# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0002071691-26-004015
**Filing Date:** 2026-2
**Character Count:** 165319
**Document Hash:** 39638866b5198b375163e7bdc5442d91
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004015.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-004015

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**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:** 26675170

**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:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $66242771.02

**Total Liabilities:** $40503617.75

**Net Assets:** $25739153.27

**Delayed Delivery Securities:** $39381972.70

**Cash Not Reported:** $3288.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7.93000000 | **1-Year:** -139.63000000 | **5-Year:** -102.46000000 | **10-Year:** -296.31000000 | **30-Year:** -820.66000000

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

- **3-Month:** -15.84000000 | **1-Year:** 5102.08000000 | **5-Year:** 187.31000000 | **10-Year:** 6174.47000000 | **30-Year:** -4559.63000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010837 | 0.65%                | 0.32%                | 0.16%                |
| Class ID C000010838 | 0.49%                | 0.32%                | 0.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-20680.85               | $81705.49                                  |
| Month 2  | $11450.93                | $99602.92                                  |
| Month 3  | $-47531.51               | $-125548.93                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72149 | PA      | $72233.49     | 0.28%             | 2068-05-25      | Fixed         | 6.13%                 | 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        |    161551 | PA      | $163784.64    | 0.64%             | 2068-09-25      | Fixed         | 7.47%                 | 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        |     85887 | PA      | $86580.14     | 0.34%             | 2069-02-25      | Fixed         | 6.19%                 | 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        |     96513 | PA      | $97713.72     | 0.38%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $905078.13    | 3.52%             | 2041-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $926093.75    | 3.60%             | 2041-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $5660128.39   | 21.99%            | 2056-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $946289.06    | 3.68%             | 2041-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2536640.64   | 9.86%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1769296.88   | 6.87%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2773945.29   | 10.78%            | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $997421.88    | 3.88%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7098971.88   | 27.58%            | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3080651.16   | 11.97%            | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $519698.42    | 2.02%             | 2056-01-25      | Fixed         | 6.50%                 | 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        |    347305 | PA      | $211731.72    | 0.82%             | 2047-05-25      | Floating      | 4.04%                 | 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      | $49275.63     | 0.19%             | 2052-11-15      | Variable      | 2.57%                 | 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        |   1466604 | PA      | $75500.79     | 0.29%             | 2057-09-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963293 | PA      | $35454.37     | 0.14%             | 2063-03-15      | Variable      | 1.19%                 | 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      | $49866.09     | 0.19%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774897 | PA      | $61938.84     | 0.24%             | 2057-10-15      | Variable      | 1.14%                 | 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        |   1180087 | PA      | $45965.71     | 0.18%             | 2057-10-15      | Variable      | 1.19%                 | 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        |     74295 | PA      | $73577.31     | 0.29%             | 2036-11-28      | Fixed         | 6.53%                 | 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      | $61088.11     | 0.24%             | 2052-08-15      | Fixed         | 3.25%                 | 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        |    998676 | PA      | $82093.67     | 0.32%             | 2062-02-15      | Variable      | 1.13%                 | 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        |   1077598 | PA      | $26436.59     | 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      | $55319.70     | 0.21%             | 2051-04-10      | Variable      | 3.05%                 | 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      | $63018.32     | 0.24%             | 2052-05-15      | Fixed         | 3.00%                 | 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      | $63274.26     | 0.25%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                 | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108000 | PA      | $57421.76     | 0.22%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49000 | PA      | $41039.61     | 0.16%             | 2051-01-15      | Variable      | 4.20%                 | 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        |   1157901 | PA      | $48830.21     | 0.19%             | 2057-09-15      | Variable      | 1.31%                 | 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        |     86342 | PA      | $87175.96     | 0.34%             | 2064-02-25      | Fixed         | 6.28%                 | 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      | $55641.04     | 0.22%             | 2044-02-10      | Variable      | 4.87%                 | 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      | $68053.89     | 0.26%             | 2044-02-10      | Variable      | 4.87%                 | 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      | $54816.38     | 0.21%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                       | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109000 | PA      | $104374.59    | 0.41%             | 2050-05-10      | Variable      | 3.95%                 | 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      | $40164.83     | 0.16%             | 2050-02-10      | Variable      | 3.98%                 | 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      | $49501.46     | 0.19%             | 2050-02-10      | Variable      | 4.57%                 | 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        |    128299 | PA      | $7370.73      | 0.03%             | 2050-02-10      | Fixed         | 3.25%                 | 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        |    103809 | PA      | $98629.84     | 0.38%             | 2046-10-10      | Fixed         | 4.30%                 | 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      | $113496.25    | 0.44%             | 2047-04-10      | Variable      | 4.78%                 | 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        |     30349 | PA      | $29907.75     | 0.12%             | 2047-09-10      | Variable      | 4.19%                 | 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      | $69774.59     | 0.27%             | 2048-10-10      | Variable      | 3.61%                 | 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      | $102501.48    | 0.40%             | 2050-09-10      | Fixed         | 3.00%                 | 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      | $16766.43     | 0.07%             | 2051-05-10      | Variable      | 2.81%                 | 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      | $27114.12     | 0.11%             | 2052-09-15      | Fixed         | 2.50%                 | 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      | $98484.11     | 0.38%             | 2045-10-15      | Fixed         | 3.25%                 | 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      | $43778.61     | 0.17%             | 2045-10-15      | Fixed         | 3.70%                 | 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      | $90883.35     | 0.35%             | 2046-08-10      | Variable      | 5.37%                 | 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        |     62874 | PA      | $60212.83     | 0.23%             | 2050-04-15      | Variable      | 3.83%                 | 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      | $113189.85    | 0.44%             | 2050-04-15      | Variable      | 3.83%                 | 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     | 0.32%             | 2048-02-10      | Variable      | 4.03%                 | 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      | $120746.74    | 0.47%             | 2047-05-10      | Variable      | 4.84%                 | 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      | $51966.27     | 0.20%             | 2047-05-10      | Fixed         | 4.38%                 | 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        |    148000 | PA      | $137651.40    | 0.53%             | 2047-05-10      | Variable      | 4.78%                 | 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        |     25572 | PA      | $24638.18     | 0.10%             | 2057-06-15      | Variable      | 4.04%                 | 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      | $44550.00     | 0.17%             | 2057-06-15      | Variable      | 4.04%                 | 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        |     56000 | PA      | $51362.50     | 0.20%             | 2048-08-15      | Variable      | 4.05%                 | 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        |    133772 | PA      | $109880.66    | 0.43%             | 2047-02-20      | Floating      | 4.03%                 | 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        |    246210 | PA      | $238652.99    | 0.93%             | 2036-06-25      | Floating      | 4.33%                 | 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        |    105941 | PA      | $96621.09     | 0.38%             | 2047-11-25      | Floating      | 4.03%                 | 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        |    102393 | PA      | $99621.91     | 0.39%             | 2048-02-10      | Variable      | 4.38%                 | 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        |    118201 | PA      | $119597.38    | 0.46%             | 2068-09-25      | Fixed         | 7.18%                 | 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      | $104356.44    | 0.41%             | 2048-02-10      | Variable      | 4.42%                 | 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      | $81454.58     | 0.32%             | 2040-02-25      | Floating      | 7.64%                 | 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        |    292000 | PA      | $297367.49    | 1.16%             | 2042-01-25      | Floating      | 6.87%                 | 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      | $36187.62     | 0.14%             | 2042-01-25      | Floating      | 8.37%                 | 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        |     55704 | PA      | $56522.01     | 0.22%             | 2039-07-25      | Floating      | 8.09%                 | 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      | $35607.64     | 0.14%             | 2040-01-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $828433.52    | 3.22%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1725468.76   | 6.70%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $910194.69    | 3.54%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $944804.69    | 3.67%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $974218.75    | 3.78%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $997870.80    | 3.88%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1009852.64   | 3.92%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1019179.69   | 3.96%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1033828.13   | 4.02%             | 2056-01-15      | Fixed         | 6.50%                 | 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        |    139741 | PA      | $140949.18    | 0.55%             | 2068-12-25      | Fixed         | 6.09%                 | 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        |    143080 | PA      | $137999.27    | 0.54%             | 2047-06-25      | Floating      | 4.03%                 | 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        |    113939 | PA      | $110303.37    | 0.43%             | 2044-08-10      | Variable      | 5.35%                 | 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      | $27634.68     | 0.11%             | 2055-09-27      | Fixed         | 5.18%                 | 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      | $72650.15     | 0.28%             | 2058-09-10      | Variable      | 4.34%                 | 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      | $9899.84      | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | 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        |    153720 | PA      | $158469.80    | 0.62%             | 2028-10-25      | Floating      | 15.74%                | 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        |    195485 | PA      | $204500.78    | 0.79%             | 2029-01-25      | Floating      | 14.24%                | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3131WWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13853 | PA      | $14553.39     | 0.06%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                      | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3183 | PA      | $50.04        | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 31329HZ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3044 | PA      | $3124.35      | 0.01%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       443 | PA      | $465.01       | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0RR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5268 | PA      | $5534.18      | 0.02%             | 2030-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                               | CUSIP: 3132A0RT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       907 | PA      | $935.27       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                      | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61180 | PA      | $61604.42     | 0.24%             | 2053-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1060 | PA      | $1096.11      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                   | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10102 | PA      | $756.56       | 0.00%             | 2041-10-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                   | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10247 | PA      | $133.79       | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                    | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192539 | PA      | $31137.60     | 0.12%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                    | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252694 | PA      | $24632.57     | 0.10%             | 2048-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                    | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101400 | PA      | $4972.46      | 0.02%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                              | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903231 | PA      | $164592.35    | 0.64%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                    | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    893465 | PA      | $162832.00    | 0.63%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                              | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682214 | PA      | $112765.07    | 0.44%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628063 | PA      | $105731.76    | 0.41%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-12, Class NI                                                    | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625725 | PA      | $106196.18    | 0.41%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                    | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370337 | PA      | $71506.00     | 0.28%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                    | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419440 | PA      | $54722.21     | 0.21%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                    | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483095 | PA      | $74937.72     | 0.29%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31371LFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1794 | PA      | $1885.76      | 0.01%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                      | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9814 | PA      | $113.37       | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                      | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149633 | PA      | $15082.28     | 0.06%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                      | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442217 | PA      | $87505.21     | 0.34%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                      | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    917592 | PA      | $163411.01    | 0.63%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386882 | PA      | $54646.21     | 0.21%             | 2056-08-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341667 | PA      | $38206.35     | 0.15%             | 2049-09-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                      | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582357 | PA      | $117685.14    | 0.46%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                      | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500772 | PA      | $66070.02     | 0.26%             | 2050-08-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246789 | PA      | $53954.22     | 0.21%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                      | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28598 | PA      | $28767.70     | 0.11%             | 2054-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31385HR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       473 | PA      | $477.53       | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W8, Class 3F2                                                   | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1184 | PA      | $1180.90      | 0.00%             | 2042-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                      | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41377 | PA      | $43338.63     | 0.17%             | 2035-03-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                    | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8929 | PA      | $7513.54      | 0.03%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1812 | PA      | $1595.10      | 0.01%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                      | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7092 | PA      | $8546.45      | 0.03%             | 2037-04-15      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31402BXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33404 | PA      | $35096.36     | 0.14%             | 2033-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                     | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5034 | PA      | $5300.06      | 0.02%             | 2036-09-01      | 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        |     22048 | PA      | $22009.12     | 0.09%             | 2051-01-25      | Floating      | 5.87%                 | 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      | $87931.55     | 0.34%             | 2051-01-25      | Floating      | 7.62%                 | 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      | $153737.46    | 0.60%             | 2051-11-25      | Floating      | 7.87%                 | 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      | $39432.20     | 0.15%             | 2049-01-25      | Floating      | 14.74%                | 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      | $270438.67    | 1.05%             | 2049-02-25      | Floating      | 16.24%                | 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      | $493920.53    | 1.92%             | 2048-09-25      | Floating      | 11.74%                | 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      | $513037.15    | 1.99%             | 2048-10-25      | Floating      | 14.99%                | 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      | $237412.52    | 0.92%             | 2048-01-25      | Floating      | 12.34%                | 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      | $84662.57     | 0.33%             | 2050-07-25      | Floating      | 13.99%                | 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      | $86761.53     | 0.34%             | 2050-08-25      | Floating      | 13.99%                | 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      | $77663.76     | 0.30%             | 2050-10-25      | Floating      | 15.37%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15983 | PA      | $15795.85     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34828 | PA      | $34244.73     | 0.13%             | 2048-05-20      | Fixed         | 4.50%                 | 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      | $77945.81     | 0.30%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36200QWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       275 | PA      | $283.71       | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36200WST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       340 | PA      | $345.09       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36201JJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       170 | PA      | $175.55       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202EJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8686 | PA      | $9247.86      | 0.04%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38193 | PA      | $39589.90     | 0.15%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36202EXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20843 | PA      | $21950.55     | 0.09%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36205YLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       574 | PA      | $577.47       | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11 | PA      | $11.16        | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36213FAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       155 | PA      | $157.98       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                   | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       993 | PA      | $1013.35      | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                   | CUSIP: 36225A2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.62        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | 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      | $8001.69      | 0.03%             | 2050-03-10      | Variable      | 3.51%                 | 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      | $77590.27     | 0.30%             | 2047-06-10      | Fixed         | 4.11%                 | 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        |    100000 | PA      | $96529.40     | 0.38%             | 2047-09-10      | Variable      | 4.43%                 | 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      | $78103.77     | 0.30%             | 2047-09-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 36295BBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5078 | PA      | $5236.40      | 0.02%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                   | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171270 | PA      | $27487.00     | 0.11%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264430 | PA      | $7809.93      | 0.03%             | 2067-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265334 | PA      | $11881.11     | 0.05%             | 2064-10-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258464 | PA      | $7578.15      | 0.03%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                   | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320649 | PA      | $28118.38     | 0.11%             | 2067-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218738 | PA      | $6900.25      | 0.03%             | 2067-03-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319799 | PA      | $15792.61     | 0.06%             | 2066-10-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369469 | PA      | $19813.13     | 0.08%             | 2065-04-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                   | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268469 | PA      | $14520.71     | 0.06%             | 2065-06-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211191 | PA      | $11611.51     | 0.05%             | 2065-06-20      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class BI                                                   | CUSIP: 38376RD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666406 | PA      | $30883.94     | 0.12%             | 2066-11-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123419 | PA      | $7360.23      | 0.03%             | 2065-07-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264569 | PA      | $13834.05     | 0.05%             | 2065-08-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                   | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120859 | PA      | $7585.97      | 0.03%             | 2066-11-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                   | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328982 | PA      | $16371.11     | 0.06%             | 2065-09-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                   | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155638 | PA      | $6313.29      | 0.02%             | 2065-09-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297526 | PA      | $18494.83     | 0.07%             | 2066-09-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                   | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413740 | PA      | $26139.70     | 0.10%             | 2066-12-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                   | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267205 | PA      | $11659.49     | 0.05%             | 2066-01-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                   | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333917 | PA      | $21225.79     | 0.08%             | 2066-03-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                   | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345554 | PA      | $28095.25     | 0.11%             | 2067-01-20      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                   | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174807 | PA      | $7142.78      | 0.03%             | 2065-07-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237220 | PA      | $10132.60     | 0.04%             | 2067-02-20      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                   | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220844 | PA      | $6653.14      | 0.03%             | 2066-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                   | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216489 | PA      | $19263.17     | 0.07%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329193 | PA      | $13776.39     | 0.05%             | 2067-02-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245562 | PA      | $13099.02     | 0.05%             | 2066-06-20      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280684 | PA      | $12808.15     | 0.05%             | 2066-09-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                             | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189804 | PA      | $24522.41     | 0.10%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1202617 | PA      | $134961.06    | 0.52%             | 2038-04-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                    | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472835 | PA      | $82068.04     | 0.32%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                     | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38482 | PA      | $7715.01      | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                    | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359315 | PA      | $54700.11     | 0.21%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                    | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74163 | PA      | $7760.28      | 0.03%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94070 | PA      | $13308.47     | 0.05%             | 2043-12-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                    | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439208 | PA      | $51476.14     | 0.20%             | 2043-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225119 | PA      | $7004.46      | 0.03%             | 2064-12-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                              | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118805 | PA      | $24646.70     | 0.10%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                   | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8212 | PA      | $117.84       | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                   | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50407 | PA      | $1167.21      | 0.00%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                   | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153471 | PA      | $8433.16      | 0.03%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148629 | PA      | $29494.87     | 0.11%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                    | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49868 | PA      | $1717.07      | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214080 | PA      | $38214.90     | 0.15%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101047 | PA      | $14209.44     | 0.06%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class AI                                                   | CUSIP: 38380QQG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1709704 | PA      | $115362.60    | 0.45%             | 2070-09-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    805635 | PA      | $41312.66     | 0.16%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                   | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518957 | PA      | $59034.56     | 0.23%             | 2049-09-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211842 | PA      | $25875.96     | 0.10%             | 2049-10-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                   | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528553 | PA      | $61931.39     | 0.24%             | 2049-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355631 | PA      | $38577.51     | 0.15%             | 2044-05-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1162265 | PA      | $163751.81    | 0.64%             | 2050-08-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                   | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529440 | PA      | $78582.03     | 0.31%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                   | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913425 | PA      | $132246.75    | 0.51%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    790200 | PA      | $115173.73    | 0.45%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                   | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1227918 | PA      | $234683.00    | 0.91%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867581 | PA      | $129652.56    | 0.50%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                     | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1059586 | PA      | $156174.67    | 0.61%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                    | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548507 | PA      | $129327.18    | 0.50%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                    | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006290 | PA      | $163750.34    | 0.64%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699830 | PA      | $95433.88     | 0.37%             | 2051-06-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5656190 | PA      | $111021.38    | 0.43%             | 2071-08-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H04, Class JI                                                   | CUSIP: 38382YMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2283010 | PA      | $110757.71    | 0.43%             | 2072-02-20      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                   | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694040 | PA      | $106097.87    | 0.41%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                   | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501756 | PA      | $86010.64     | 0.33%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                   | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017078 | PA      | $204703.05    | 0.80%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    916606 | PA      | $63965.80     | 0.25%             | 2053-01-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                   | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3855454 | PA      | $234973.70    | 0.91%             | 2052-12-20      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                   | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503498 | PA      | $97667.71     | 0.38%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                     | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1702705 | PA      | $194380.51    | 0.76%             | 2049-11-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                     | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546402 | PA      | $110034.67    | 0.43%             | 2053-01-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1847513 | PA      | $137958.05    | 0.54%             | 2053-02-20      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2650900 | PA      | $192714.05    | 0.75%             | 2053-04-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-153, Class S                                                    | CUSIP: 38383YFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1240448 | PA      | $131653.45    | 0.51%             | 2050-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                    | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162265 | PA      | $160384.99    | 0.62%             | 2053-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                   | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3304875 | PA      | $212047.04    | 0.82%             | 2053-07-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                   | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2454663 | PA      | $157147.51    | 0.61%             | 2053-11-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1939533 | PA      | $121226.27    | 0.47%             | 2054-01-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1234961 | PA      | $90432.85     | 0.35%             | 2053-11-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1835770 | PA      | $154945.76    | 0.60%             | 2054-01-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957665 | PA      | $185130.56    | 0.72%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-H14, Class IA                                                   | CUSIP: 38384LQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3026681 | PA      | $90159.97     | 0.35%             | 2075-05-20      | Variable      | 1.77%                 | 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      | $77689.35     | 0.30%             | 2049-06-15      | Variable      | 3.36%                 | 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      | $48350.74     | 0.19%             | 2051-06-15      | Variable      | 4.76%                 | 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        |    107624 | PA      | $107901.72    | 0.42%             | 2055-02-25      | Floating      | 5.22%                 | 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        |     48840 | PA      | $42331.07     | 0.16%             | 2036-11-25      | Floating      | 4.17%                 | 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      | $134064.42    | 0.52%             | 2046-02-15      | Variable      | 5.53%                 | 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      | $95225.83     | 0.37%             | 2047-12-15      | Variable      | 3.57%                 | 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        |     22802 | PA      | $22135.75     | 0.09%             | 2047-12-15      | Variable      | 4.10%                 | 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      | $81279.75     | 0.32%             | 2045-07-15      | Variable      | 3.94%                 | 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        |     21103 | PA      | $19510.08     | 0.08%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187000 | PA      | $11782.96     | 0.05%             | 2046-04-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D              | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $90822.61     | 0.35%             | 2046-08-15      | Variable      | 4.04%                 | 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        |     46893 | PA      | $46009.71     | 0.18%             | 2047-02-15      | Variable      | 4.50%                 | 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      | $68909.87     | 0.27%             | 2047-09-15      | Variable      | 4.51%                 | 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      | $92721.87     | 0.36%             | 2047-09-15      | Variable      | 4.04%                 | 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      | $88757.46     | 0.34%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $105012.02    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -11700000 | PA      | $-5382.81     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   7800000 | PA      | $36410.71     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $32054.53     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $68965.04     | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $27619.65     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    118000 | PA      | $5193.92      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     13000 | PA      | $333.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-208.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    285000 | PA      | $-31029.35    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     10000 | PA      | $-4377.66     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     35000 | PA      | $34.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     84000 | PA      | $-1333.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-90.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      1000 | PA      | $17.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     82000 | PA      | $-2341.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $2912.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      7000 | PA      | $425.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     96000 | PA      | $9296.75      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      6000 | PA      | $-31.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $2912.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      9000 | PA      | $348.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      3000 | PA      | $104.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     16000 | PA      | $1545.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    143000 | PA      | $14440.30     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     70000 | PA      | $4219.38      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     14000 | PA      | $850.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     13000 | PA      | $1577.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $6090.96      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $5849.27      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    219000 | PA      | $-22770.41    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     46000 | PA      | $-3734.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     25000 | PA      | $-11102.62    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     58000 | PA      | $265.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1892100 | PA      | $47138.93     | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $71178.27     | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $58252.05     | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-1215.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-414.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-442.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $1077.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     60000 | PA      | $-400.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    178500 | PA      | $1425.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    126000 | PA      | $-107.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-984.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     65000 | PA      | $-442.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     40000 | PA      | $1279.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    175700 | PA      | $17951.72     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    175700 | PA      | $21237.78     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $41032.39     | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -10000000 | PA      | $-65934.84    | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   2278200 | PA      | $26246.77     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -3928000 | PA      | $-26883.95    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     81000 | PA      | $-121.50      | -0.00%            |  |  |  | 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      | $59240.43     | 0.23%             | 2050-03-10      | Fixed         | 3.55%                 | 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        |     96541 | PA      | $96853.84     | 0.38%             | 2070-08-25      | Fixed         | 5.26%                 | 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      | $86838.24     | 0.34%             | 2048-04-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36497 | PA      | $35574.34     | 0.14%             | 2050-07-15      | Variable      | 4.20%                 | 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      | $579.71       | 0.00%             | 2034-11-25      | Floating      | 4.78%                 | 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        |     47694 | PA      | $46233.58     | 0.18%             | 2037-02-26      | Floating      | 3.16%                 | 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        |     35633 | PA      | $35187.18     | 0.14%             | 2049-07-15      | Variable      | 4.94%                 | 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        |     52152 | PA      | $51203.69     | 0.20%             | 2045-08-15      | Variable      | 4.64%                 | 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      | $69356.92     | 0.27%             | 2045-11-15      | Variable      | 4.34%                 | 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        |     73151 | PA      | $71282.85     | 0.28%             | 2046-05-15      | Variable      | 3.71%                 | 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      | $54355.14     | 0.21%             | 2046-05-15      | Variable      | 3.71%                 | 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      | $17262.64     | 0.07%             | 2046-07-15      | Variable      | 3.95%                 | 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        |     69119 | PA      | $66014.34     | 0.26%             | 2046-07-15      | Variable      | 3.95%                 | 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        |     11447 | PA      | $10917.47     | 0.04%             | 2046-10-15      | Variable      | 4.70%                 | 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      | $85849.94     | 0.33%             | 2048-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D      | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63000 | PA      | $61938.22     | 0.24%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class E      | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82000 | PA      | $79665.79     | 0.31%             | 2048-05-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class C      | CUSIP: 61765LAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22969 | PA      | $22858.72     | 0.09%             | 2048-05-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C      | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51539 | PA      | $51416.38     | 0.20%             | 2048-10-15      | Variable      | 4.37%                 | 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      | $52749.34     | 0.20%             | 2052-11-15      | Variable      | 4.17%                 | 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      | $123852.07    | 0.48%             | 2049-08-15      | Variable      | 3.69%                 | 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      | $82240.78     | 0.32%             | 2051-07-15      | Variable      | 4.85%                 | 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        |    139802 | PA      | $141672.60    | 0.55%             | 2069-05-25      | Fixed         | 6.39%                 | 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        |     57425 | PA      | $57359.72     | 0.22%             | 2054-09-25      | Floating      | 5.22%                 | 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        |    201932 | PA      | $205544.88    | 0.80%             | 2049-10-25      | Floating      | 7.24%                 | 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      | $83776.21     | 0.33%             | 2061-10-20      | Fixed         | 1.91%                 | 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        |    118062 | PA      | $118363.76    | 0.46%             | 2054-07-25      | Floating      | 5.47%                 | 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        |   4299487 | NS      | $4299487.14   | 16.70%            |  |  |  | No            |                  1 | 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      | $63733.45     | 0.25%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1               | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $171344.50    | 0.67%             | 2030-04-25      | Fixed         | 7.76%                 | 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        |     18564 | PA      | $16691.69     | 0.06%             | 2036-08-25      | Floating      | 3.97%                 | 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        |    338452 | PA      | $281381.69    | 1.09%             | 2047-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  27207000 | PA      | $-35602.31    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   7171000 | PA      | $-5729.51     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    593000 | PA      | $-18002.58    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2533000 | PA      | $-21514.34    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    334100 | PA      | $1078.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1829000 | PA      | $5841.63      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3963000 | PA      | $3370.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2614000 | PA      | $9635.39      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     61000 | PA      | $-994.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    344000 | PA      | $-2589.26     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     64000 | PA      | $158.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    486000 | PA      | $440.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    276000 | PA      | $-30.85       | -0.00%            |  |  |  | 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      | $93833.96     | 0.36%             | 2058-12-25      | Variable      | 3.75%                 | 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      | $68214.14     | 0.27%             | 2045-05-10      | Variable      | 5.00%                 | 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      | $88361.44     | 0.34%             | 2050-08-15      | Variable      | 4.36%                 | 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      | $88263.88     | 0.34%             | 2051-06-15      | Variable      | 3.00%                 | 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      | $61545.05     | 0.24%             | 2051-06-15      | Variable      | 4.87%                 | 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      | $91126.58     | 0.35%             | 2051-10-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    142000 | PA      | $141749.42    | 0.55%             | 2026-01-20      | None          | 0.00%                 | 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      | $50500.92     | 0.20%             | 2045-12-15      | Variable      | 4.31%                 | 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        |     48710 | PA      | $46875.56     | 0.18%             | 2045-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                         | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74000 | PA      | $71807.02     | 0.28%             | 2045-03-15      | Variable      | 4.01%                 | 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      | $55206.19     | 0.21%             | 2046-08-15      | Variable      | 4.15%                 | 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        |     84482 | PA      | $82707.67     | 0.32%             | 2047-08-15      | Variable      | 4.21%                 | 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      | $84960.00     | 0.33%             | 2047-08-15      | Variable      | 4.23%                 | 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      | $48490.90     | 0.19%             | 2057-10-15      | Variable      | 4.28%                 | 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      | $93866.88     | 0.36%             | 2047-12-15      | Variable      | 3.96%                 | 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        |     24147 | PA      | $23489.40     | 0.09%             | 2048-06-15      | Variable      | 4.21%                 | 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      | $67909.00     | 0.26%             | 2048-11-15      | Variable      | 4.72%                 | 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      | $119610.00    | 0.46%             | 2048-11-15      | Fixed         | 3.85%                 | 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      | $39422.02     | 0.15%             | 2059-01-15      | Variable      | 4.91%                 | 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      | $46809.70     | 0.18%             | 2049-08-15      | Variable      | 3.07%                 | 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        |     75000 | PA      | $68824.84     | 0.27%             | 2059-03-15      | Fixed         | 3.12%                 | 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      | $27491.09     | 0.11%             | 2050-03-15      | Fixed         | 3.40%                 | 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      | $48238.93     | 0.19%             | 2051-08-15      | Variable      | 4.95%                 | 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      | $68166.35     | 0.26%             | 2053-02-15      | Fixed         | 2.50%                 | 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      | $21111.32     | 0.08%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -35 | NC      | $3132.43      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -96 | NC      | $93700.51     | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1897317.88   | 7.37%             | 2056-01-25      | Fixed         | 4.00%                 | 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      | $28988.88     | 0.11%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** Putnam Variable Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer