03-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36206UM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56 | PA      | $56.11        | 0.00%             | 2026-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31402X5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20627 | PA      | $21222.91     | 0.06%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31387AHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15638 | PA      | $15606.54     | 0.04%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bonds                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $-27911.93    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31373BEE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $143.17       | 0.00%             | 2023-03-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2109164 | PA      | $1721098.10   | 4.75%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31378B2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11695 | PA      | $11520.82     | 0.03%             | 2027-07-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2745 | PA      | $2743.94      | 0.01%             | 2026-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208FK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1320 | PA      | $1338.86      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2021-J1, Class A4                                        | CUSIP: 67113XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163113 | PA      | $140602.27    | 0.39%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1653 | PA      | $1629.70      | 0.00%             | 2029-08-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371G3U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11558 | PA      | $11855.88     | 0.03%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                                              | CUSIP: 3140X42Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230319 | PA      | $220252.09    | 0.61%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31411UXU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4570 | PA      | $4509.60      | 0.01%             | 2037-04-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1A                       | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66867 | PA      | $66563.64     | 0.18%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Anthracite Ltd.                                        | Anthracite Ltd., Series 2004-HY1A, Class E                                 | CUSIP: 03702YAE0<br>LEI: DWJWQEIA5WIH1V5Q2F36 | Long             | ABS-CBDO         | CORP              | KY        |   1598000 | PA      | $23.97        | 0.00%             | 2041-06-20      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4931 | PA      | $5027.59      | 0.01%             | 2032-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31403GJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23730 | PA      | $23829.09     | 0.07%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                        | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390HDY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3227 | PA      | $3310.15      | 0.01%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust, Series 2021-1, Class A1                            | CUSIP: 81747KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163369 | PA      | $132127.13    | 0.36%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31373GUB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3272 | PA      | $3235.24      | 0.01%             | 2024-09-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                                              | CUSIP: 3140XCHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131999 | PA      | $122284.04    | 0.34%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2022-CLS, Class A                                         | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $196209.92    | 0.54%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31368HUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1572 | PA      | $1557.07      | 0.00%             | 2024-01-01      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3099 | PA      | $3171.32      | 0.01%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       845 | PA      | $854.84       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140QEZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479140 | PA      | $426605.20    | 1.18%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        24 | NC      | $-6144.77     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 15 Year                                                        | CUSIP: 3132D6C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480962 | PA      | $469853.40    | 1.30%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                             | CSMC Trust, Series 2014-OAK1, Class 1A1                                    | CUSIP: 12649GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26371 | PA      | $24359.02     | 0.07%             | 2029-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                            | CUSIP: 36225BL89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35 | PA      | $34.88        | 0.00%             | 2025-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140X66E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31287QJ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47637 | PA      | $47893.77     | 0.13%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140QBMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972110 | PA      | $897227.17    | 2.48%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31296P5J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1010 | PA      | $1031.80      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208VXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       458 | PA      | $459.33       | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31390SXK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8119 | PA      | $8328.47      | 0.02%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31388PGC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32426 | PA      | $31743.11     | 0.09%             | 2030-05-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31374WF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $58.26        | 0.00%             | 2025-07-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31388BYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10133 | PA      | $9931.29      | 0.03%             | 2028-04-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2019-2, Class A3                   | CUSIP: 10568LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51843 | PA      | $48221.75     | 0.13%             | 2044-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31383LP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4903 | PA      | $5029.30      | 0.01%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413500 | PA      | $408082.06    | 1.13%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class B                     | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165279 | PA      | $141505.21    | 0.39%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36209ECA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1332 | PA      | $1334.10      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27 | PA      | $27.53        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31404MHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37654 | PA      | $37748.95     | 0.10%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31376XFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1984 | PA      | $1958.09      | 0.01%             | 2025-07-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2            | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16741 | PA      | $16722.25     | 0.05%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36208RFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       295 | PA      | $294.65       | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                 | Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 1A            | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35505 | PA      | $33604.82     | 0.09%             | 2028-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 15 Year                                                        | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202858 | PA      | $185932.34    | 0.51%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13001 | PA      | $13247.67     | 0.04%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31376B6F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       410 | PA      | $407.33       | 0.00%             | 2024-06-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       385 | PA      | $399.27       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31371GZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3106 | PA      | $3218.34      | 0.01%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2021-15, Class A4                       | CUSIP: 46654TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52539 | PA      | $45288.03     | 0.13%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                                              | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000119 | PA      | $890686.51    | 2.46%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31381C6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30739 | PA      | $30208.61     | 0.08%             | 2027-05-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Institutional Fiduciary Trust - Money Market Portfolio | Institutional Fiduciary Trust - Money Market Portfolio                     | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |   1177756 | NS      | $1177755.77   | 3.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31384LWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9475 | PA      | $9719.48      | 0.03%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36207MRZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       363 | PA      | $363.61       | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2014-C03, Class 2M2             | CUSIP: 30711XAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     25449 | PA      | $25460.26     | 0.07%             | 2024-07-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2022-4, Class A1                          | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93616 | PA      | $89797.07     | 0.25%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                          | Mill City Mortgage Loan Trust, Series 2018-1, Class A1                     | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34870 | PA      | $33646.93     | 0.09%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36202DTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8252 | PA      | $8523.51      | 0.02%             | 2032-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                             | CUSIP: 36213R6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       337 | PA      | $347.33       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193251 | PA      | $1036770.74   | 2.86%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31404N4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18849 | PA      | $18899.71     | 0.05%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Virginia Housing Development Authority                 | Virginia Housing Development Authority, Series 2020-A, Class A             | CUSIP: 92812UQ84<br>LEI: 549300LW3QBOVLQBP895 | Long             | ABS-MBS          | CORP              | US        |     52768 | PA      | $47913.82     | 0.13%             | 2049-12-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 31407SQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13843 | PA      | $14066.31     | 0.04%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2017-5, Class A1                         | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15171 | PA      | $15021.50     | 0.04%             | 2057-02-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2013-C01, Class M2              | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     72698 | PA      | $73929.46     | 0.20%             | 2023-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2018-6, Class A1A                        | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35536 | PA      | $34585.08     | 0.10%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                              | CUSIP: 3140X83H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3128FUTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6392 | PA      | $6563.40      | 0.02%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust, Series 2021-6, Class A4                            | CUSIP: 81748YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221106 | PA      | $188167.96    | 0.52%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                          | Mill City Mortgage Loan Trust, Series 2018-2, Class A1                     | CUSIP: 59980MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36456 | PA      | $35795.33     | 0.10%             | 2058-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust, Series 2021-2, Class A6                           | CUSIP: 33852EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191063 | PA      | $164694.88    | 0.45%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        10 | NC      | $-10326.20    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Invitation Homes Trust                                 | Invitation Homes Trust, Series 2018-SFR4, Class A                          | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172011 | PA      | $170939.98    | 0.47%             | 2038-01-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2018-INV1, Class A4                                      | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17746 | PA      | $16641.38     | 0.05%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 15 Year                                                        | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1180905 | PA      | $1054612.24   | 2.91%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31371WP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4433 | PA      | $4397.66      | 0.01%             | 2023-12-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2022-1, Class A4                        | CUSIP: 46654WAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272746 | PA      | $235105.39    | 0.65%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                       | CUSIP: 31403YF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16290 | PA      | $15904.36     | 0.04%             | 2034-01-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Franklin Strategic Mortgage Portfolio

**Signature:** Ryan Wheeler

**Name of Signer:** Ryan Wheeler

**Title:** Assistant Treasurer