# EDGAR Filing Document

**Accession Number:** 0000832327
**File Stem:** 0001410368-26-054484
**Filing Date:** 2026-5
**Character Count:** 247833
**Document Hash:** 1b2810c0cbdfa74764e1a4b3d81f2c07
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-054484.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0001410368-26-054484

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK INCOME TRUST, INC.
- **CENTRAL INDEX KEY:** 0000832327

**ORGANIZATION NAME:**
- **EIN:** 133463349
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05542
- **FILM NUMBER:** 261030885

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 888-825-2257

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC.
- **DATE OF NAME CHANGE:** 20121009

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19930309

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKSTONE INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Nport-Ex

March 31, 2026

2026 Quarterly Report <br>&nbsp;&nbsp;&nbsp;&nbsp;(Unaudited)<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**BlackRock Income Trust, Inc. (BKT)**<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Not FDIC Insured • May Lose Value • No Bank Guarantee**<br>

------

Schedule of Investments (unaudited)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| Sterling COOFS Trust<sup>(a)(b)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-1, Class A, 2.36%, 04/15/29 | 436 | &nbsp;&nbsp; $— |
| &nbsp;&nbsp;&nbsp; Series 2004-2, Class Note, 2.08%, 03/30/30 | 83 | &nbsp;&nbsp; — |
| **Total Asset-Backed Securities — 0.0%** <br>**(Cost: $35,962)** | **Total Asset-Backed Securities — 0.0%** <br>**(Cost: $35,962)** | &nbsp;&nbsp; — |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations**<sup>(b)</sup> **— 0.6%** | **Collateralized Mortgage Obligations**<sup>(b)</sup> **— 0.6%** | **Collateralized Mortgage Obligations**<sup>(b)</sup> **— 0.6%** |
| &nbsp;&nbsp;&nbsp; Bravo Residential Funding Trust, Series 2021-NQM1, <br> Class A1, 0.94%, 02/25/49<sup>(c)</sup><br>| 24 | &nbsp;&nbsp; 23108 |
| &nbsp;&nbsp;&nbsp; Chase Home Lending Mortgage Trust, Series 2019-<br> ATR1, Class A12, 6.50%, 04/25/49<sup>(c)</sup><br>| 27 | &nbsp;&nbsp; 26842 |
| &nbsp;&nbsp;&nbsp; COLT Mortgage Loan Trust, Series 2022-2, Class A1, <br> 3.99%, 02/25/67<br>| 93 | &nbsp;&nbsp; 88618 |
| &nbsp;&nbsp;&nbsp; CSMC, Series 2022-ATH1, Class A1A, 3.87%, <br> 01/25/67<sup>(c)</sup><br>| 76 | &nbsp;&nbsp; 73686 |
| &nbsp;&nbsp;&nbsp; Ellington Financial Mortgage Trust, Series 2022-1, <br> Class A1, 2.21%, 01/25/67<sup>(c)</sup><br>| 181 | &nbsp;&nbsp; 161560 |
| &nbsp;&nbsp;&nbsp; Flagstar Mortgage Trust, Series 2021-4, Class A1, <br> 2.50%, 06/01/51<sup>(c)</sup><br>| 149 | &nbsp;&nbsp; 124544 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Corp. Trust, Series 2022-<br> PJ2, Class A4, 2.50%, 06/25/52<sup>(c)</sup><br>| 74 | &nbsp;&nbsp; 61366 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, Series 2021-PJ2, <br> Class A2, 2.50%, 11/25/51<sup>(c)</sup><br>| 72 | &nbsp;&nbsp; 59407 |
| &nbsp;&nbsp;&nbsp; Homes Trust, Series 2024-NQM2, Class A1, 5.72%, <br> 10/25/69<br>| 70 | &nbsp;&nbsp; 70762 |
| JP Morgan Mortgage Trust<sup>(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-DSC1, Class A1, 4.75%, 01/25/63 | 83 | &nbsp;&nbsp; 81596 |
| &nbsp;&nbsp;&nbsp; Series 2022-INV3, Class A3B, 3.00%, 09/25/52 | 73 | &nbsp;&nbsp; 63520 |
| &nbsp;&nbsp;&nbsp; Mello Mortgage Capital Acceptance, Series 2022-INV2, <br> Class A3, 3.00%, 04/25/52<sup>(c)</sup><br>| 78 | &nbsp;&nbsp; 67854 |
| &nbsp;&nbsp;&nbsp; MFA Trust, Series 2020-NQM1, Class A1, 2.48%, <br> 03/25/65<sup>(c)</sup><br>| 22 | &nbsp;&nbsp; 21408 |
| &nbsp;&nbsp;&nbsp; OBX Trust, Series 2022-INC3, Class A1, 3.00%, <br> 02/25/52<sup>(c)</sup><br>| 75 | &nbsp;&nbsp; 64937 |
| &nbsp;&nbsp;&nbsp; PMT Loan Trust, Series 2024-INV1, Class A3, 5.50%, <br> 10/25/59<sup>(c)</sup><br>| 121 | &nbsp;&nbsp; 120236 |
| &nbsp;&nbsp;&nbsp; Provident Funding Mortgage Trust, Series 2024-1, <br> Class A1, 5.50%, 12/25/54<sup>(c)</sup><br>| 113 | &nbsp;&nbsp; 112252 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, <br> 02/25/52<sup>(c)</sup><br>| 74 | &nbsp;&nbsp; 64597 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust, Series 2024-INV1, Class A3, <br> 5.50%, 10/25/54<sup>(c)</sup><br>| 124 | &nbsp;&nbsp; 123505 |
| &nbsp;&nbsp;&nbsp; STAR Trust, Series 2021-1, Class M1, 2.36%, <br> 05/25/65<sup>(c)</sup><br>| 200 | &nbsp;&nbsp; 179483 |
| &nbsp;&nbsp;&nbsp; TRK Trust, Series 2021-INV2, Class A1, 1.97%, <br> 11/25/56<sup>(c)</sup><br>| 91 | &nbsp;&nbsp; 82375 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 3.72%, 01/25/67 | 65 | &nbsp;&nbsp; 61496 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 5.13%, 02/25/67 | 256 | &nbsp;&nbsp; 244989 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class A1, 5.80%, 07/25/69 | 91 | &nbsp;&nbsp; 91301 |
|  |  | &nbsp;&nbsp; 2069442 |
| **Commercial Mortgage-Backed Securities — 9.1%** | **Commercial Mortgage-Backed Securities — 9.1%** | **Commercial Mortgage-Backed Securities — 9.1%** |
| &nbsp;&nbsp;&nbsp; 1301 Trust, Series 2025-1301, Class A, 5.06%, <br> 08/11/42<sup>(b)(c)</sup><br>| 210 | &nbsp;&nbsp; 210498 |
| &nbsp;&nbsp;&nbsp; 1345 Trust, Series 2025-AOA, Class A, (1 mo. Term <br> SOFR + 1.60%), 5.27%, 06/15/42<sup>(b)(c)</sup><br>| 450 | &nbsp;&nbsp; 448594 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| ARES Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2026-AZURE, Class A, (1 mo. Term SOFR + <br> 1.35%), 5.00%, 03/15/38<br>| $680 | &nbsp;&nbsp; $680000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2026-AZURE, Class B, (1 mo. Term SOFR + <br> 1.60%), 5.25%, 03/15/38<br>| 140 | &nbsp;&nbsp; 140000 |
| &nbsp;&nbsp;&nbsp; ARES Trust, Series 2025-IND3, Class A, (1 mo. Term <br> SOFR + 1.50%), 5.17%, 04/15/42<sup>(b)(c)</sup><br>| 212 | &nbsp;&nbsp; 212000 |
| &nbsp;&nbsp;&nbsp; BAMLL Trust, Series 2024-BHP, Class A, (1 mo. Term <br> SOFR + 2.35%), 6.02%, 08/15/39<sup>(b)(c)</sup><br>| 135 | &nbsp;&nbsp; 135019 |
| &nbsp;&nbsp;&nbsp; BAY Mortgage Trust, Series 2025-LIVN, Class A, (1 mo. <br> Term SOFR + 1.80%), 5.47%, 05/15/35<sup>(b)(c)</sup><br>| 481 | &nbsp;&nbsp; 478446 |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust, Series 2018-TALL, Class A, <br> (1 mo. Term SOFR + 0.92%), 4.59%, 03/15/37<sup>(b)(c)</sup><br>| 290 | &nbsp;&nbsp; 274786 |
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, Series 2025-V18, Class B, <br> 5.94%, 10/15/58<br>| 200 | &nbsp;&nbsp; 202766 |
| BFLD Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-5MW, Class A, 4.67%, 10/10/42 | 510 | &nbsp;&nbsp; 505975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class A, (1 mo. Term SOFR + <br> 1.50%), 5.17%, 11/15/42<br>| 335 | &nbsp;&nbsp; 334582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class B, (1 mo. Term SOFR + <br> 1.80%), 5.47%, 11/15/42<br>| 130 | &nbsp;&nbsp; 129675 |
| BFLD Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class A, (1 mo. Term SOFR + <br> 1.55%), 5.22%, 06/15/42<br>| 345 | &nbsp;&nbsp; 343899 |
| &nbsp;&nbsp;&nbsp; Series 2025-FPM, Class A, 4.68%, 10/10/40 | 263 | &nbsp;&nbsp; 263913 |
| &nbsp;&nbsp;&nbsp; BLP Commercial Mortgage Trust, Series 2023-IND, <br> Class A, (1 mo. Term SOFR + 1.69%), 5.36%, <br> 03/15/40<sup>(b)(c)</sup><br>| 472 | &nbsp;&nbsp; 472163 |
| &nbsp;&nbsp;&nbsp; BMO Mortgage Trust, Series 2024-C8, Class A5, 5.60%, <br> 03/15/57<sup>(c)</sup><br>| 145 | &nbsp;&nbsp; 150133 |
| &nbsp;&nbsp;&nbsp; BPR Commercial Mortgage Trust, Series 2025-STAR, <br> Class B, 5.02%, 11/05/42<sup>(b)(c)</sup><br>| 160 | &nbsp;&nbsp; 158968 |
| &nbsp;&nbsp;&nbsp; BPR Trust, Series 2025-ALDR, Class A, 5.67%, <br> 06/05/42<sup>(b)</sup><br>| 190 | &nbsp;&nbsp; 194576 |
| &nbsp;&nbsp;&nbsp; BRCK Trust, Series 2025-830B, Class A, 4.48%, <br> 12/10/42<sup>(b)(c)</sup><br>| 805 | &nbsp;&nbsp; 797012 |
| BSTN Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1C, Class A, 5.01%, 06/15/44 | 155 | &nbsp;&nbsp; 157632 |
| &nbsp;&nbsp;&nbsp; Series 2025-HUB, Class A, 4.57%, 04/13/41 | 145 | &nbsp;&nbsp; 144814 |
| BX Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1 mo. Term SOFR + <br> 1.29%), 4.97%, 12/15/39<br>| 180 | &nbsp;&nbsp; 180349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1 mo. Term SOFR + <br> 1.44%), 5.11%, 02/15/39<br>| 270 | &nbsp;&nbsp; 270431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class A, (1 mo. Term SOFR + <br> 1.38%), 5.05%, 08/15/42<br>| 570 | &nbsp;&nbsp; 570179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-JDI, Class A, (1 mo. Term SOFR + <br> 1.40%), 5.07%, 11/15/42<br>| 525 | &nbsp;&nbsp; 524793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2026-VLT9, Class A, (1 mo. Term SOFR + <br> 1.70%), 5.37%, 03/15/45<br>| 553 | &nbsp;&nbsp; 550323 |
| BX Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BIO, Class A, (1 mo. Term SOFR + <br> 1.64%), 5.31%, 02/15/41<br>| 145 | &nbsp;&nbsp; 144636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1 mo. Term SOFR + <br> 1.49%), 5.16%, 06/15/41<br>| 105 | &nbsp;&nbsp; 104344 |
| &nbsp;&nbsp;&nbsp; Series 2025-ARIA, Class A, 5.03%, 12/13/42 | 910 | &nbsp;&nbsp; 914791 |
| &nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, 06/13/47 | 330 | &nbsp;&nbsp; 330948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LUNR, Class A, (1 mo. Term SOFR + <br> 1.50%), 5.17%, 06/15/40<br>| 447 | &nbsp;&nbsp; 447918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OMG, Class A, (1 mo. Term SOFR + <br> 1.35%), 5.02%, 10/15/42<br>| 209 | &nbsp;&nbsp; 208478 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Trust<sup>(b)(c)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class A, (1 mo. Term SOFR + <br> 1.40%), 5.07%, 06/15/35<br>| $362 | &nbsp;&nbsp; $362000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VLT6, Class A, (1 mo. Term SOFR + <br> 1.44%), 5.12%, 03/15/42<br>| 615 | &nbsp;&nbsp; 610772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VOLT, Class A, (1 mo. Term SOFR + <br> 1.70%), 5.37%, 12/15/44<br>| 760 | &nbsp;&nbsp; 757625 |
| &nbsp;&nbsp;&nbsp; CEDR Commercial Mortgage Trust 2022-SNAI, <br> Series 2022-SNAI, Class A, (1 mo. Term SOFR + <br> 0.99%), 4.66%, 02/15/39<sup>(b)(c)</sup><br>| 575 | &nbsp;&nbsp; 568217 |
| CENT, Series 2025-CITY, Class A, 4.92%, 07/10/40<sup>(b)(c)</sup> | 335 | &nbsp;&nbsp; 337402 |
| &nbsp;&nbsp;&nbsp; CHI Commercial Mortgage Trust, Series 2025-110W, <br> Class A, 5.10%, 12/13/40<sup>(b)(c)</sup><br>| 935 | &nbsp;&nbsp; 928686 |
| &nbsp;&nbsp;&nbsp; CIP Commercial Mortgage Trust, Series 2025-SBAY, <br> Class A, (1 mo. Term SOFR + 1.40%), 5.07%, <br> 10/15/37<sup>(b)(c)</sup><br>| 283 | &nbsp;&nbsp; 282823 |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, Series 2023-<br> SMRT, Class A, 5.82%, 10/12/40<sup>(b)(c)</sup><br>| 340 | &nbsp;&nbsp; 346562 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, Series 2024-WCL1, <br> Class A, (1 mo. Term SOFR + 1.84%), 5.51%, <br> 06/15/41<sup>(b)(c)</sup><br>| 410 | &nbsp;&nbsp; 408590 |
| &nbsp;&nbsp;&nbsp; CRB Commercial Mortgage Trust, Series 2025-CRE1, <br> Class A, 3.87%, 09/15/58<sup>(b)(c)</sup><br>| 1944 | &nbsp;&nbsp; 1926582 |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, Series 2018-C14, <br> Class XA, 0.51%, 11/15/51<sup>(c)</sup><br>| 1873 | &nbsp;&nbsp; 19557 |
| CSRO Trust, Series 2023, Class A, 7.12%, 07/12/40<sup>(b)</sup> | 177 | &nbsp;&nbsp; 182123 |
| CSTL Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-GATE, Class A, 4.76%, 11/10/41 | 425 | &nbsp;&nbsp; 423872 |
| &nbsp;&nbsp;&nbsp; Series 2025-GATE2, Class A, 4.56%, 11/10/42 | 290 | &nbsp;&nbsp; 285105 |
| &nbsp;&nbsp;&nbsp; Series 2026-GATE3, Class A, 4.69%, 02/10/43 | 482 | &nbsp;&nbsp; 476828 |
| &nbsp;&nbsp;&nbsp; DBC Mortgage Trust, Series 2025-DBC, Class A, (1 mo. <br> Term SOFR + 1.35%), 5.02%, 11/15/42<sup>(b)(c)</sup><br>| 565 | &nbsp;&nbsp; 564647 |
| &nbsp;&nbsp;&nbsp; DK Trust, Series 2025-LXP, Class A, (1 mo. Term SOFR <br> + 1.59%), 5.27%, 08/15/37<sup>(b)(c)</sup><br>| 73 | &nbsp;&nbsp; 73000 |
| &nbsp;&nbsp;&nbsp; Durst Commercial Mortgage Trust, Series 2025-151, <br> Class A, 4.80%, 08/10/42<sup>(b)(c)</sup><br>| 215 | &nbsp;&nbsp; 216984 |
| Extended Stay America Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ESH, Class A, (1 mo. Term SOFR + <br> 1.30%), 4.97%, 10/15/42<br>| 190 | &nbsp;&nbsp; 190000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2026-ESH2, Class A, (1 mo. Term SOFR + <br> 1.20%), 4.87%, 02/15/43<br>| 342 | &nbsp;&nbsp; 341784 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, Series 2023-FUN, <br> Class A, (1 mo. Term SOFR + 2.09%), 5.76%, <br> 03/15/28<sup>(b)(c)</sup><br>| 280 | &nbsp;&nbsp; 280788 |
| &nbsp;&nbsp;&nbsp; GSAT Trust, Series 2025-BMF, Class A, (1 mo. Term <br> SOFR + 1.50%), 5.17%, 07/15/40<sup>(b)(c)</sup><br>| 645 | &nbsp;&nbsp; 644370 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2025-SPRL, <br> Class A, 5.47%, 01/13/40<sup>(b)(c)</sup><br>| 460 | &nbsp;&nbsp; 470703 |
| &nbsp;&nbsp;&nbsp; ILPT Commercial Mortgage Trust, Series 2025-LPF2, <br> Class A, 5.29%, 07/13/42<sup>(b)(c)</sup><br>| 553 | &nbsp;&nbsp; 560277 |
| &nbsp;&nbsp;&nbsp; INT Commercial Mortgage Trust, Series 2025-PLAZA, <br> Class A, 4.55%, 11/05/37<sup>(b)(c)</sup><br>| 100 | &nbsp;&nbsp; 99665 |
| &nbsp;&nbsp;&nbsp; INTOWN Mortgage Trust, Series 2025-STAY, Class A, <br> (1 mo. Term SOFR + 1.35%), 5.02%, 03/15/42<sup>(b)(c)</sup><br>| 510 | &nbsp;&nbsp; 508725 |
| &nbsp;&nbsp;&nbsp; JP Morgan Chase Commercial Mortgage Securities <br> Trust, Series 2025-BHR5, Class A, (1 mo. Term SOFR <br> + 1.69%), 5.37%, 03/15/40<sup>(b)(c)</sup><br>| 90 | &nbsp;&nbsp; 90006 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; KSL Commercial Mortgage Trust, Series 2024-HT2, <br> Class A, (1 mo. Term SOFR + 1.54%), 5.21%, <br> 12/15/39<sup>(b)(c)</sup><br>| $143 | &nbsp;&nbsp; $142326 |
| &nbsp;&nbsp;&nbsp; LEX Trust, Series 2026-450, Class B, (1 mo. Term SOFR <br> + 1.70%), 5.37%, 03/15/43<sup>(b)(c)</sup><br>| 405 | &nbsp;&nbsp; 402212 |
| &nbsp;&nbsp;&nbsp; LQR Trust, Series 2025-CALI, Class A, (1 mo. Term <br> SOFR + 1.60%), 5.27%, 01/15/43<sup>(c)</sup><br>| 669 | &nbsp;&nbsp; 664420 |
| &nbsp;&nbsp;&nbsp; MAD Commercial Mortgage Trust, Series 2025-11MD, <br> Class A, 4.44%, 10/15/42<sup>(b)(c)</sup><br>| 220 | &nbsp;&nbsp; 218998 |
| MIRA Trust, Series 2023, Class A, 6.75%, 06/10/38<sup>(b)</sup> | 569 | &nbsp;&nbsp; 584081 |
| &nbsp;&nbsp;&nbsp; MLTI Trust, Series 2026-SF75, Class B, (1 mo. Term <br> SOFR + 1.70%), 5.37%, 03/15/31<sup>(b)(c)</sup><br>| 279 | &nbsp;&nbsp; 277605 |
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, Series 2022-LPFL, <br> Class A, (1 mo. Term SOFR + 1.40%), 5.08%, <br> 03/15/39<sup>(b)(c)</sup><br>| 235 | &nbsp;&nbsp; 234853 |
| &nbsp;&nbsp;&nbsp; NCMF Trust, Series 2025-MFS, Class A, 4.88%, <br> 06/10/33<sup>(b)(c)</sup><br>| 493 | &nbsp;&nbsp; 491202 |
| &nbsp;&nbsp;&nbsp; NJ WBRK, Series 2025-WBRK, Class A, 5.87%, <br> 03/05/35<sup>(b)(c)</sup><br>| 320 | &nbsp;&nbsp; 328765 |
| &nbsp;&nbsp;&nbsp; NRTH Commercial Mortgage Trust, Series 2025-PARK, <br> Class A, (1 mo. Term SOFR + 1.39%), 5.07%, <br> 10/15/40<sup>(b)(c)</sup><br>| 580 | &nbsp;&nbsp; 579457 |
| NYC Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-28L, Class A, 4.67%, 11/05/38 | 156 | &nbsp;&nbsp; 155341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3BP, Class A, (1 mo. Term SOFR + <br> 1.21%), 4.89%, 02/15/42<br>| 510 | &nbsp;&nbsp; 506812 |
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust 2026-1PARK, <br> Series 2026-1PARK, Class A, (1 mo. Term SOFR + <br> 1.25%), 4.93%, 02/15/43<sup>(b)(c)</sup><br>| 275 | &nbsp;&nbsp; 273883 |
| &nbsp;&nbsp;&nbsp; NYCT Trust, Series 2025-77C, Class A, 4.79%, <br> 01/10/36<sup>(b)(c)</sup><br>| 1455 | &nbsp;&nbsp; 1443352 |
| &nbsp;&nbsp;&nbsp; PENN Commercial Mortgage Trust, Series 2025-P11, <br> Class A, 5.34%, 08/10/42<sup>(b)</sup><br>| 89 | &nbsp;&nbsp; 90431 |
| &nbsp;&nbsp;&nbsp; PLYM Commercial Mortgage Trust, Series 2026-IND, <br> Class A, (1 mo. Term SOFR + 1.25%), 4.92%, <br> 03/15/43<sup>(b)(c)</sup><br>| 935 | &nbsp;&nbsp; 930325 |
| &nbsp;&nbsp;&nbsp; PRM Trust, Series 2025-PRM6, Class A, 4.48%, <br> 07/05/33<sup>(b)(c)</sup><br>| 394 | &nbsp;&nbsp; 390918 |
| &nbsp;&nbsp;&nbsp; SDAL Trust, Series 2025-DAL, Class A, (1 mo. Term <br> SOFR + 2.44%), 6.11%, 04/15/42<sup>(b)(c)</sup><br>| 476 | &nbsp;&nbsp; 477056 |
| &nbsp;&nbsp;&nbsp; SDR Commercial Mortgage Trust, Series 2024-DSNY, <br> Class A, (1 mo. Term SOFR + 1.39%), 5.06%, <br> 05/15/39<sup>(b)(c)</sup><br>| 111 | &nbsp;&nbsp; 110653 |
| &nbsp;&nbsp;&nbsp; SHRN Trust, Series 2025-MF18, Class A, (1 mo. Term <br> SOFR + 1.20%), 4.87%, 10/15/40<sup>(b)(c)</sup><br>| 500 | &nbsp;&nbsp; 498750 |
| SLG Commercial Mortgage Trust<sup>(b)(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2026-PAT, Class A, 4.45%, 02/15/39 | 202 | &nbsp;&nbsp; 200341 |
| &nbsp;&nbsp;&nbsp; Series 2026-PAT, Class B, 4.71%, 02/15/39 | 175 | &nbsp;&nbsp; 173501 |
| &nbsp;&nbsp;&nbsp; UNIV Trust, Series 2025-APTS, Class A, (1 mo. Term <br> SOFR + 1.65%), 5.32%, 11/15/42<sup>(b)(c)</sup><br>| 640 | &nbsp;&nbsp; 637752 |
| Wells Fargo Commercial Mortgage Trust<sup>(c)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-AUS, Class A, 4.06%, 08/17/36<sup>(b)</sup> | 583 | &nbsp;&nbsp; 569309 |
| &nbsp;&nbsp;&nbsp; Series 2018-C44, Class XA, 0.70%, 05/15/51 | 4300 | &nbsp;&nbsp; 51197 |
| &nbsp;&nbsp;&nbsp; WHARF Commercial Mortgage Trust, Series 2025-DC, <br> Class A, 4.99%, 07/15/40<sup>(b)(c)</sup><br>| 231 | &nbsp;&nbsp; 236148 |
|  |  | &nbsp;&nbsp; 33310022 |

---

Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Collateralized Mortgage Obligations — 0.0%** | **Interest Only Collateralized Mortgage Obligations — 0.0%** | **Interest Only Collateralized Mortgage Obligations — 0.0%** |
| &nbsp;&nbsp;&nbsp; CitiMortgage Alternative Loan Trust, Series 2007-A5, <br> Class 1A7, 6.00%, 05/25/37<br>| $97 | &nbsp;&nbsp; $21142 |
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, <br> Class 4AX, 0.17%, 01/25/37<sup>(a)</sup><br>| 16119 | &nbsp;&nbsp; 2 |
|  |  | &nbsp;&nbsp; 21144 |
| **Principal Only Collateralized Mortgage Obligations**<sup>(d)</sup> **— 0.0%** | **Principal Only Collateralized Mortgage Obligations**<sup>(d)</sup> **— 0.0%** | **Principal Only Collateralized Mortgage Obligations**<sup>(d)</sup> **— 0.0%** |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, Series 2005-A15, <br> Class 1A8, 2.58%, 02/25/36<br>| 73 | &nbsp;&nbsp; 51984 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates <br> Trust, Series 2005-9, Class CP, 5.00%, 11/25/35<br>| 43 | &nbsp;&nbsp; 25046 |
|  |  | &nbsp;&nbsp; 77030 |
| **Total Non-Agency Mortgage-Backed Securities — 9.7%** <br>**(Cost: $35,583,454)** | **Total Non-Agency Mortgage-Backed Securities — 9.7%** <br>**(Cost: $35,583,454)** | &nbsp;&nbsp; 35477638 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 3.3%** | **Agency Obligations — 3.3%** |  |
| Federal Farm Credit Banks Funding Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.75%, 02/22/30 | 400 | &nbsp;&nbsp; 383019 |
| &nbsp;&nbsp;&nbsp; 1.84%, 01/25/36 | 500 | &nbsp;&nbsp; 385278 |
| Federal Home Loan Banks, 1.61%, 01/27/33 | 300 | &nbsp;&nbsp; 251470 |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. Principal Strip, 0.00%, <br> 04/15/30<sup>(e)</sup><br>| 13000 | &nbsp;&nbsp; 11034100 |
|  |  | &nbsp;&nbsp; 12053867 |
| **Collateralized Mortgage Obligations — 50.4%** | **Collateralized Mortgage Obligations — 50.4%** |  |
| Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-31, Class ZG, 7.50%, 05/25/34 | 1141 | &nbsp;&nbsp; 1221642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class DS, (30-day Avg SOFR + <br> 17.25%), 7.73%, 08/25/35<sup>(c)</sup><br>| 15 | &nbsp;&nbsp; 15857 |
| &nbsp;&nbsp;&nbsp; Series 2010-134, Class DB, 4.50%, 12/25/40 | 4168 | &nbsp;&nbsp; 4131458 |
| &nbsp;&nbsp;&nbsp; Series 2010-136, Class CY, 4.00%, 12/25/40 | 2089 | &nbsp;&nbsp; 2040843 |
| &nbsp;&nbsp;&nbsp; Series 2010-47, Class JB, 5.00%, 05/25/30 | 769 | &nbsp;&nbsp; 775354 |
| &nbsp;&nbsp;&nbsp; Series 2011-117, Class CP, 4.00%, 11/25/41 | 14350 | &nbsp;&nbsp; 13853347 |
| &nbsp;&nbsp;&nbsp; Series 2011-8, Class ZA, 4.00%, 02/25/41 | 2823 | &nbsp;&nbsp; 2740894 |
| &nbsp;&nbsp;&nbsp; Series 2011-99, Class CB, 4.50%, 10/25/41<sup>(f)</sup> | 20462 | &nbsp;&nbsp; 20251289 |
| &nbsp;&nbsp;&nbsp; Series 2012-104, Class QD, 4.00%, 09/25/42 | 1639 | &nbsp;&nbsp; 1512822 |
| &nbsp;&nbsp;&nbsp; Series 2017-90, Class WB, 3.00%, 11/25/47 | 433 | &nbsp;&nbsp; 352697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-32, Class PS, (30-day Avg SOFR + <br> 7.10%), 2.83%, 05/25/48<sup>(c)</sup><br>| 3260 | &nbsp;&nbsp; 2765979 |
| &nbsp;&nbsp;&nbsp; Series 2018-50, Class EB, 4.00%, 07/25/48 | 1804 | &nbsp;&nbsp; 1755851 |
| &nbsp;&nbsp;&nbsp; Series 2020-57, Class LI, 2.00%, 08/25/50 | 5500 | &nbsp;&nbsp; 4171949 |
| &nbsp;&nbsp;&nbsp; Series 2020-79, Class JA, 1.50%, 11/25/50 | 161 | &nbsp;&nbsp; 148289 |
| &nbsp;&nbsp;&nbsp; Series 2022-10, Class PZ, 3.50%, 02/25/52 | 1519 | &nbsp;&nbsp; 1208440 |
| &nbsp;&nbsp;&nbsp; Series 2022-25, Class KL, 4.00%, 05/25/52 | 1000 | &nbsp;&nbsp; 918903 |
| &nbsp;&nbsp;&nbsp; Series 2022-31, Class BZ, 4.00%, 10/25/51 | 769 | &nbsp;&nbsp; 661052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class FG, (30-day Avg SOFR + <br> 1.45%), 5.11%, 02/25/55<sup>(c)</sup><br>| 180 | &nbsp;&nbsp; 181178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-35, Class FJ, (30-day Avg SOFR + <br> 1.60%), 5.26%, 05/25/55<sup>(c)</sup><br>| 234 | &nbsp;&nbsp; 236650 |
| &nbsp;&nbsp;&nbsp; Series 2025-74, Class AT, 5.00%, 09/25/55 | 10736 | &nbsp;&nbsp; 10653808 |
| &nbsp;&nbsp;&nbsp; Series 5178, Class CY, 2.00%, 01/25/42 | 4663 | &nbsp;&nbsp; 3293311 |
| &nbsp;&nbsp;&nbsp; Series 5231, Class ZA, 4.00%, 06/25/52 | 5238 | &nbsp;&nbsp; 4354633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5471, Class FM, (30-day Avg SOFR + 1.40%), <br> 5.06%, 11/25/54<sup>(c)</sup><br>| 669 | &nbsp;&nbsp; 672808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5499, Class FW, (30-day Avg SOFR + 1.40%), <br> 5.06%, 02/25/55<sup>(c)</sup><br>| 4806 | &nbsp;&nbsp; 4843119 |
| Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2218, Class Z, 8.50%, 03/15/30 | 75 | &nbsp;&nbsp; 78595 |
| &nbsp;&nbsp;&nbsp; Series 2731, Class ZA, 4.50%, 01/15/34 | 886 | &nbsp;&nbsp; 883208 |
| &nbsp;&nbsp;&nbsp; Series 2927, Class BZ, 5.50%, 02/15/35 | 659 | &nbsp;&nbsp; 674113 |
| &nbsp;&nbsp;&nbsp; Series 3762, Class LN, 4.00%, 11/15/40 | 1950 | &nbsp;&nbsp; 1865543 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |  |
| Freddie Mac REMICS (continued) |  |  |
| &nbsp;&nbsp;&nbsp; Series 3856, Class PB, 5.00%, 05/15/41 | 4850 | &nbsp;&nbsp; $4910242 |
| &nbsp;&nbsp;&nbsp; Series 3963, Class JB, 4.50%, 11/15/41 | 368 | &nbsp;&nbsp; 363787 |
| &nbsp;&nbsp;&nbsp; Series 4016, Class BX, 4.00%, 09/15/41 | 12201 | &nbsp;&nbsp; 11920490 |
| &nbsp;&nbsp;&nbsp; Series 4269, Class PM, 4.00%, 08/15/41 | 8884 | &nbsp;&nbsp; 8434481 |
| &nbsp;&nbsp;&nbsp; Series 4299, Class JY, 4.00%, 01/15/44 | 1000 | &nbsp;&nbsp; 947734 |
| &nbsp;&nbsp;&nbsp; Series 4398, Class ZX, 4.00%, 09/15/54 | 394 | &nbsp;&nbsp; 363165 |
| &nbsp;&nbsp;&nbsp; Series 4615, Class LB, 4.50%, 09/15/41 | 5813 | &nbsp;&nbsp; 5731518 |
| &nbsp;&nbsp;&nbsp; Series 4748, Class BM, 3.50%, 11/15/47 | 3351 | &nbsp;&nbsp; 2917921 |
| &nbsp;&nbsp;&nbsp; Series 4774, Class L, 4.50%, 03/15/48 | 3945 | &nbsp;&nbsp; 3881152 |
| &nbsp;&nbsp;&nbsp; Series 4830, Class AV, 4.00%, 10/15/33 | 1069 | &nbsp;&nbsp; 1025792 |
| &nbsp;&nbsp;&nbsp; Series 4921, Class NL, 3.00%, 10/25/49 | 504 | &nbsp;&nbsp; 334708 |
| &nbsp;&nbsp;&nbsp; Series 5230, Class DL, 3.50%, 09/25/44 | 400 | &nbsp;&nbsp; 345166 |
| &nbsp;&nbsp;&nbsp; Series 5249, Class LB, 4.00%, 08/25/52 | 6295 | &nbsp;&nbsp; 5979613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class FM, (30-day Avg SOFR + 1.20%), <br> 4.86%, 11/25/54<sup>(c)</sup><br>| 580 | &nbsp;&nbsp; 582241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class MF, (30-day Avg SOFR + 1.30%), <br> 4.96%, 11/25/54<sup>(c)</sup><br>| 449 | &nbsp;&nbsp; 451341 |
| Freddie Mac Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-2, Class MA, 3.50%, 11/25/57 | 348 | &nbsp;&nbsp; 340224 |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class MA, 3.50%, 07/25/58 | 672 | &nbsp;&nbsp; 652813 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class MA, 3.50%, 08/26/58 | 276 | &nbsp;&nbsp; 266723 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Structured Pass-Through Certificates, <br> Series T-11, Class A9, 0.13%, 01/25/28<sup>(c)</sup><br>| 8 | &nbsp;&nbsp; 7961 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp; Series 2011-88, Class PY, 4.00%, 06/20/41 | 5889 | &nbsp;&nbsp; 5753895 |
| &nbsp;&nbsp;&nbsp; Series 2012-16, Class HJ, 4.00%, 09/20/40 | 3941 | &nbsp;&nbsp; 3827557 |
| &nbsp;&nbsp;&nbsp; Series 2015-96, Class ZM, 4.00%, 07/20/45 | 9611 | &nbsp;&nbsp; 9089560 |
| &nbsp;&nbsp;&nbsp; Series 2018-91, Class ZL, 4.00%, 07/20/48 | 6981 | &nbsp;&nbsp; 6068540 |
| &nbsp;&nbsp;&nbsp; Series 2022-176, Class JZ, 4.50%, 10/20/52 | 4773 | &nbsp;&nbsp; 4298470 |
| &nbsp;&nbsp;&nbsp; Series 2022-63, Class ZM, 3.50%, 10/20/50 | 4775 | &nbsp;&nbsp; 3876971 |
| &nbsp;&nbsp;&nbsp; Series 2023-131, Class PZ, 5.50%, 09/20/53 | 10112 | &nbsp;&nbsp; 10240241 |
| &nbsp;&nbsp;&nbsp; Series 2025-214, Class DI, 5.50%, 12/20/55 | 3550 | &nbsp;&nbsp; 773891 |
| &nbsp;&nbsp;&nbsp; Series 2026-34, Class MI, 5.50%, 02/20/56 | 16905 | &nbsp;&nbsp; 3710340 |
|  |  | &nbsp;&nbsp; 183360169 |
| **Commercial Mortgage-Backed Securities**<sup>(c)</sup> **— 0.3%** | **Commercial Mortgage-Backed Securities**<sup>(c)</sup> **— 0.3%** |  |
| &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured Pass Through <br> Certificates<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series K094, Class X1, 0.87%, 06/25/29 | 1361 | &nbsp;&nbsp; 33485 |
| &nbsp;&nbsp;&nbsp; Series K104, Class X1, 1.11%, 01/25/30 | 1290 | &nbsp;&nbsp; 45156 |
| &nbsp;&nbsp;&nbsp; Series K105, Class X1, 1.51%, 01/25/30 | 1771 | &nbsp;&nbsp; 86681 |
| &nbsp;&nbsp;&nbsp; Series K107, Class X1, 1.58%, 01/25/30 | 1193 | &nbsp;&nbsp; 61793 |
| &nbsp;&nbsp;&nbsp; Series K109, Class X1, 1.57%, 04/25/30 | 913 | &nbsp;&nbsp; 47898 |
| &nbsp;&nbsp;&nbsp; Series K110, Class X1, 1.64%, 04/25/30 | 364 | &nbsp;&nbsp; 19616 |
| &nbsp;&nbsp;&nbsp; Series K113, Class X1, 1.37%, 06/25/30 | 1561 | &nbsp;&nbsp; 73981 |
| &nbsp;&nbsp;&nbsp; Series K115, Class X1, 1.31%, 06/25/30 | 1912 | &nbsp;&nbsp; 89246 |
| &nbsp;&nbsp;&nbsp; Series K120, Class X1, 1.03%, 10/25/30 | 3788 | &nbsp;&nbsp; 143176 |
| &nbsp;&nbsp;&nbsp; Series K122, Class X1, 0.87%, 11/25/30 | 1628 | &nbsp;&nbsp; 54169 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-63, Class IO, 0.71%, 09/16/51 | 2109 | &nbsp;&nbsp; 47794 |
| &nbsp;&nbsp;&nbsp; Series 2014-169, Class IO, 0.58%, 10/16/56 | 11299 | &nbsp;&nbsp; 239234 |
|  |  | &nbsp;&nbsp; 942229 |
| **Interest Only Collateralized Mortgage Obligations — 11.6%** | **Interest Only Collateralized Mortgage Obligations — 11.6%** |  |
| &nbsp;&nbsp;&nbsp; Fannie Mae REMIC Trust, Series 1999-W4, Class IO, <br> 6.50%, 12/25/28<br>| 10 | &nbsp;&nbsp; 289 |
| Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-36, Class PS, (30-day Avg SOFR + <br> 6.49%), 2.82%, 05/25/36<sup>(c)</sup><br>| 1450 | &nbsp;&nbsp; 142232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-134, Class ST, (30-day Avg SOFR + <br> 5.89%), 2.22%, 12/25/41<sup>(c)</sup><br>| 8919 | &nbsp;&nbsp; 896769 |
| &nbsp;&nbsp;&nbsp; Series 2012-47, Class NI, 4.50%, 04/25/42 | 124 | &nbsp;&nbsp; 15452 |
| &nbsp;&nbsp;&nbsp; Series 2013-10, Class PI, 3.00%, 02/25/43 | 2905 | &nbsp;&nbsp; 341170 |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** |  |
| Fannie Mae REMICS (continued) |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-45, Class EI, 4.00%, 04/25/43 | 1092 | &nbsp;&nbsp; $86439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-66, Class AS, (30-day Avg SOFR + <br> 6.14%), 2.47%, 09/25/45<sup>(c)</sup><br>| 5695 | &nbsp;&nbsp; 322733 |
| &nbsp;&nbsp;&nbsp; Series 2020-12, Class JI, 4.50%, 03/25/50 | 5510 | &nbsp;&nbsp; 1291262 |
| &nbsp;&nbsp;&nbsp; Series 2021-13, Class AI, 4.00%, 01/25/49 | 15702 | &nbsp;&nbsp; 2813762 |
| &nbsp;&nbsp;&nbsp; Series 2021-23, Class CI, 3.50%, 07/25/46 | 14102 | &nbsp;&nbsp; 2504742 |
| &nbsp;&nbsp;&nbsp; Series 2021-26, Class AI, 3.50%, 05/25/50 | 20713 | &nbsp;&nbsp; 3770020 |
| &nbsp;&nbsp;&nbsp; Series 2021-67, Class IG, 3.00%, 10/25/51 | 5383 | &nbsp;&nbsp; 873476 |
| &nbsp;&nbsp;&nbsp; Series 5119, Class IC, 4.00%, 06/25/51 | 15724 | &nbsp;&nbsp; 3169870 |
| Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3923, Class SD, (30-day Avg SOFR + 5.89%), <br> 2.21%, 09/15/41<sup>(c)</sup><br>| 11655 | &nbsp;&nbsp; 1117811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3954, Class SL, (30-day Avg SOFR + 5.89%), <br> 2.21%, 11/15/41<sup>(c)</sup><br>| 6466 | &nbsp;&nbsp; 591975 |
| &nbsp;&nbsp;&nbsp; Series 4026, Class IO, 4.50%, 04/15/32 | 302 | &nbsp;&nbsp; 17005 |
| &nbsp;&nbsp;&nbsp; Series 4706, Class IG, 4.00%, 07/15/47 | 10040 | &nbsp;&nbsp; 1899966 |
| &nbsp;&nbsp;&nbsp; Series 5013, Class JI, 4.00%, 09/25/50 | 14802 | &nbsp;&nbsp; 3038590 |
| &nbsp;&nbsp;&nbsp; Series 5083, Class IN, 4.50%, 07/25/32 | 6476 | &nbsp;&nbsp; 439091 |
| &nbsp;&nbsp;&nbsp; Series 5116B, Class CI, 3.00%, 06/25/51 | 15117 | &nbsp;&nbsp; 1984467 |
| &nbsp;&nbsp;&nbsp; Series 5138, Class IP, 3.00%, 04/25/51 | 14513 | &nbsp;&nbsp; 2449735 |
| &nbsp;&nbsp;&nbsp; Series 5236, Class JI, 4.00%, 02/25/52 | 24215 | &nbsp;&nbsp; 2640107 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-116, Class KS, (1 mo. Term SOFR + <br> 6.36%), 2.68%, 12/16/39<sup>(c)</sup><br>| 334 | &nbsp;&nbsp; 32535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-52, Class MJ, (1 mo. Term SOFR + <br> 6.54%), 2.86%, 04/20/41<sup>(c)</sup><br>| 1484 | &nbsp;&nbsp; 108690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-97, Class JS, (1 mo. Term SOFR + <br> 6.14%), 2.46%, 08/16/42<sup>(c)</sup><br>| 1480 | &nbsp;&nbsp; 44955 |
| &nbsp;&nbsp;&nbsp; Series 2020-146, Class IO, 3.50%, 10/20/50 | 4855 | &nbsp;&nbsp; 911613 |
| &nbsp;&nbsp;&nbsp; Series 2020-151, Class MI, 2.50%, 10/20/50 | 24295 | &nbsp;&nbsp; 3534247 |
| &nbsp;&nbsp;&nbsp; Series 2021-193, Class IA, 3.00%, 11/20/51 | 11880 | &nbsp;&nbsp; 1952072 |
| &nbsp;&nbsp;&nbsp; Series 2021-87, Class NI, 3.00%, 05/20/51 | 6448 | &nbsp;&nbsp; 1072576 |
| &nbsp;&nbsp;&nbsp; Series 2022-10, Class IT, 3.50%, 01/20/52 | 10359 | &nbsp;&nbsp; 1555757 |
| &nbsp;&nbsp;&nbsp; series 2022-60H, Class IH, 2.50%, 02/20/51 | 18730 | &nbsp;&nbsp; 2665750 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust, Series 1999-2, Class 1IO, <br> 0.00%, 05/15/29<sup>(c)</sup><br>| 2380 | &nbsp;&nbsp; 2 |
|  |  | &nbsp;&nbsp; 42285160 |
| **Mortgage-Backed Securities — 62.1%** | **Mortgage-Backed Securities — 62.1%** |  |
| &nbsp;&nbsp;&nbsp; Fannie Mae Mortgage-Backed Securities, 4.00%, <br> 02/01/56 - 01/01/57<sup>(f)</sup><br>| 24742 | &nbsp;&nbsp; 23403983 |
| Freddie Mac Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/39 | 2824 | &nbsp;&nbsp; 2893321 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/39 | 114 | &nbsp;&nbsp; 111393 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/46 | 619 | &nbsp;&nbsp; 582685 |
| Ginnie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/15/27 | — <br><sup>(g)</sup><br>| &nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/15/35 - 10/20/39 | 724 | &nbsp;&nbsp; 740570 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/20/54 - 02/20/56 | 5310 | &nbsp;&nbsp; 5573338 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/20/55 - 03/20/56 | 12832 | &nbsp;&nbsp; 13209726 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/20/55 | 604 | &nbsp;&nbsp; 629863 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/55 - 03/20/56 | 4266 | &nbsp;&nbsp; 4339079 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 06/01/31 | 373 | &nbsp;&nbsp; 353017 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/33 - 04/01/55<sup>(f)(h)</sup> | 44913 | &nbsp;&nbsp; 45358822 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
| Uniform Mortgage-Backed Securities (continued) |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 - 04/13/56<sup>(f)(h)(i)</sup> | 29190 | &nbsp;&nbsp; $29113743 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 - 04/13/56<sup>(f)(i)</sup> | 29015 | &nbsp;&nbsp; 27678021 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/35 - 05/13/56<sup>(f)(i)</sup> | 10507 | &nbsp;&nbsp; 9650349 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 - 01/01/55<sup>(f)</sup> | 21802 | &nbsp;&nbsp; 22320105 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/38 - 10/01/53 | 1339 | &nbsp;&nbsp; 1403615 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 - 07/01/52<sup>(f)</sup> | 8682 | &nbsp;&nbsp; 8489107 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/16/41<sup>(i)</sup> | 180 | &nbsp;&nbsp; 170007 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 - 04/13/56<sup>(i)</sup> | 33916 | &nbsp;&nbsp; 29832709 |
|  |  | &nbsp;&nbsp; 225853578 |
| **Principal Only Collateralized Mortgage Obligations**<sup>(d)</sup> **— 1.2%** | **Principal Only Collateralized Mortgage Obligations**<sup>(d)</sup> **— 1.2%** |  |
| Fannie Mae Interest Strip |  |  |
| &nbsp;&nbsp;&nbsp; Series 337, Class 1, 4.98%, 07/25/33 | 1106 | &nbsp;&nbsp; 970625 |
| &nbsp;&nbsp;&nbsp; Series 397, Class 1, 4.68%, 09/25/39 | 1578 | &nbsp;&nbsp; 1249527 |
| &nbsp;&nbsp;&nbsp; Fannie Mae REMIC Trust, Series 1999-W4, Class PO, <br> 7.00%, 02/25/29<br>| 4 | &nbsp;&nbsp; 3598 |
| Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp; Series 2002-13B, Class PR, 4.00%, 03/25/32 | 7 | &nbsp;&nbsp; 7032 |
| &nbsp;&nbsp;&nbsp; Series 2011-90, Class AO, 4.41%, 09/25/41 | 2675 | &nbsp;&nbsp; 2077657 |
|  |  | &nbsp;&nbsp; 4308439 |
| **Total U.S. Government Sponsored Agency Securities — 128.9%** <br>**(Cost: $492,150,914)** | **Total U.S. Government Sponsored Agency Securities — 128.9%** <br>**(Cost: $492,150,914)** | &nbsp;&nbsp; 468803442 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 2.25%, 05/15/41<sup>(f)</sup> | 840 | &nbsp;&nbsp; 612051 |
| &nbsp;&nbsp;&nbsp; 2.75%, 11/15/42 | 917 | &nbsp;&nbsp; 697457 |
| &nbsp;&nbsp;&nbsp; 2.88%, 05/15/52<sup>(f)</sup> | 1525 | &nbsp;&nbsp; 1057611 |
| U.S. Treasury Notes<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 11/30/28 | 700 | &nbsp;&nbsp; 709680 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/31/29 - 02/15/34 | 820 | &nbsp;&nbsp; 821541 |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/28/29 - 06/30/31 | 1190 | &nbsp;&nbsp; 1204591 |
| &nbsp;&nbsp;&nbsp; 4.13%, 03/31/29 | 450 | &nbsp;&nbsp; 453744 |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/29 | 2700 | &nbsp;&nbsp; 2761172 |
| &nbsp;&nbsp;&nbsp; 1.13%, 02/15/31 | 330 | &nbsp;&nbsp; 289291 |
| **Total U.S. Treasury Obligations — 2.4%** <br>**(Cost: $8,602,446)** | **Total U.S. Treasury Obligations — 2.4%** <br>**(Cost: $8,602,446)** | &nbsp;&nbsp; 8607138 |
| **Total Long-Term Investments — 141.0%** <br>**(Cost: $536,372,776)** | **Total Long-Term Investments — 141.0%** <br>**(Cost: $536,372,776)** | &nbsp;&nbsp; 512888218 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 0.8%** | **Money Market Funds — 0.8%** |  |
| &nbsp;&nbsp;&nbsp; BlackRock Liquidity Funds, T-Fund, Institutional Shares, <br> 3.55%<sup>(j)(k)</sup><br>| 2960472 | &nbsp;&nbsp; 2960472 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Par* <br>*(000)*<br>| *Value* |
| **U.S. Government Sponsored Agency Securities — 0.0%** | **U.S. Government Sponsored Agency Securities — 0.0%** |  |
| &nbsp;&nbsp;&nbsp; Ginnie Mae Mortgage-Backed Securities, 8.00%, <br> 12/15/26 - 01/15/27<br>| $1 | &nbsp;&nbsp; $779 |
| **U.S. Treasury Obligations — 0.7%** | **U.S. Treasury Obligations — 0.7%** |  |
| U.S. Treasury Notes<sup>(f)</sup> <br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.13%, 10/31/26 | 850 | &nbsp;&nbsp; 851494 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/30/26 - 12/31/26 | 1600 | &nbsp;&nbsp; 1605586 |
|  |  | &nbsp;&nbsp; 2457080 |
| **Total Short-Term Securities — 1.5%** <br>**(Cost: $5,407,946)** | **Total Short-Term Securities — 1.5%** <br>**(Cost: $5,407,946)** | &nbsp;&nbsp; 5418331 |
| **Total Investments Before Borrowed Bonds and TBA Sale** <br> **Commitments — 142.5%** <br>**(Cost: $541,780,722)** | **Total Investments Before Borrowed Bonds and TBA Sale** <br> **Commitments — 142.5%** <br>**(Cost: $541,780,722)** | &nbsp;&nbsp; 518306549 |
| **Borrowed Bonds** | **Borrowed Bonds** | **Borrowed Bonds** |
| **U.S. Governments Obligations — (0.2)%** | **U.S. Governments Obligations — (0.2)%** |  |
| U.S. Treasury Bonds, 2.75%, 11/15/42 | (917)<br>| &nbsp;&nbsp; (697457)<br>|
| **Total Borrowed Bonds — (0.2)%** <br>**(Proceeds: $(842347))**<br>|  | &nbsp;&nbsp; (697457)<br>|
| **TBA Sale Commitments**<sup>(i)</sup> | **TBA Sale Commitments**<sup>(i)</sup> | **TBA Sale Commitments**<sup>(i)</sup> |
| **Mortgage-Backed Securities — (1.6)%** | **Mortgage-Backed Securities — (1.6)%** |  |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/13/56 | (6117)<br>| &nbsp;&nbsp; (5607112)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 04/13/56 | (28)<br>| &nbsp;&nbsp; (27020)<br>|
| **Total TBA Sale Commitments — (1.6)%** <br>**(Proceeds: $(5623754))** | **Total TBA Sale Commitments — (1.6)%** <br>**(Proceeds: $(5623754))** | &nbsp;&nbsp; (5634132)<br>|
| **Total Investments, Net of Borrowed Bonds and TBA Sale** <br> **Commitments — 140.7%** <br>**(Cost: $535,314,621)** | **Total Investments, Net of Borrowed Bonds and TBA Sale** <br> **Commitments — 140.7%** <br>**(Cost: $535,314,621)** | &nbsp;&nbsp; 511974960 |
| **Liabilities in Excess of Other Assets — (40.7)%** | **Liabilities in Excess of Other Assets — (40.7)%** | &nbsp;&nbsp; (148203141)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | &nbsp;&nbsp; $363771819 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. 

<sup>(b)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(c)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

<sup>(d)</sup> Rates are discount rates or a range of discount rates as of period end.

<sup>(e)</sup> Zero-coupon bond.

<sup>(f)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. 

<sup>(g)</sup> Rounds to less than 1,000.

<sup>(h)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. 

<sup>(i)</sup> Represents or includes a TBA transaction.

<sup>(j)</sup> Affiliate of the Fund.

<sup>(k)</sup> Annualized 7-day yield as of period end.

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Fund during the period ended March 31, 2026 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*12/31/25*<br>| *Proceeds* <br>*from Sales*<br>| *Net* <br>*Realized* <br>*Gain (Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*03/31/26*<br>| *Shares* <br>*Held at* <br>*03/31/26*<br>| *Income* | *Capital Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| BlackRock Liquidity Funds, T-Fund, Institutional Shares | $948102<br> $2012370 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $— | $— | $— | $2960472 | 2960472 | $26722 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Represents net amount purchased (sold).

**Reverse Repurchase Agreements** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Interest* <br>*Rate*<br>| &nbsp;&nbsp; *Trade* <br>*Date*<br>| &nbsp;&nbsp; *Maturity* <br>*Date*<br>| *Face Value* | &nbsp;&nbsp; *Face Value* <br>*Including* <br>*Accrued Interest*<br>| &nbsp;&nbsp; *Type of Non-Cash Underlying* <br> *Collateral*<br>| &nbsp;&nbsp; *Remaining* <br>*Contractual Maturity* <br>*of the Agreements*<br>|
| Wells Fargo Securities, LLC | 3.78<br> % <br>| 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; $4986790 | &nbsp;&nbsp;&nbsp; $4997261 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 15924392 | &nbsp;&nbsp;&nbsp; 15959857 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 6992227 | &nbsp;&nbsp;&nbsp; 7006910 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |

---

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**Reverse Repurchase Agreements (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Interest*<br> *Rate*<br>| &nbsp;&nbsp; *Trade*<br> *Date*<br>| &nbsp;&nbsp; *Maturity*<br> *Date*<br>| *Face Value* | &nbsp;&nbsp; *Face Value*<br> *Including*<br> *Accrued Interest*<br>| &nbsp;&nbsp; *Type of Non-Cash Underlying* <br> *Collateral*<br>| &nbsp;&nbsp; *Remaining*<br> *Contractual Maturity*<br> *of the Agreements*<br>|
| Wells Fargo Securities, LLC | 3.78<br> % <br>| 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; $13629193 | &nbsp;&nbsp;&nbsp; $13657814 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 10941069 | &nbsp;&nbsp;&nbsp; 10964046 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 10748129 | &nbsp;&nbsp;&nbsp; 10770701 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 13188348 | &nbsp;&nbsp;&nbsp; 13216044 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| Wells Fargo Securities, LLC | 3.78 | 03/11/26 | 04/13/26 | &nbsp;&nbsp;&nbsp; 5500588 | &nbsp;&nbsp;&nbsp; 5512140 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| BNP Paribas SA | 3.82 | 03/25/26 | 04/02/26 | &nbsp;&nbsp;&nbsp; 4596383 | &nbsp;&nbsp;&nbsp; 4599797 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| BNP Paribas SA | 3.82 | 03/25/26 | 04/02/26 | &nbsp;&nbsp;&nbsp; 4538429 | &nbsp;&nbsp;&nbsp; 4541800 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| BNP Paribas SA | 3.82 | 03/25/26 | 04/02/26 | &nbsp;&nbsp;&nbsp; 4299110 | &nbsp;&nbsp;&nbsp; 4302303 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| BNP Paribas SA | 3.82 | 03/25/26 | 04/02/26 | &nbsp;&nbsp;&nbsp; 4332581 | &nbsp;&nbsp;&nbsp; 4335799 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| BNP Paribas SA | 3.82 | 03/25/26 | 04/02/26 | &nbsp;&nbsp;&nbsp; 4596589 | &nbsp;&nbsp;&nbsp; 4600003 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
| J.P. Morgan Securities LLC | 3.69 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 1469937 | &nbsp;&nbsp;&nbsp; 1470088 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.71 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 152625 | &nbsp;&nbsp;&nbsp; 152641 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.72 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 289163 | &nbsp;&nbsp;&nbsp; 289192 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.73 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 865938 | &nbsp;&nbsp;&nbsp; 866027 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.75 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 2779096 | &nbsp;&nbsp;&nbsp; 2779386 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 453375 | &nbsp;&nbsp;&nbsp; 453422 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 551475 | &nbsp;&nbsp;&nbsp; 551533 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 719250 | &nbsp;&nbsp;&nbsp; 719325 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 617400 | &nbsp;&nbsp;&nbsp; 617465 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 118650 | &nbsp;&nbsp;&nbsp; 118662 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 152063 | &nbsp;&nbsp;&nbsp; 152078 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 1075125 | &nbsp;&nbsp;&nbsp; 1075237 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 707000 | &nbsp;&nbsp;&nbsp; 707074 | U.S. Treasury Obligations | Up to 30 Days |
| J.P. Morgan Securities LLC | 3.76 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 510625 | &nbsp;&nbsp;&nbsp; 510678 | U.S. Treasury Obligations | Up to 30 Days |
| Wells Fargo Securities, LLC | 3.77 | 03/31/26 | 04/01/26 | &nbsp;&nbsp;&nbsp; 3500467 | &nbsp;&nbsp;&nbsp; 3500834 | &nbsp;&nbsp;&nbsp; U.S. Government Sponsored <br> Agency Securities<br>| Up to 30 Days |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $118236017 | &nbsp;&nbsp;&nbsp; $118428117 |  |  |

---

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount (000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | &nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; $25970 | &nbsp;&nbsp;&nbsp;&nbsp; $(427549)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | &nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 06/30/26 | &nbsp;&nbsp;&nbsp;&nbsp; 9519 | &nbsp;&nbsp;&nbsp;&nbsp; (117145)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (544694)<br>|
| Short Contracts  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | &nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; 17356 | &nbsp;&nbsp;&nbsp;&nbsp; 322578 |
| &nbsp;&nbsp;&nbsp; U.S. Long Bond | &nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 06/18/26 | &nbsp;&nbsp;&nbsp;&nbsp; 10794 | &nbsp;&nbsp;&nbsp;&nbsp; 318734 |
| &nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | &nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 06/30/26 | &nbsp;&nbsp;&nbsp;&nbsp; 7884 | &nbsp;&nbsp;&nbsp;&nbsp; 53674 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 694986 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $150292 |

---

Schedule of Investments

------

Schedule of Investments (unaudited)(continued)

March 31, 2026

**BlackRock Income Trust, Inc. (BKT)** 

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 35477636 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 35477638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 468803442 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 468803442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8607138 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8607138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 2960472 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2960472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 779 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2457080 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2457080 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Borrowed Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (697457)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (697457)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5634132)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5634132)<br>|
|  | &nbsp;&nbsp; $2960472 | &nbsp;&nbsp;&nbsp;&nbsp; $509014486 | &nbsp;&nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp;&nbsp;&nbsp; $511974960 |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; $694986 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $694986 |
| &nbsp;&nbsp;&nbsp; Liabilities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (544694)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (544694)<br>|
|  | &nbsp;&nbsp; $150292 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $150292 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreements of $118,428,117 are categorized as Level 2 within the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| BMO | BMO Capital Markets |
| IO | Interest Only |
| MTN | Medium-Term Note  |
| PO | Principal Only  |
| REMIC | Real Estate Mortgage Investment Conduit |
| SDR | Swedish Depositary Receipt |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation (continued)** | **Portfolio Abbreviation (continued)** |
| SOFR | Secured Overnight Financing Rate  |
| STRIP | Separate Trading of Registered Interest & Principal |
| TBA | To-Be-Announced |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Income Trust, Inc.

- **b. Investment Company Act file number:** 811-05542

- **c. CIK number of Registrant:** 0000832327

- **d. LEI of Registrant:** TZVEKBHO1R4X5PI73286

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Income Trust, Inc.

- **c. LEI of Series:** TZVEKBHO1R4X5PI73286

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $526349398.67

**Total Liabilities:** $162574740.49

**Net Assets:** $363774658.18

**Delayed Delivery Securities:** $5661604.96

**Cash Not Reported:** $793876.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4847.33000000 | **1-Year:** 3231.73000000 | **5-Year:** 89133.55000000 | **10-Year:** 90070.18000000 | **30-Year:** 80668.10000000

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

- **3-Month:** 0.01000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 35.91000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.53%                | 1.76%                | -2.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $288215.01               | $397634.18                                 |
| Month 2  | $27641.99                | $5365723.16                                |
| Month 3  | $-214946.06              | $-9980030.77                               |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $170007.31    | 0.05%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30770000 | PA      | $27021581.68  | 7.43%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2448000 | PA      | $2243944.59   | 0.62%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $457814.20    | 0.13%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6440000 | PA      | $6076292.24   | 1.67%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -28000 | PA      | $-27020.16    | -0.01%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642000 | PA      | $633093.30    | 0.17%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Commercial Mortgage Trust 2026-AZURE                                      | CUSIP: 03990QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $680000.00    | 0.19%             | 2038-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Commercial Mortgage Trust 2026-AZURE                                      | CUSIP: 03990QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $140000.00    | 0.04%             | 2038-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Trust 2025-IND3                                                           | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212000 | PA      | $212000.00    | 0.06%             | 2042-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc     | BAMLL Trust 2024-BHP                                                           | CUSIP: 05493WAA0<br>LEI: 549300BOMGFOVRYRQK33 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $135018.70    | 0.04%             | 2039-08-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                          | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $343899.38    | 0.09%             | 2042-06-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2018-TALL Mortgage Trust                                                 | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $274785.61    | 0.08%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                    | BLP Commercial Mortgage Trust 2023-IND                                         | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472015 | PA      | $472162.72    | 0.13%             | 2040-03-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-FPM                                                            | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263000 | PA      | $263913.19    | 0.07%             | 2040-10-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                       | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $334582.12    | 0.09%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                       | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $129675.00    | 0.04%             | 2042-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-C8 Mortgage Trust                                                     | CUSIP: 05593HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $150133.33    | 0.04%             | 2057-03-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                                             | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447500 | PA      | $447917.72    | 0.12%             | 2040-06-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR 2025-ALDR Mortgage Trust                                                   | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $194576.34    | 0.05%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-HUB                                        | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144813.68    | 0.04%             | 2041-04-13      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-JDI                                          | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524630 | PA      | $524792.94    | 0.14%             | 2042-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-XL4                                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270124 | PA      | $270431.18    | 0.07%             | 2039-02-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-BIO                                                              | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144636.41    | 0.04%             | 2041-02-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-VLT4                                                             | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $104343.75    | 0.03%             | 2041-06-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                                         | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $157631.95    | 0.04%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LIFE                                                             | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $330948.19    | 0.09%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2026-VLT9                                         | CUSIP: 05618UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553000 | PA      | $550323.26    | 0.15%             | 2045-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Commercial Mortgage Trust 2025-STAR                                        | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $158968.06    | 0.04%             | 2042-11-05      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-OMG                                                              | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209000 | PA      | $208477.50    | 0.06%             | 2042-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-VOLT                                                             | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $757625.00    | 0.21%             | 2044-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ARIA                                                             | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $914791.33    | 0.25%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And Loan Assoc.         | BAY 2025-LIVN Mortgage Trust                                                   | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $478445.60    | 0.13%             | 2035-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2025-V18 Mortgage Trust                                              | CUSIP: 08164EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202765.76    | 0.06%             | 2058-10-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-5MW                                        | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $505975.34    | 0.14%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                  | BRAVO Residential Funding Trust 2021-NQM1                                      | CUSIP: 10569TAA6<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     24401 | PA      | $23107.61     | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                       | BRCK Trust 2025-830B                                                           | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $797012.15    | 0.22%             | 2042-12-10      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-GPA3                                         | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180349 | PA      | $180348.78    | 0.05%             | 2039-12-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-TAIL                                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362000 | PA      | $361999.86    | 0.10%             | 2035-06-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                                         | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570179 | PA      | $570179.24    | 0.16%             | 2042-08-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-VLT6                                                             | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $610771.88    | 0.17%             | 2042-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Centragas                                        | CENT 2025-CITY                                                                 | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $337402.42    | 0.09%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CEDR TRUST                                       | CEDR Commercial Mortgage Trust 2022-SNAI                                       | CUSIP: 12524AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $568216.84    | 0.16%             | 2039-02-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust              | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97136 | PA      | $21141.81     | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY          | CIP Commercial Mortgage Trust 2025-SBAY                                        | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $282823.13    | 0.08%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                    | CHI Commercial Mortgage Trust 2025-110W                                        | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $928685.95    | 0.26%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                  | CSAIL 2018-C14 Commercial Mortgage Trust                                       | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1872563 | PA      | $19557.24     | 0.01%             | 2051-11-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| CRB Commercial Mortgage Trust                    | CRB Commercial Mortgage Trust 2025-1                                           | CUSIP: 12629SAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1943623 | PA      | $1926582.29   | 0.53%             | 2058-09-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-ATH1                                                                 | CUSIP: 12660BAM3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     75463 | PA      | $73686.14     | 0.02%             | 2067-01-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                   | CSTL Commercial Mortgage Trust 2025-GATE2                                      | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $285105.29    | 0.08%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-ATR1                                    | CUSIP: 16158RAN6<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |     26700 | PA      | $26841.52     | 0.01%             | 2049-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2023-SMRT                                  | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $346561.97    | 0.10%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-2 Mortgage Loan Trust                                                | CUSIP: 19685EAA9<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     92897 | PA      | $88618.02     | 0.02%             | 2067-02-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-WCL1 MORTGAGE TRUST                                                  | CUSIP: 20047DAA2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $408589.60    | 0.11%             | 2041-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                   | CSTL Commercial Mortgage Trust 2026-GATE3                                      | CUSIP: 228920AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482000 | PA      | $476827.51    | 0.13%             | 2043-02-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                | CRSO TR 2023 BRND                                                              | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176923 | PA      | $182122.80    | 0.05%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                   | CSTL Commercial Mortgage Trust 2024-GATE                                       | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $423872.39    | 0.12%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limited                  | DK Trust 2025-LXP                                                              | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73000 | PA      | $73000.00     | 0.02%             | 2037-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                      | DBC 2025-DBC Mortgage Trust                                                    | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $564647.50    | 0.16%             | 2042-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                  | Durst Commercial Mortgage Trust 2025-151                                       | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $216984.24    | 0.06%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2025-ESH                                           | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190000.00    | 0.05%             | 2042-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2026-ESH2                                          | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341784 | PA      | $341784.31    | 0.09%             | 2043-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128P8H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113866 | PA      | $111393.09    | 0.03%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                                        | CUSIP: 3130AKRV0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    300000 | PA      | $251470.26    | 0.07%             | 2033-01-27      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107577 | PA      | $100407.57    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DTZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46540 | PA      | $43902.93     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139644 | PA      | $122915.68    | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498943 | PA      | $439237.20    | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335ARP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2824294 | PA      | $2893320.84   | 0.80%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335BUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619000 | PA      | $582684.97    | 0.16%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133BVX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4842038 | PA      | $4802548.13   | 1.32%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $385278.28    | 0.11%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133ENPP9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $383019.26    | 0.11%             | 2030-02-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPDJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5028548 | PA      | $4765801.96   | 1.31%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5243444 | PA      | $5087103.24   | 1.40%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KQW44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4703896 | PA      | $4687601.88   | 1.29%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KY4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364432 | PA      | $362581.61    | 0.10%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KYXJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17000 | PA      | $16152.54     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 3133TDPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8024 | PA      | $7961.42      | 0.00%             | 2028-01-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3133TNM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74778 | PA      | $78595.43     | 0.02%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3706 | PA      | $3597.42      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9912 | PA      | $288.83       | 0.00%             | 2028-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A03W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2675181 | PA      | $2077657.24   | 0.57%             | 2041-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A14G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14350496 | PA      | $13853347.46  | 3.81%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A1LW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20462453 | PA      | $20251288.67  | 5.57%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A2V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8918768 | PA      | $896768.75    | 0.25%             | 2041-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A6FA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123918 | PA      | $15451.88     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A8DZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639065 | PA      | $1512821.76   | 0.42%             | 2042-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2905525 | PA      | $341170.28    | 0.09%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AD3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092492 | PA      | $86439.25     | 0.02%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AP6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5694653 | PA      | $322733.10    | 0.09%             | 2045-09-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AYQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433336 | PA      | $352696.98    | 0.10%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3259519 | PA      | $2765978.49   | 0.76%             | 2048-05-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2MC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1804404 | PA      | $1755851.38   | 0.48%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B8H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5509838 | PA      | $1291261.94   | 0.35%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BBCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4171949.10   | 1.15%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BCPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160835 | PA      | $148288.84    | 0.04%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15701989 | PA      | $2813761.86   | 0.77%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14102509 | PA      | $2504742.32   | 0.69%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BHEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20713360 | PA      | $3770020.02   | 1.04%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BJDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5382825 | PA      | $873475.81    | 0.24%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BL3T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1518571 | PA      | $1208439.64   | 0.33%             | 2052-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $918902.90    | 0.25%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BNCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769175 | PA      | $661051.92    | 0.18%             | 2051-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179601 | PA      | $181178.31    | 0.05%             | 2055-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233657 | PA      | $236649.58    | 0.07%             | 2055-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BXGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10735783 | PA      | $10653807.77  | 2.93%             | 2055-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FAT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105364 | PA      | $970624.94    | 0.27%             | 2033-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FGRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578284 | PA      | $1249527.38   | 0.34%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A3QD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1950294 | PA      | $1865542.84   | 0.51%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AAW82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4850180 | PA      | $4910241.70   | 1.35%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AFMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11654527 | PA      | $1117811.31   | 0.31%             | 2041-09-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AHVU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367917 | PA      | $363786.98    | 0.10%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AJ4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6466173 | PA      | $591974.91    | 0.16%             | 2041-11-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AN5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12201204 | PA      | $11920489.55  | 3.28%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137ANZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302109 | PA      | $17004.58     | 0.00%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B5KE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8884000 | PA      | $8434481.15   | 2.32%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B75D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $947733.90    | 0.26%             | 2044-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BERC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394401 | PA      | $363165.23    | 0.10%             | 2054-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BRYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5813180 | PA      | $5731518.03   | 1.58%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137F4VK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3945249 | PA      | $3881151.92   | 1.07%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3787697 | PA      | $143176.09    | 0.04%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1628045 | PA      | $54168.79     | 0.01%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FAP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10040291 | PA      | $1899965.50   | 0.52%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FCZ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3351000 | PA      | $2917920.78   | 0.80%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FFQC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6476463 | PA      | $439091.26    | 0.12%             | 2032-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069000 | PA      | $1025792.09   | 0.28%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1361429 | PA      | $33485.16     | 0.01%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FPH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503843 | PA      | $334708.40    | 0.09%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1290103 | PA      | $45155.66     | 0.01%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1771082 | PA      | $86681.21     | 0.02%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192955 | PA      | $61792.70     | 0.02%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912668 | PA      | $47897.72     | 0.01%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364429 | PA      | $19615.67     | 0.01%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1561070 | PA      | $73981.63     | 0.02%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FW3Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14801533 | PA      | $3038590.40   | 0.84%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1912139 | PA      | $89245.67     | 0.02%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15117492 | PA      | $1984467.08   | 0.55%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15724403 | PA      | $3169869.88   | 0.87%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H2JG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14512667 | PA      | $2449735.33   | 0.67%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H53L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4662993 | PA      | $3293311.08   | 0.91%             | 2042-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7RX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5238216 | PA      | $4354632.98   | 1.20%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $345166.28    | 0.09%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8B83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24214722 | PA      | $2640106.96   | 0.73%             | 2052-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8LQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6295076 | PA      | $5979612.74   | 1.64%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579568 | PA      | $582241.07    | 0.16%             | 2054-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448556 | PA      | $451341.16    | 0.12%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668542 | PA      | $672807.74    | 0.18%             | 2054-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4806244 | PA      | $4843119.02   | 1.33%             | 2055-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A54P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1552542 | PA      | $1499477.08   | 0.41%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A82M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6799 | PA      | $6847.29      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A9PP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85599 | PA      | $86301.74     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AAS28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345 | PA      | $345.44       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43988 | PA      | $44438.50     | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103124 | PA      | $104092.05    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161437 | PA      | $159767.47    | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671057 | PA      | $671268.59    | 0.18%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADKK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25156 | PA      | $25405.75     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AEJQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1391 | PA      | $1405.43      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110862 | PA      | $1099374.91   | 0.30%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99738 | PA      | $100800.59    | 0.03%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ALGM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1874 | PA      | $1886.32      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AMQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100281 | PA      | $101276.45    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AP5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208225 | PA      | $210443.11    | 0.06%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330228 | PA      | $346860.32    | 0.10%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741163 | PA      | $733498.76    | 0.20%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ETS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356509 | PA      | $342396.59    | 0.09%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WHDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617106 | PA      | $1554704.15   | 0.43%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1220930 | PA      | $1117928.70   | 0.31%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138XYQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406541 | PA      | $382429.33    | 0.11%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31392B5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7294 | PA      | $7032.11      | 0.00%             | 2032-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31393YBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141479 | PA      | $1221642.00   | 0.34%             | 2034-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31394ED96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15125 | PA      | $15857.22     | 0.00%             | 2035-08-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31394PCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886287 | PA      | $883207.53    | 0.24%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31395DPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449560 | PA      | $142232.03    | 0.04%             | 2036-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31395MHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658765 | PA      | $674113.28    | 0.19%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2823517 | PA      | $2740894.32   | 0.75%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398PPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768617 | PA      | $775354.05    | 0.21%             | 2030-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398SPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4167968 | PA      | $4131458.34   | 1.14%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398STJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2088944 | PA      | $2040842.64   | 0.56%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155179 | PA      | $158285.59    | 0.04%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103846 | PA      | $105468.25    | 0.03%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402DC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272325 | PA      | $274396.56    | 0.08%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494132 | PA      | $498155.41    | 0.14%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215364 | PA      | $216980.46    | 0.06%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119030 | PA      | $119908.98    | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29802 | PA      | $30392.72     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621510 | PA      | $627340.82    | 0.17%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99841 | PA      | $101796.40    | 0.03%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31405SL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232768 | PA      | $234807.69    | 0.06%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31406UT99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7258 | PA      | $7309.86      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31408AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6496 | PA      | $6730.03      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17192466 | PA      | $16263055.97  | 4.47%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7549039 | PA      | $7140927.21   | 1.96%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GSRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787692 | PA      | $791881.55    | 0.22%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778772 | PA      | $745854.20    | 0.21%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H1XR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226525 | PA      | $227715.96    | 0.06%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H37J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3785289 | PA      | $3625281.02   | 1.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H8QD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414291 | PA      | $396777.44    | 0.11%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14011 | PA      | $13934.39     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5279 | PA      | $5218.37      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8172 | PA      | $8127.62      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J8SJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396551 | PA      | $380199.68    | 0.10%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9H95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703427 | PA      | $696155.59    | 0.19%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9V73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221083 | PA      | $218113.60    | 0.06%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585706 | PA      | $515696.94    | 0.14%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3072379 | PA      | $2925074.90   | 0.80%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18602 | PA      | $18500.91     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14859 | PA      | $14777.29     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11032 | PA      | $10972.02     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21159 | PA      | $21042.54     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066828 | PA      | $1021615.04   | 0.28%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104146 | PA      | $100804.51    | 0.03%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QGSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112777 | PA      | $105517.81    | 0.03%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699974 | PA      | $615348.21    | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91204 | PA      | $92859.36     | 0.03%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41224 | PA      | $41934.61     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70585 | PA      | $71736.24     | 0.02%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48413 | PA      | $49195.46     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51265 | PA      | $51992.61     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115278 | PA      | $117474.25    | 0.03%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13863107 | PA      | $13960584.88  | 3.84%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10945270 | PA      | $11235493.10  | 3.09%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0YG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13361755 | PA      | $13509478.51  | 3.71%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W1SG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10811361 | PA      | $11037002.69  | 3.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2272793 | PA      | $2193612.42   | 0.60%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XAUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92815 | PA      | $89227.51     | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4469096 | PA      | $4440432.83   | 1.22%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XPZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10766329 | PA      | $10859027.75  | 2.99%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XQWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64371 | PA      | $64892.21     | 0.02%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410F2Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121392 | PA      | $122296.12    | 0.03%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445175 | PA      | $471901.90    | 0.13%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495196 | PA      | $510856.74    | 0.14%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410RFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       568 | PA      | $582.53       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412MKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38411 | PA      | $40296.30     | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26423 | PA      | $26704.02     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147769 | PA      | $142718.96    | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412UQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53608 | PA      | $53054.25     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31413CRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $293.50       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369258 | PA      | $376982.00    | 0.10%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416KQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150939 | PA      | $149379.19    | 0.04%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125133 | PA      | $123839.75    | 0.03%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873332 | PA      | $843847.58    | 0.23%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y2B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116011 | PA      | $117246.30    | 0.03%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5583 | PA      | $5642.02      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4541 | PA      | $4589.75      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418AAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42459 | PA      | $42911.76     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373299 | PA      | $353017.02    | 0.10%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343235 | PA      | $314971.13    | 0.09%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572359 | PA      | $577170.31    | 0.16%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418ESQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302857 | PA      | $277902.07    | 0.08%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359412 | PA      | $372359.96    | 0.10%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205284 | PA      | $212493.47    | 0.06%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51438 | PA      | $48559.14     | 0.01%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418MPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627208 | PA      | $1672296.69   | 0.46%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3110675 | PA      | $3143776.16   | 0.86%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418RMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33854 | PA      | $32933.84     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418SZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138311 | PA      | $135885.89    | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9146 | PA      | $9243.12      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9692 | PA      | $9724.34      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418V4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35333 | PA      | $35709.05     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418VW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68301 | PA      | $68979.75     | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419AMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31938 | PA      | $32278.44     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974110 | PA      | $934008.19    | 0.26%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419E6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2700 | PA      | $2728.64      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 31427N2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5675220 | PA      | $5616802.87   | 1.54%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 31427PHR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3573974 | PA      | $3601950.00   | 0.99%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2022-1                                      | CUSIP: 31573CAA3<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |    180812 | PA      | $161560.13    | 0.04%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-4                                                 | CUSIP: 33852FAA4<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    149282 | PA      | $124544.23    | 0.03%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                  | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    347578 | PA      | $340223.97    | 0.09%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                  | CUSIP: 35563PJF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671610 | PA      | $652812.61    | 0.18%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                  | CUSIP: 35563PKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275631 | PA      | $266723.31    | 0.07%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618J8HP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1560167 | PA      | $1638305.13   | 0.45%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808341 | PA      | $816936.67    | 0.22%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146250 | PA      | $150217.91    | 0.04%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142706 | PA      | $147235.91    | 0.04%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541996 | PA      | $556190.97    | 0.15%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194806 | PA      | $201746.30    | 0.06%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153194 | PA      | $156543.23    | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196680 | PA      | $202851.60    | 0.06%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282256 | PA      | $296222.84    | 0.08%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598199 | PA      | $619511.61    | 0.17%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1706097 | PA      | $1742494.79   | 0.48%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780545 | PA      | $819168.20    | 0.23%             | 2055-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRKF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630161 | PA      | $639323.42    | 0.18%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413574 | PA      | $424405.74    | 0.12%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRKK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176224 | PA      | $184997.27    | 0.05%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443992 | PA      | $453699.08    | 0.12%             | 2056-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPH82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424106 | PA      | $430272.50    | 0.12%             | 2056-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPH90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641901 | PA      | $663212.79    | 0.18%             | 2056-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387759 | PA      | $396236.95    | 0.11%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699219 | PA      | $709385.14    | 0.20%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614610 | PA      | $631657.77    | 0.17%             | 2056-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618MPHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307594 | PA      | $322814.66    | 0.09%             | 2056-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609926 | PA      | $632396.38    | 0.17%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844853 | PA      | $874952.26    | 0.24%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163575 | PA      | $1193023.60   | 0.33%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710890 | PA      | $746065.00    | 0.21%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247890 | PA      | $256872.45    | 0.07%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328891 | PA      | $337814.04    | 0.09%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373178 | PA      | $391306.63    | 0.11%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895796 | PA      | $928253.80    | 0.26%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818305 | PA      | $847458.86    | 0.23%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2252497 | PA      | $2311487.90   | 0.64%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1119086 | PA      | $1174458.49   | 0.32%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    604116 | PA      | $629863.01    | 0.17%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270662 | PA      | $277900.62    | 0.08%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448967 | PA      | $458781.86    | 0.13%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470878 | PA      | $487939.56    | 0.13%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722925 | PA      | $739335.83    | 0.20%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36205KZ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       399 | PA      | $401.34       | 0.00%             | 2027-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36207RFG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       376 | PA      | $377.99       | 0.00%             | 2026-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36208DU29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       124 | PA      | $125.33       | 0.00%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2021-PJ6                                   | CUSIP: 36262LAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |     71575 | PA      | $59406.87     | 0.02%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2023-FUN                                     | CUSIP: 36267CAA3<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280787.50    | 0.08%             | 2028-03-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                              | CUSIP: 36267EAD3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |     74159 | PA      | $61365.96     | 0.02%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                              | GSAT Trust 2025-BMF                                                            | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $644369.77    | 0.18%             | 2040-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36292GKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1212 | PA      | $1233.62      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38375GYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1480423 | PA      | $44955.27     | 0.01%             | 2042-08-16      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38376PA59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334128 | PA      | $32534.74     | 0.01%             | 2039-12-16      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377VGR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483682 | PA      | $108689.63    | 0.03%             | 2041-04-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377WSG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5888972 | PA      | $5753895.28   | 1.58%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378DHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3941153 | PA      | $3827556.86   | 1.05%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378KPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2108657 | PA      | $47793.76     | 0.01%             | 2051-09-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378XYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11299196 | PA      | $239234.50    | 0.07%             | 2056-10-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38379MCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9610597 | PA      | $9089560.31   | 2.50%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38380XYC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6981123 | PA      | $6068539.95   | 1.67%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24295365 | PA      | $3534246.80   | 0.97%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382KVC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4854701 | PA      | $911613.24    | 0.25%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6447665 | PA      | $1072575.48   | 0.29%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11879990 | PA      | $1952072.36   | 0.54%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383GBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10358560 | PA      | $1555757.30   | 0.43%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383PBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18730266 | PA      | $2665749.49   | 0.73%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383REX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4775196 | PA      | $3876971.04   | 1.07%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383UQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4773070 | PA      | $4298470.11   | 1.18%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38384EYY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10111750 | PA      | $10240240.53  | 2.81%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38385KR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3550133 | PA      | $773890.95    | 0.21%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38385MLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16904893 | PA      | $3710339.93   | 1.02%             | 2056-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited  | Homes 2024-Nqm2 Trust                                                          | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |     70435 | PA      | $70762.45     | 0.02%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                          | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $470703.10    | 0.13%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust 2025-PLAZA         | INT Commercial Mortgage Trust 2025-PLAZA                                       | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99664.76     | 0.03%             | 2037-11-05      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-through Certificates    | ILPT Commercial Mortgage Trust 2025-LPF2                                       | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553000 | PA      | $560277.15    | 0.15%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust 2005-A15                                | CUSIP: 45660L3P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72950 | PA      | $51984.32     | 0.01%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                 | IndyMac INDX Mortgage Loan Trust 2006-AR33                                     | CUSIP: 45668JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16118823 | PA      | $1.61         | 0.00%             | 2037-01-25      | Fixed         | 0.17%                 | No            |                  3 | On Loan: No      |
| INTOWN Mortgage Trust                            | INTOWN 2025-STAY Mortgage Trust                                                | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $508725.00    | 0.14%             | 2042-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-INV3                                           | CUSIP: 46593FAD4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     73137 | PA      | $63519.73     | 0.02%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5               | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90034 | PA      | $90006.24     | 0.02%             | 2040-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-DSC1                                           | CUSIP: 46656AAA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     82925 | PA      | $81595.55     | 0.02%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                                      | KSL Commercial Mortgage Trust 2024-HT2                                         | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142594 | PA      | $142326.19    | 0.04%             | 2039-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| LEX Trust                                        | LEX Trust 2026-450                                                             | CUSIP: 501970AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $402212.18    | 0.11%             | 2043-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                        | LQR Trust 2025-CALI                                                            | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669000 | PA      | $664420.29    | 0.18%             | 2043-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2020-NQM1 Trust                                                            | CUSIP: 552754AA1<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |     21934 | PA      | $21408.23     | 0.01%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                       | MIRA Trust 2023-MILE                                                           | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569000 | PA      | $584080.72    | 0.16%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MLTI Trust                                       | MLTI Trust 2026-SF75                                                           | CUSIP: 55318JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000 | PA      | $277605.00    | 0.08%             | 2031-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                             | MAD Commercial Mortgage Trust 2025-11MD                                        | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $218997.59    | 0.06%             | 2042-10-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2022-INV2                                    | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78412 | PA      | $67854.38     | 0.02%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL          | MTN Commercial Mortgage Trust 2022-LPFL                                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $234853.13    | 0.06%             | 2039-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                       | NCMF Trust 2025-MFS                                                            | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493000 | PA      | $491201.88    | 0.14%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2026-1PARK                                       | CUSIP: 62979QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $273882.81    | 0.08%             | 2043-02-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                 | NJ 2025-WBRK                                                                   | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $328764.86    | 0.09%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                         | NRTH Commercial Mortgage Trust 2025-PARK                                       | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $579456.54    | 0.16%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-INV3 Trust                                                            | CUSIP: 67116EAA7<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     74770 | PA      | $64937.50     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-3BP                                         | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $506812.50    | 0.14%             | 2042-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-28L                                         | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156000 | PA      | $155340.62    | 0.04%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Trust 2025-77C                                                             | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455000 | PA      | $1443351.56   | 0.40%             | 2036-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                               | 1301 Trust 2025-AOA                                                            | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210498.20    | 0.06%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                       | 1345T 2025-AOA                                                                 | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $448593.75    | 0.12%             | 2042-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust                   | PLYM Commercial Mortgage Trust 2026-IND                                        | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $930325.00    | 0.26%             | 2043-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                   | PENN Commercial Mortgage Trust 2025-P11                                        | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89000 | PA      | $90430.61     | 0.02%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                   | PMT Loan Trust 2024-INV1                                                       | CUSIP: 73015BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120533 | PA      | $120236.02    | 0.03%             | 2059-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                        | PRM Trust 2025-PRM6                                                            | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394000 | PA      | $390918.37    | 0.11%             | 2033-07-05      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                 | Provident Funding Mortgage Trust 2024-1                                        | CUSIP: 74389BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112811 | PA      | $112251.72    | 0.03%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2022-2                                                     | CUSIP: 74938WAA9<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |     74433 | PA      | $64597.04     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                              | Resolution Funding Corp Principal Strip                                        | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  13000000 | PA      | $11034099.57  | 3.03%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                       | SDAL Trust 2025-DAL                                                            | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $477056.10    | 0.13%             | 2042-04-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| SLG Trust                                        | SLG Commercial Mortgage Trust 2026-PAT                                         | CUSIP: 78451CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202000 | PA      | $200340.61    | 0.06%             | 2039-02-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| SLG Trust                                        | SLG Commercial Mortgage Trust 2026-PAT                                         | CUSIP: 78451CAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $173500.69    | 0.05%             | 2039-02-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                    | SDR Commercial Mortgage Trust 2024-DSNY                                        | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $110653.13    | 0.03%             | 2039-05-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2024-INV1                                               | CUSIP: 816939AC6<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    123971 | PA      | $123505.03    | 0.03%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                       | SHRN Trust 2025-MF18                                                           | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498750.00    | 0.14%             | 2040-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust              | STAR 2021-1 Trust                                                              | CUSIP: 85573GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $179482.84    | 0.05%             | 2065-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| STERLING COOFS TR                                | STERLING COOFS TR                                                              | CUSIP: 859245AA0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    435686 | PA      | $0.04         | 0.00%             | 2029-04-15      | Variable      | 2.36%                 | No            |                  3 | On Loan: No      |
| Sterling Bank Trust                              | Sterling COOFS Trust 2004-2                                                    | CUSIP: 859245AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83483 | PA      | $0.01         | 0.00%             | 2030-03-30      | Fixed         | 2.08%                 | No            |                  3 | On Loan: No      |
| Toorak Mortgage Corp.                            | TRK 2021-INV2 Trust                                                            | CUSIP: 87267TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90709 | PA      | $82375.02     | 0.02%             | 2056-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                            | Vendee Mortgage Trust 1999-2                                                   | CUSIP: 911760MW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2379685 | PA      | $2.38         | 0.00%             | 2029-05-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    917000 | PA      | $697457.31    | 0.19%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -917000 | PA      | $-697457.31   | -0.19%            | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $612051.56    | 0.17%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1057611.32   | 0.29%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $289291.40    | 0.08%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $709679.68    | 0.20%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $703171.88    | 0.19%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $118368.75    | 0.03%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $151722.66    | 0.04%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $453744.14    | 0.12%             | 2029-03-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2761171.88   | 0.76%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $546813.28    | 0.15%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $506054.69    | 0.14%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $851494.14    | 0.23%             | 2026-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $150499.51    | 0.04%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1450000 | PA      | $1455086.32   | 0.40%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                       | UNIV Trust 2025-APTS                                                           | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $637751.94    | 0.18%             | 2042-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                                              | CUSIP: 92538UAA9<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    256453 | PA      | $244989.11    | 0.07%             | 2067-02-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                                              | CUSIP: 92538WAA5<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     65115 | PA      | $61496.41     | 0.02%             | 2067-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2024-6                                              | CUSIP: 92540JAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     90803 | PA      | $91300.77     | 0.03%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                  | WHARF Commercial Mortgage Trust 2025-DC                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $236147.79    | 0.06%             | 2040-07-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares                        | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   2960472 | NS      | $2960472.38   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust | CUSIP: 93934FFP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43518 | PA      | $25045.71     | 0.01%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-AUS                                 | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    583000 | PA      | $569309.00    | 0.16%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-C44                                 | CUSIP: 95001JAY3<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |   4300425 | PA      | $51197.42     | 0.01%             | 2051-05-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTUS6 RRP FHLMC 30YR                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        |  -4986790 | PA      | $-4986789.88  | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTV30 RRP FNMA 40YR R                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -15924392 | PA      | $-15924392.30 | -4.38%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTV48 RRP FNMA 40YR R                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        |  -6992227 | PA      | $-6992226.68  | -1.92%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTVL0 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -13629193 | PA      | $-13629192.95 | -3.75%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTVM8 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -10941069 | PA      | $-10941069.28 | -3.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTVP1 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -10748129 | PA      | $-10748129.43 | -2.95%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ0TTVN6 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -13188348 | PA      | $-13188348.20 | -3.63%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | RRP FHLMC 30YR                                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        |  -5500588 | PA      | $-5500588.42  | -1.51%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | BYJ1LG3L5 RRP FHLMC 30YR                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4596383 | PA      | $-4596383.00  | -1.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | BYJ1LG3M3 RRP FHLMC 30YR                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4538429 | PA      | $-4538428.92  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | BYJ1LG3N1 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4299110 | PA      | $-4299109.63  | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | BYJ1LG3P6 RRP FHLMC 30YR                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4332581 | PA      | $-4332580.59  | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | BYJ1LG3Q4 RRP FNMA 30YR U                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4596589 | PA      | $-4596588.90  | -1.26%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES LLC                       | BYJ1VB9M7 RRP FNMA 30YR F                                                      | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        |  -3500467 | PA      | $-3500467.26  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YF2 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -453375 | PA      | $-453375.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YJ4 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -551475 | PA      | $-551475.00   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YB1 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -719250 | PA      | $-719250.00   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YL9 RRP TREASURY BO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -617400 | PA      | $-617400.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YK1 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -118650 | PA      | $-118650.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YD7 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -152062 | PA      | $-152062.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YA3 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -1469938 | PA      | $-1469937.50  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YH8 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -289162 | PA      | $-289162.50   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3Y88 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -865938 | PA      | $-865937.50   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YM7 RRP TREASURY BO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -1075125 | PA      | $-1075125.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YC9 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -707000 | PA      | $-707000.00   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3Y96 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -152625 | PA      | $-152625.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YE5 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -2779096 | PA      | $-2779096.25  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC                         | BYJ1V3YG0 RRP TREASURY NO                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |   -510625 | PA      | $-510625.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -95 | NC      | $318657.06    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       180 | NC      | $-426718.05   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        88 | NC      | $-117144.65   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -38 | NC      | $53673.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -153 | NC      | $322577.37    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** BlackRock Income Trust, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer