# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0002071691-26-012228
**Filing Date:** 2026-5
**Character Count:** 169381
**Document Hash:** 8b7200e28c593f6a106adc56d989b99f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-012228.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0002071691-26-012228

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671

**ORGANIZATION NAME:**
- **EIN:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 261024593

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Mortgage Securities Fund (Series ID: S000003871)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010837 | Class IA Shares |  |
| C000010838 | Class IB shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam VT Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000003871

- **c. LEI of Series:** BNJ2SUHEY4BD8C3LUN07

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $106642007.07

**Total Liabilities:** $81704206.71

**Net Assets:** $24937800.36

**Delayed Delivery Securities:** $76943355.51

**Cash Not Reported:** $14297.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -24.12000000 | **1-Year:** -133.07000000 | **5-Year:** -81.51000000 | **10-Year:** -375.97000000 | **30-Year:** -854.51000000

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

- **3-Month:** -19.56000000 | **1-Year:** 5535.19000000 | **5-Year:** -971.20000000 | **10-Year:** 6631.27000000 | **30-Year:** -4866.54000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010837 | 0.96%                | 2.38%                | -1.24%               |
| Class ID C000010838 | 0.97%                | 2.24%                | -1.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $112139.33               | $-54507.94                                 |
| Month 2  | $74797.10                | $559726.55                                 |
| Month 3  | $-9647.81                | $-873581.30                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    175700 | PA      | $19886.49     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-217.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                   | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494290 | PA      | $83614.66     | 0.34%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-30, Class IG                                                    | CUSIP: 38383F3Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863925 | PA      | $130259.90    | 0.52%             | 2052-02-20      | 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        |       -31 | NC      | $46940.39     | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D              | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $92863.51     | 0.37%             | 2046-08-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                     | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    431000 | PA      | $490885.90    | 1.97%             | 2048-09-25      | Floating      | 11.53%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36201JJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       163 | PA      | $166.65       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31371LFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1734 | PA      | $1821.94      | 0.01%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     35000 | PA      | $-1199.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $917367.83    | 3.68%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class AI                                                   | CUSIP: 38380QQG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1720119 | PA      | $109976.84    | 0.44%             | 2070-09-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                  | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |     51000 | PA      | $26646.99     | 0.11%             | 2059-01-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                          | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     19650 | PA      | $18836.19     | 0.08%             | 2057-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                         | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223105 | PA      | $218565.02    | 0.88%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83000 | PA      | $72355.25     | 0.29%             | 2058-09-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                   | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191390 | PA      | $225761.21    | 0.91%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     60000 | PA      | $1015.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C      | CUSIP: 61762XAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10161 | PA      | $9864.48      | 0.04%             | 2046-10-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                    | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362141 | PA      | $69570.99     | 0.28%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                    | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244820 | PA      | $22676.13     | 0.09%             | 2048-03-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    852404 | PA      | $125597.64    | 0.50%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36200WST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       328 | PA      | $332.22       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                   | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |     72837 | PA      | $71244.15     | 0.29%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                   | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488087 | PA      | $92980.66     | 0.37%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                   | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6131 | PA      | $58.54        | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221894 | PA      | $6087.14      | 0.02%             | 2067-04-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64494 | PA      | $64391.23     | 0.26%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                    | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96774 | PA      | $90878.63     | 0.36%             | 2046-08-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                   | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3056812 | PA      | $203242.22    | 0.81%             | 2053-07-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                     | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043320 | PA      | $151224.50    | 0.61%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $5970.43      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31402BXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32473 | PA      | $34117.71     | 0.14%             | 2033-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust          | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2AC2        | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47162 | PA      | $45443.84     | 0.18%             | 2045-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                      | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571704 | PA      | $114153.87    | 0.46%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR12, Class AM                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     70163 | PA      | $67302.70     | 0.27%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                            | BANK5 Trust, Series 2024-5YR10, Class XA                                          | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179149 | PA      | $42523.52     | 0.17%             | 2057-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                      | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6808 | PA      | $62.27        | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206797 | PA      | $36092.10     | 0.14%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1              | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $35456.44     | 0.14%             | 2040-01-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                              | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668290 | PA      | $115432.69    | 0.46%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254716 | PA      | $15386.15     | 0.06%             | 2066-09-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class C                  | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $47097.95     | 0.19%             | 2049-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-DC1, Class B                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $81532.02     | 0.33%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 31329HZ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2910 | PA      | $2974.23      | 0.01%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271687 | PA      | $13390.08     | 0.05%             | 2066-10-20      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                   | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42658 | PA      | $885.36       | 0.00%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C  | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22693 | PA      | $22029.58     | 0.09%             | 2047-12-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                     | J.P. Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1                     | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46504 | PA      | $40833.98     | 0.16%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2026-1, Class A1                                                 | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98049 | PA      | $97088.29     | 0.39%             | 2031-02-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class B                                     | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $41531.41     | 0.17%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                    | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157216 | PA      | $153397.21    | 0.62%             | 2053-05-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $860468.75    | 3.45%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C13, Class C                           | CUSIP: 90353KBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98000 | PA      | $90704.63     | 0.36%             | 2051-10-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W8, Class 3F2                                                   | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1145 | PA      | $1141.70      | 0.00%             | 2042-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $64899.11     | 0.26%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $10.14        | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1672294 | PA      | $126035.63    | 0.51%             | 2053-02-20      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class D                                       | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95933 | PA      | $5782.38      | 0.02%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                    | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183118 | PA      | $28757.39     | 0.12%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                   | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51000 | PA      | $48003.34     | 0.19%             | 2051-08-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -550000 | PA      | $-530882.02   | -2.13%            | 2056-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-12, Class NI                                                    | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617665 | PA      | $104443.47    | 0.42%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $943758.02    | 3.78%             | 2056-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D      | CUSIP: 61690VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67871 | PA      | $65228.60     | 0.26%             | 2048-10-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2026-NPL3, Class A1                                              | CUSIP: 69383QAA2<br>LEI: 254900YVPXC5UC5GP265 | Long             | ABS-O            | CORP              | US        |     99962 | PA      | $99217.32     | 0.40%             | 2056-02-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15879 | PA      | $15568.17     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-214, Class KI                                                   | CUSIP: 38385KS76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234703 | PA      | $49440.61     | 0.20%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $35917.29     | 0.14%             | 2042-01-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2025-NQM3, Class A1                                             | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91934 | PA      | $91901.14     | 0.37%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                    | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349010 | PA      | $51951.47     | 0.21%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA1, Class B2                                     | CUSIP: 35563MBE5<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-MBS          | CORP              | US        |    222000 | PA      | $263384.40    | 1.06%             | 2049-02-25      | Floating      | 16.03%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182609 | PA      | $10737.05     | 0.04%             | 2066-06-20      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1751794 | PA      | $111626.59    | 0.45%             | 2054-01-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                   | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59000 | PA      | $49947.94     | 0.20%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                   | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134828 | PA      | $5541.02      | 0.02%             | 2065-09-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class B                         | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $48514.30     | 0.19%             | 2057-10-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                             | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186223 | PA      | $23445.27     | 0.09%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144593 | PA      | $28265.30     | 0.11%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-111.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                   | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       874 | PA      | $889.14       | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                   | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275775 | PA      | $23814.79     | 0.10%             | 2067-01-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SF Abs Issuer LLC                                      | SF ABS Issuer LLC, Series 2025-1A, Class A2                                       | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $63737.88     | 0.26%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    175700 | PA      | $19371.32     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B      | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     68837 | PA      | $65442.69     | 0.26%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR6, Class C                                     | CUSIP: 12624XAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97406.14     | 0.39%             | 2046-03-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class C                                    | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108000 | PA      | $102083.62    | 0.41%             | 2047-05-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202EXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20390 | PA      | $21436.92     | 0.09%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                   | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5237 | PA      | $59.66        | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    143000 | PA      | $8092.20      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                           | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136000 | PA      | $90952.91     | 0.36%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1754 | PA      | $1538.09      | 0.01%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -10000000 | PA      | $-45898.12    | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2007-10, Class 1A1            | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139152 | PA      | $134200.10    | 0.54%             | 2047-06-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259729 | PA      | $15239.59     | 0.06%             | 2065-04-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929804 | PA      | $174232.53    | 0.70%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $502113.42    | 2.01%             | 2048-10-25      | Floating      | 14.78%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                    | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144000 | PA      | $122187.24    | 0.49%             | 2047-05-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                       | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29572 | PA      | $29376.76     | 0.12%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     13000 | PA      | $1924.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205506 | PA      | $10009.99     | 0.04%             | 2064-10-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800635 | PA      | $41016.53     | 0.16%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                      | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    890346 | PA      | $146845.14    | 0.59%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $101771.03    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                      | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144654 | PA      | $14273.73     | 0.06%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2423957 | PA      | $153299.06    | 0.61%             | 2053-04-20      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      9000 | PA      | $198.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA19, Class A1                                | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129614 | PA      | $106030.32    | 0.43%             | 2047-02-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                          | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     55000 | PA      | $48629.68     | 0.20%             | 2057-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1135623 | PA      | $152318.28    | 0.61%             | 2050-08-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2108820.34   | 8.46%             | 2056-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124000 | PA      | $84786.24     | 0.34%             | 2045-11-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                   | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167024 | PA      | $26117.84     | 0.10%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |     77621 | PA      | $78016.62     | 0.31%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1454000 | PA      | $-19066.62    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077114 | PA      | $81312.02     | 0.33%             | 2053-11-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36940 | PA      | $38140.78     | 0.15%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281828 | PA      | $284892.42    | 1.14%             | 2042-01-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                   | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506255 | PA      | $55867.18     | 0.22%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    774411 | PA      | $111911.13    | 0.45%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     46000 | PA      | $-1244.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976 | PA      | $1003.45      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10  | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    197050 | PA      | $200257.43    | 0.80%             | 2049-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                   | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103185 | PA      | $6614.28      | 0.03%             | 2066-11-20      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $5728.74      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                       | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109000 | PA      | $99984.26     | 0.40%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-187.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F      | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    141000 | PA      | $21624.70     | 0.09%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-9, Class A11                              | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89493 | PA      | $89719.82     | 0.36%             | 2055-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-4, Class AF           | CUSIP: 61777BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45366 | PA      | $45440.47     | 0.18%             | 2054-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16000 | PA      | $9840.00      | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                      | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490185 | PA      | $63129.77     | 0.25%             | 2050-08-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2019-CD8, Class D                                       | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84000 | PA      | $55569.02     | 0.22%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     10000 | PA      | $-3933.74     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                 | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108000 | PA      | $34850.04     | 0.14%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E                   | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118000 | PA      | $74915.84     | 0.30%             | 2048-11-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                          | MAD Commercial Mortgage Trust, Series 2025-11MD, Class D                          | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104000 | PA      | $105781.02    | 0.42%             | 2042-10-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240042 | PA      | $50204.59     | 0.20%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2024-NQM2, Class A1                       | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75031 | PA      | $75510.31     | 0.30%             | 2064-02-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91260 | PA      | $12247.68     | 0.05%             | 2043-12-20      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                      | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55512 | PA      | $56096.68     | 0.22%             | 2053-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                   | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679173 | PA      | $102148.42    | 0.41%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202EJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8504 | PA      | $9090.23      | 0.04%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     13000 | PA      | $-124.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                            | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $6435.05      | 0.03%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79000 | PA      | $80812.06     | 0.32%             | 2040-02-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                    | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426168 | PA      | $46776.33     | 0.19%             | 2043-06-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C      | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98000 | PA      | $85663.32     | 0.34%             | 2048-04-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $820454.03    | 3.29%             | 2056-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-153, Class S                                                    | CUSIP: 38383YFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1194887 | PA      | $116648.38    | 0.47%             | 2050-05-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-117, Class ES                                                   | CUSIP: 38382WEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391553 | PA      | $56355.88     | 0.23%             | 2051-07-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                        | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                          | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $59454.08     | 0.24%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                   | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $122488.27    | 0.49%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193198 | PA      | $8359.66      | 0.03%             | 2067-02-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                   | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142680 | PA      | $7460.20      | 0.03%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C       | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     58000 | PA      | $53588.49     | 0.21%             | 2046-05-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103968 | PA      | $6310.55      | 0.03%             | 2065-07-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D  | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97683.80     | 0.39%             | 2047-12-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class E       | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21954 | PA      | $21856.60     | 0.09%             | 2045-08-15      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                     | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37253 | PA      | $7332.52      | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      3000 | PA      | $-28.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C      | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $53423.60     | 0.21%             | 2052-11-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                 | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    107816 | PA      | $108518.49    | 0.44%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-120, Class SD                                                   | CUSIP: 38381N6U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449688 | PA      | $49224.91     | 0.20%             | 2049-10-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  31561000 | PA      | $233100.25    | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                               | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $85959.43     | 0.34%             | 2050-08-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683348 | PA      | $91424.27     | 0.37%             | 2051-06-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     84000 | PA      | $-1109.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class D                                 | CUSIP: 08162PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $41305.49     | 0.17%             | 2051-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2026-NPL1, Class A1                                              | CUSIP: 69383TAA6<br>LEI: 2549002NGM9N1GT2FK83 | Long             | ABS-MBS          | CORP              | US        |     98429 | PA      | $97705.44     | 0.39%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D               | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157000 | PA      | $76986.24     | 0.31%             | 2049-06-15      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188948 | PA      | $5903.92      | 0.02%             | 2064-12-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                   | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23000 | PA      | $21047.51     | 0.08%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $62717.95     | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    210000 | PA      | $-787.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1        | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335857 | PA      | $279292.76    | 1.12%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31385HR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       395 | PA      | $397.62       | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $240.96       | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1039387.13   | 4.17%             | 2056-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                   | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2188122 | PA      | $118720.70    | 0.48%             | 2053-11-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                     | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1656440 | PA      | $184129.88    | 0.74%             | 2049-11-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class B | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4439 | PA      | $4331.37      | 0.02%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $3552.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M2        | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $88341.13     | 0.35%             | 2051-01-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    285000 | PA      | $-25329.35    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B                          | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     61393 | PA      | $59211.66     | 0.24%             | 2050-04-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                          | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |     45617 | PA      | $44285.10     | 0.18%             | 2048-08-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   8914000 | PA      | $-33400.90    | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                         | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $27987.16     | 0.11%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-51, Class PS                                                    | CUSIP: 3136BNJK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138596 | PA      | $106971.80    | 0.43%             | 2052-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-2, Class A2                                | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102000 | PA      | $92445.75     | 0.37%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    360000 | PA      | $-1050.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                           | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66000 | PA      | $61329.20     | 0.25%             | 2051-06-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D              | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87000 | PA      | $82817.21     | 0.33%             | 2045-07-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1        | CUSIP: 61776HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124392 | PA      | $125547.77    | 0.50%             | 2069-05-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      6000 | PA      | $-242.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                   | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243659 | PA      | $16513.24     | 0.07%             | 2066-03-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2024-CMG1, Class A1                             | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111211 | PA      | $111115.79    | 0.45%             | 2054-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D                   | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $69651.34     | 0.28%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $13.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205159 | PA      | $8796.01      | 0.04%             | 2066-09-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2013-GC13, Class D                           | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $79313.38     | 0.32%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215179 | PA      | $6270.09      | 0.03%             | 2067-04-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     25000 | PA      | $-11769.29    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    866172 | PA      | $59260.98     | 0.24%             | 2053-01-20      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                   | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517489 | PA      | $58485.39     | 0.23%             | 2049-10-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2               | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       578 | PA      | $579.06       | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-110, Class HS                                                   | CUSIP: 38384QWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841113 | PA      | $64278.51     | 0.26%             | 2054-07-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1              | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53954 | PA      | $54402.36     | 0.22%             | 2039-07-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                    | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $106315.26    | 0.43%             | 2048-02-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                              | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114946 | PA      | $23343.36     | 0.09%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B              | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $88750.98     | 0.36%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      7000 | PA      | $308.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D                  | CUSIP: 94989AAA3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    101000 | PA      | $97065.34     | 0.39%             | 2047-12-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     14000 | PA      | $616.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VEGAS                                                  | VEGAS, Series 2024-GCS, Class D                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $74760.90     | 0.30%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                   | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219582 | PA      | $12026.04     | 0.05%             | 2065-06-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                     | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1402615 | PA      | $100528.10    | 0.40%             | 2053-01-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1802000 | PA      | $-1181.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                    | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |     86531 | PA      | $87255.53     | 0.35%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1016962.45   | 4.08%             | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                           | Sabey Data Center Issuer LLC, Series 2026-1, Class A2                             | CUSIP: 78520EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99402.47     | 0.40%             | 2051-01-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                    | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138000 | PA      | $68434.99     | 0.27%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B               | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    195294 | PA      | $200449.40    | 0.80%             | 2029-01-25      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                   | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265020 | PA      | $23688.04     | 0.09%             | 2067-02-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94373 | PA      | $12986.64     | 0.05%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                      | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427022 | PA      | $83772.29     | 0.34%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                         | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $124422.14    | 0.50%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $78778.28     | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F012445<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $899272.05    | 3.61%             | 2041-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5604937 | PA      | $120218.62    | 0.48%             | 2071-08-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4028515.60   | 16.15%            | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                   | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518098 | PA      | $78036.56     | 0.31%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                      | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26813 | PA      | $27025.68     | 0.11%             | 2054-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class E                                    | CUSIP: 12429EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $55728.58     | 0.22%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                    | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    985149 | PA      | $166604.39    | 0.67%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B       | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     69741 | PA      | $66617.78     | 0.27%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $944953.80    | 3.79%             | 2041-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18062 | PA      | $16118.30     | 0.06%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6600000 | PA      | $6631430.26   | 26.59%            | 2056-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36205YLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       505 | PA      | $508.38       | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M1        | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |     18751 | PA      | $18724.82     | 0.08%             | 2051-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2025-C32, Class XA                                   | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998231 | PA      | $80142.09     | 0.32%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173844 | PA      | $124817.73    | 0.50%             | 2038-04-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $236284.98    | 0.95%             | 2048-01-25      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-62, Class HS                                                    | CUSIP: 38385FNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801664 | PA      | $95198.37     | 0.38%             | 2047-11-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0RT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       801 | PA      | $822.48       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C                         | CUSIP: 92890NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57000 | PA      | $48741.58     | 0.20%             | 2045-12-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183992 | PA      | $9831.67      | 0.04%             | 2065-06-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                    | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44954 | PA      | $1339.01      | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                    | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113000 | PA      | $102723.33    | 0.41%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                   | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27809 | PA      | $27458.44     | 0.11%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                   | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886622 | PA      | $126824.84    | 0.51%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $845.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1328000 | PA      | $-14486.72    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329056 | PA      | $34165.86     | 0.14%             | 2049-09-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4919 | PA      | $5088.91      | 0.02%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1006524.99   | 4.04%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                          | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    124000 | PA      | $115967.90    | 0.47%             | 2050-04-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344578 | PA      | $35391.79     | 0.14%             | 2044-05-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762241 | PA      | $58830.44     | 0.24%             | 2057-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $990536.72    | 3.97%             | 2056-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C               | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53000 | PA      | $48709.95     | 0.20%             | 2051-06-15      | Variable      | 4.76%                 | 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        |    100000 | PA      | $84135.10     | 0.34%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218212 | PA      | $11461.16     | 0.05%             | 2065-08-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC                                | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                 | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |    103615 | PA      | $91712.68     | 0.37%             | 2047-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960738 | PA      | $32760.21     | 0.13%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $826328.12    | 3.31%             | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                   | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365296 | PA      | $23267.14     | 0.09%             | 2066-12-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $3579.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3131WWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13418 | PA      | $14096.11     | 0.06%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class B                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |     83814 | PA      | $82674.22     | 0.33%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                    | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471520 | PA      | $72186.78     | 0.29%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106000 | PA      | $102918.40    | 0.41%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                   | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228323 | PA      | $9598.90      | 0.04%             | 2066-01-20      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                   | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9547 | PA      | $637.36       | 0.00%             | 2041-10-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                   | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |      8217 | PA      | $7991.98      | 0.03%             | 2048-06-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                    | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544658 | PA      | $127019.90    | 0.51%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2015-MS1, Class C                          | CUSIP: 61765DAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94000 | PA      | $85060.18     | 0.34%             | 2048-05-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D              | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91728.50     | 0.37%             | 2047-09-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6116905.50   | 24.53%            | 2056-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                    | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $69506.50     | 0.28%             | 2048-10-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                           | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40190 | PA      | $38918.35     | 0.16%             | 2047-09-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $50211.13     | 0.20%             | 2052-11-15      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                   | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                   | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110284 | PA      | $107868.59    | 0.43%             | 2044-08-10      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1229888.73   | 4.93%             | 2056-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0RR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4901 | PA      | $5149.15      | 0.02%             | 2030-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -93 | NC      | $238144.17    | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $28540.62     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $714324.81    | 2.86%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     82000 | PA      | $-2122.31     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36200QWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       262 | PA      | $267.99       | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36295BBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4999 | PA      | $5142.26      | 0.02%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     65000 | PA      | $1090.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C              | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73000 | PA      | $69631.58     | 0.28%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class E                           | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25038 | PA      | $24815.16     | 0.10%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                   | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148363 | PA      | $5467.03      | 0.02%             | 2065-07-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                       | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $62576.26     | 0.25%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94056 | PA      | $92079.10     | 0.37%             | 2048-02-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-96, Class SC                                                    | CUSIP: 38384PB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1758453 | PA      | $143934.46    | 0.58%             | 2054-06-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Putnam Short Term Investment Fund                      | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   2979999 | NS      | $2979998.85   | 11.95%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $986361.02    | 3.96%             | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B13, Class D                                | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $64511.83     | 0.26%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA5, Class B2                               | CUSIP: 35566ABE8<br>LEI: 5493000ITF7RKPWPZQ19 | Long             | ABS-MBS          | CORP              | US        |     56000 | PA      | $77025.10     | 0.31%             | 2050-10-25      | Floating      | 15.16%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class BI                                                   | CUSIP: 38376RD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541672 | PA      | $25670.37     | 0.10%             | 2066-11-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                      | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38530 | PA      | $39817.98     | 0.16%             | 2035-03-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                         | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $56097.13     | 0.22%             | 2046-08-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class B              | CUSIP: 46641JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42033 | PA      | $41778.78     | 0.17%             | 2047-02-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA3, Class B2                               | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     64000 | PA      | $84232.20     | 0.34%             | 2050-07-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                          | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46806 | PA      | $44857.72     | 0.18%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-3058452.75  | -12.26%           | 2056-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     70000 | PA      | $6086.06      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                    | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    151279 | PA      | $152609.84    | 0.61%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $3552.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                    | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870120 | PA      | $156638.79    | 0.63%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020448<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $920131.42    | 3.69%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $517330.02    | 2.07%             | 2056-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                   | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $27791.17     | 0.11%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     96000 | PA      | $5035.10      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC22, Class AS                          | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83000 | PA      | $78976.13     | 0.32%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175111 | PA      | $6361.54      | 0.03%             | 2067-03-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624095 | PA      | $113943.45    | 0.46%             | 2054-01-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                 | DataBank Issuer II LLC, Series 2025-1A, Class A2                                  | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28000 | PA      | $27215.73     | 0.11%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797TN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    600000 | PA      | $593678.13    | 2.38%             | 2026-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C3, Class C                            | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94000 | PA      | $88732.81     | 0.36%             | 2050-08-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380213 | PA      | $51610.51     | 0.21%             | 2056-08-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                  | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1456173 | PA      | $69330.29     | 0.28%             | 2057-09-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2018-COR3, Class D                                    | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $15892.04     | 0.06%             | 2051-05-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                   | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186411 | PA      | $5345.52      | 0.02%             | 2066-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                           | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $85483.77     | 0.34%             | 2047-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2025-ARIA, Class C                                               | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99807.55     | 0.40%             | 2042-12-13      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                    | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86725 | PA      | $3837.48      | 0.02%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                   | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999402 | PA      | $198006.36    | 0.79%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $68159.15     | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                    | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461363 | PA      | $78767.14     | 0.32%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2522812.50   | 10.12%            | 2056-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass-Through Trust          | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A3           | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66898 | PA      | $66544.18     | 0.27%             | 2036-11-28      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                    | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119000 | PA      | $114342.07    | 0.46%             | 2047-04-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B               | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    153645 | PA      | $154736.78    | 0.62%             | 2028-10-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-441.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    118000 | PA      | $2411.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    178500 | PA      | $472.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1892100 | PA      | $37610.78     | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                   | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3662721 | PA      | $225215.24    | 0.90%             | 2052-12-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                    | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66842 | PA      | $6758.11      | 0.03%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     58000 | PA      | $1633.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                   | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124276 | PA      | $11410.65     | 0.05%             | 2066-06-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5459, Class KI                                                      | CUSIP: 3137HFZ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    784898 | PA      | $108496.78    | 0.44%             | 2048-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     81000 | PA      | $1161.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                   | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245303 | PA      | $13518.15     | 0.05%             | 2065-09-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H04, Class JI                                                   | CUSIP: 38382YMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2271477 | PA      | $110601.83    | 0.44%             | 2072-02-20      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-H14, Class IA                                                   | CUSIP: 38384LQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2547144 | PA      | $76114.78     | 0.31%             | 2075-05-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     40000 | PA      | $3054.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                   | CUSIP: 36225A2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16 | PA      | $16.64        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $66276.65     | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                    | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401444 | PA      | $51041.67     | 0.20%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                    | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53394 | PA      | $52902.28     | 0.21%             | 2047-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36213FAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       150 | PA      | $152.58       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                         | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $85924.37     | 0.34%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $30891.48     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1456000 | PA      | $-2650.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                            | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74969 | PA      | $71500.49     | 0.29%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5457                                                                | CUSIP: 3137HFW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700880 | PA      | $141075.08    | 0.57%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32363 | PA      | $31567.62     | 0.13%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                              | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880565 | PA      | $157408.63    | 0.63%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    126000 | PA      | $-105.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      1000 | PA      | $16.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                      | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2126 | PA      | $29.50        | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B15, Class XA                               | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075152 | PA      | $24613.89     | 0.10%             | 2072-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                 | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77000 | PA      | $53995.72     | 0.22%             | 2051-04-10      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D   | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $137232.06    | 0.55%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208255 | PA      | $24385.07     | 0.10%             | 2049-10-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $936888.70    | 3.76%             | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                               | VCAT LLC, Series 2026-NPL1, Class A1                                              | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94318 | PA      | $93861.54     | 0.38%             | 2056-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                    | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8370 | PA      | $7023.52      | 0.03%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V10, Class XA                               | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157877 | PA      | $45124.77     | 0.18%             | 2057-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292166 | PA      | $11461.38     | 0.05%             | 2067-02-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49000 | PA      | $40248.14     | 0.16%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345211 | PA      | $209573.46    | 0.84%             | 2047-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    219000 | PA      | $-10917.61    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39939 | PA      | $299.54       | 0.00%             | 2046-04-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618610 | PA      | $103643.42    | 0.42%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class C                                       | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134000 | PA      | $49866.10     | 0.20%             | 2050-02-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2        | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | CORP              | US        |    148000 | PA      | $153435.48    | 0.62%             | 2051-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                     | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |     32000 | PA      | $39257.30     | 0.16%             | 2049-01-25      | Floating      | 14.53%                | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                   | Cross Mortgage Trust, Series 2024-H1, Class A1                                    | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118465 | PA      | $119044.28    | 0.48%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     16000 | PA      | $834.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                      | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6709 | PA      | $7890.39      | 0.03%             | 2037-04-15      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2018-H3, Class C                           | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88000 | PA      | $84314.23     | 0.34%             | 2051-07-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                       | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $40334.11     | 0.16%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** Putnam Variable Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer