# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0002071691-26-008603
**Filing Date:** 2026-4
**Character Count:** 196476
**Document Hash:** df2e1562f6ce375c68f9262a2f3ac45a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-008603.hdr.sgml**: 20260423

**ACCESSION NUMBER**: 0002071691-26-008603

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260423

**DATE AS OF CHANGE**: 20260423

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001005942

**ORGANIZATION NAME:**
- **EIN:** 043299786
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07513
- **FILM NUMBER:** 26887683

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6177601000

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

## Series and Classes Contracts Data

### PUTNAM MORTGAGE OPPORTUNITIES FUND (Series ID: S000048370)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000152757 | CLASS I         |  |
| C000213253 | Class Y Shares  |  |
| C000213254 | Class A Shares  |  |
| C000213255 | Class C Shares  |  |
| C000219743 | Class R6 Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-07513

- **c. CIK number of Registrant:** 0001005942

- **d. LEI of Registrant:** 549300S9JYWEMKQCLW53

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Mortgage Opportunities Fund

- **b. EDGAR series identifier (if any):** S000048370

- **c. LEI of Series:** 549300SDR1EM41OFS298

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $1041864853.54

**Total Liabilities:** $625553012.56

**Net Assets:** $416311840.98

**Delayed Delivery Securities:** $551210594.52

**Cash Not Reported:** $169755.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -231.87000000 | **1-Year:** -1434.54000000 | **5-Year:** -996.49000000 | **10-Year:** -6608.52000000 | **30-Year:** -15122.74000000

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

- **3-Month:** -337.70000000 | **1-Year:** 170786.04000000 | **5-Year:** -204507.90000000 | **10-Year:** 275509.86000000 | **30-Year:** -193016.48000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152757 | 0.31%                | 0.52%                | 1.09%                |
| Class ID C000213253 | 0.30%                | 0.50%                | 1.07%                |
| Class ID C000213254 | 0.16%                | 0.59%                | 0.94%                |
| Class ID C000213255 | 0.21%                | 0.42%                | 1.00%                |
| Class ID C000219743 | 0.31%                | 0.51%                | 1.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-53615.85               | $-1432524.02                               |
| Month 2  | $1740885.72              | $-2586112.21                               |
| Month 3  | $21261.75                | $6689637.13                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684894 | PA      | $685059.59    | 0.16%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A2                                    | CUSIP: 00002MAB5<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    2145153 | PA      | $2169693.99   | 0.52%             | 2068-09-25      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    1386821 | PA      | $1398337.40   | 0.34%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6066231.64   | 1.46%             | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5427003.54   | 1.30%             | 2056-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $942514.83    | 0.23%             | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-972047.71   | -0.23%            | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20000000 | PA      | $-19781691.40 | -4.75%            | 2056-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $14066077.48  | 3.38%             | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  246000000 | PA      | $249982503.84 | 60.05%            | 2056-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -43000000 | PA      | $-44104595.18 | -10.59%           | 2056-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA10, Class 3A1                               | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153416 | PA      | $145725.94    | 0.04%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA10, Class 4A1                               | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178390 | PA      | $160502.39    | 0.04%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-43CB, Class 1A10                              | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3394421 | PA      | $1673008.90   | 0.40%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1323651 | PA      | $811094.44    | 0.19%             | 2047-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust, Series 2020-1, Class M1                                    | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442000 | PA      | $422646.99    | 0.10%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class E                       | CUSIP: 05492JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1117000 | PA      | $850834.31    | 0.20%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1881000 | PA      | $1193194.86   | 0.29%             | 2052-11-15      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                  | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24943058 | PA      | $1229807.51   | 0.30%             | 2057-09-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2026-5C40, Class XE                                  | CUSIP: 05557AAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1188000 | PA      | $108500.28    | 0.03%             | 2059-02-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2026-5C40, Class E                                   | CUSIP: 05557AAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1188000 | PA      | $846374.09    | 0.20%             | 2059-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO Mortgage Trust, Series 2024-5C6, Class XA                                     | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15364935 | PA      | $619773.83    | 0.15%             | 2057-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13943898 | PA      | $492635.14    | 0.12%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                   | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609000 | PA      | $497407.75    | 0.12%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9430998 | PA      | $745584.49    | 0.18%             | 2057-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN30, Class XA                                                  | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17479321 | PA      | $800874.53    | 0.19%             | 2053-12-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                            | BANK5 Trust, Series 2024-5YR10, Class XA                                          | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17638547 | PA      | $659113.71    | 0.16%             | 2057-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class D                       | CUSIP: 07335CAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010000 | PA      | $665121.26    | 0.16%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                       | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     793000 | PA      | $449315.54    | 0.11%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2025-C32, Class XA                                   | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12246037 | PA      | $1002646.73   | 0.24%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1                               | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203903 | PA      | $168221.32    | 0.04%             | 2035-10-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-10, Class 11A1                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68422 | PA      | $66227.53     | 0.02%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                    | Bear Stearns Mortgage Funding Trust, Series 2006-AR2, Class 2A1                   | CUSIP: 07401AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1692606 | PA      | $1637127.27   | 0.39%             | 2046-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                 | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504000 | PA      | $1089148.82   | 0.26%             | 2051-04-10      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     963000 | PA      | $544221.92    | 0.13%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B13, Class D                                | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295000 | PA      | $802999.33    | 0.19%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class D                                 | CUSIP: 08162PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1021000 | PA      | $623687.14    | 0.15%             | 2051-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608000 | PA      | $505694.88    | 0.12%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V11, Class XA                               | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38674803 | PA      | $746531.98    | 0.18%             | 2057-11-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                    | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $1115991.44   | 0.27%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL1, Class M1                                       | CUSIP: 124760AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577000 | PA      | $585293.80    | 0.14%             | 2040-05-28      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LLC                                        | CAFL Issuer LLC, Series 2023-RTL1, Class A1                                       | CUSIP: 124762AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     822585 | PA      | $824127.75    | 0.20%             | 2030-12-28      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2019-CD8, Class D                                       | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507000 | PA      | $338444.15    | 0.08%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                       | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1712000 | PA      | $1647862.32   | 0.40%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                       | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     888000 | PA      | $596761.93    | 0.14%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class C                                       | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615000 | PA      | $228797.96    | 0.05%             | 2050-02-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class D                                       | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     814699 | PA      | $49041.36     | 0.01%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                          | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1801000 | PA      | $1723924.22   | 0.41%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                  | Cantor Commercial Real Estate Lending LP, Series 2019-CF3, Class XA               | CUSIP: 12529TAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12018622 | PA      | $261989.13    | 0.06%             | 2053-01-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB13, Class M1                                              | CUSIP: 12530VAB1<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |    3750000 | PA      | $3672001.50   | 0.88%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M2                        | CUSIP: 12531BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     932000 | PA      | $902060.43    | 0.22%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M3                        | CUSIP: 12531BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $961672.90    | 0.23%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR12, Class AM                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    1045556 | PA      | $993110.76    | 0.24%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class C                                    | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     324000 | PA      | $256284.00    | 0.06%             | 2047-08-10      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR15, Class D                                    | CUSIP: 12591RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     923000 | PA      | $869688.07    | 0.21%             | 2047-02-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                    | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1226000 | PA      | $1178262.63   | 0.28%             | 2047-04-10      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class C                                    | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301000 | PA      | $280915.78    | 0.07%             | 2047-06-10      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                   | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     545905 | PA      | $539291.49    | 0.13%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                    | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $718143.13    | 0.17%             | 2048-10-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                    | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1656000 | PA      | $1516850.79   | 0.36%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                         | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594000 | PA      | $334420.57    | 0.08%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-LC4, Class D                                     | CUSIP: 126192AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2408061 | PA      | $1855980.86   | 0.45%             | 2044-12-10      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432000 | PA      | $2378721.20   | 0.57%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class B                                     | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1072000 | PA      | $736964.41    | 0.18%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR7, Class D                                     | CUSIP: 12625FBA3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |     858459 | PA      | $832707.84    | 0.20%             | 2046-03-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                    | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266369 | PA      | $250146.38    | 0.06%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class D                                    | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2174188 | PA      | $1119706.64   | 0.27%             | 2046-11-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR14, Class D                                    | CUSIP: 12630DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1479000 | PA      | $1275338.00   | 0.31%             | 2047-02-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR14, Class C                                    | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154000 | PA      | $1135900.89   | 0.27%             | 2047-02-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                    | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1247000 | PA      | $1057384.92   | 0.25%             | 2047-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class E                                    | CUSIP: 12631DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     804000 | PA      | $579396.97    | 0.14%             | 2047-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                    | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490318 | PA      | $485534.33    | 0.12%             | 2047-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class C                                    | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1940500 | PA      | $1831718.48   | 0.44%             | 2047-05-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                          | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     459820 | PA      | $440799.58    | 0.11%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                          | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1121000 | PA      | $991193.24    | 0.24%             | 2057-06-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                          | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1277000 | PA      | $1187434.41   | 0.29%             | 2048-08-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                             | CSMC Mortgage-Backed Trust, Series 2007-1, Class 1A3                              | CUSIP: 126378AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5438052 | PA      | $1258935.25   | 0.30%             | 2037-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                             | CSMC Trust, Series 2020-SPT1, Class M1                                            | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392000 | PA      | $387233.67    | 0.09%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2005-38, Class A1                                  | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     491875 | PA      | $455958.70    | 0.11%             | 2035-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA19, Class A1                                | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     911155 | PA      | $754272.90    | 0.18%             | 2047-02-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                        | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1                       | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26411 | PA      | $23617.81     | 0.01%             | 2046-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                   | Castlelake Aircraft Structured Trust, Series 2025-2A, Class A                     | CUSIP: 14855XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1127308 | PA      | $1147873.40   | 0.28%             | 2050-08-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                      | Chase Home Lending Mortgage Trust, Series 2025-3, Class A11                       | CUSIP: 16160MAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     411048 | PA      | $412689.04    | 0.10%             | 2056-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC                                | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                 | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     664107 | PA      | $592928.31    | 0.14%             | 2047-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2024-R1, Class A1                                               | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570845 | PA      | $572882.80    | 0.14%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                    | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2D                  | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     138400 | PA      | $123444.64    | 0.03%             | 2037-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class C                    | CUSIP: 17322MBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192770 | PA      | $192280.70    | 0.05%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class D                    | CUSIP: 17322YAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239000 | PA      | $132668.90    | 0.03%             | 2047-10-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058035 | PA      | $1046033.86   | 0.25%             | 2048-02-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class E                    | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2077000 | PA      | $1962346.69   | 0.47%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class D                    | CUSIP: 17323YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1541000 | PA      | $103327.29    | 0.02%             | 2048-06-10      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2017-P7, Class C                      | CUSIP: 17325HBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     373000 | PA      | $318976.73    | 0.08%             | 2050-04-14      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                    | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $989225.38    | 0.24%             | 2048-02-10      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC6, Class E                                     | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $433118.75    | 0.10%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1              | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $938137.52    | 0.23%             | 2043-04-25      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M2              | CUSIP: 20753DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1055974.30   | 0.25%             | 2042-09-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2B1              | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $541334.85    | 0.13%             | 2042-09-25      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2146000 | PA      | $2209620.75   | 0.53%             | 2042-01-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1              | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2540000 | PA      | $2636687.89   | 0.63%             | 2042-04-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2              | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $552909.00    | 0.13%             | 2042-05-25      | Floating      | 14.27%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2026-R01, Class 2M2              | CUSIP: 20755BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118000 | PA      | $118194.94    | 0.03%             | 2046-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1              | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1568911.80   | 0.38%             | 2043-10-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $1003627.16   | 0.24%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $3038753.01   | 0.73%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $13262805.53  | 3.19%             | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93000000 | PA      | $94811046.66  | 22.77%            | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust          | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A4B         | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1725260 | PA      | $1539168.99   | 0.37%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1242000 | PA      | $1088495.01   | 0.26%             | 2058-09-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $222045.30    | 0.05%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B               | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     336837 | PA      | $342033.71    | 0.08%             | 2028-10-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2B               | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     810927 | PA      | $824780.79    | 0.20%             | 2028-10-25      | Floating      | 16.53%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B               | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     569709 | PA      | $588794.42    | 0.14%             | 2029-01-25      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C06, Class 1B               | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    1543617 | PA      | $1615796.45   | 0.39%             | 2029-04-25      | Floating      | 13.03%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C07, Class 2B               | CUSIP: 30711XEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     591437 | PA      | $622259.25    | 0.15%             | 2029-05-25      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-74, Class IB                                                    | CUSIP: 3136A66B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8860941 | PA      | $1013431.99   | 0.24%             | 2042-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-69                                                              | CUSIP: 3136AP4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145713 | PA      | $28810.57     | 0.01%             | 2045-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-3, Class NI                                                     | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27185 | PA      | $3715.39      | 0.00%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-50                                                              | CUSIP: 3136BAZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5279670 | PA      | $1378092.70   | 0.33%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class GI                                                    | CUSIP: 3136BBWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10703697 | PA      | $2176059.37   | 0.52%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-99, Class IB                                                    | CUSIP: 3136BDFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7134758 | PA      | $1278876.20   | 0.31%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-98, Class OI                                                    | CUSIP: 3136BDTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8034028 | PA      | $2117180.20   | 0.51%             | 2051-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9492305 | PA      | $1586185.96   | 0.38%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-5, Class PI                                                     | CUSIP: 3136BDZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2410069 | PA      | $447997.17    | 0.11%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class GI                                                    | CUSIP: 3136BF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1654327 | PA      | $353585.98    | 0.08%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class KI                                                    | CUSIP: 3136BF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2033052 | PA      | $462027.39    | 0.11%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-8, Class ID                                                     | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6795265 | PA      | $1464592.36   | 0.35%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-15, Class JI                                                    | CUSIP: 3136BFWT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1980875 | PA      | $506715.36    | 0.12%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-13, Class CI                                                    | CUSIP: 3136BL6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12162694 | PA      | $1918223.54   | 0.46%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-43, Class SB                                                    | CUSIP: 3136BNSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12564468 | PA      | $878616.94    | 0.21%             | 2052-07-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-54, Class FC                                                    | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361877 | PA      | $364597.90    | 0.09%             | 2054-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-82, Class FE                                                    | CUSIP: 3136BTGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050012 | PA      | $1055585.88   | 0.25%             | 2054-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5065, Class MI                                                      | CUSIP: 3137F8RM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2677519 | PA      | $511072.98    | 0.12%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11757446 | PA      | $1768148.27   | 0.42%             | 2056-08-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1333098 | PA      | $155243.96    | 0.04%             | 2049-09-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4949                                                                | CUSIP: 3137FR6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9788400 | PA      | $2108749.26   | 0.51%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4976, Class MI                                                      | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2095959 | PA      | $483041.42    | 0.12%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2017-DNA1, Class B2                                | CUSIP: 3137G0MY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515797 | PA      | $546656.10    | 0.13%             | 2029-07-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5116, Class BI                                                      | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9915545 | PA      | $2026534.22   | 0.49%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5119, Class IB                                                      | CUSIP: 3137H0SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3684151 | PA      | $380379.05    | 0.09%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5274                                                                | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12544184 | PA      | $2080372.64   | 0.50%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321170 | PA      | $66303.06     | 0.02%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5410, Class AS                                                      | CUSIP: 3137HCTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33196814 | PA      | $1629100.43   | 0.39%             | 2054-05-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5457                                                                | CUSIP: 3137HFW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11456075 | PA      | $2115010.32   | 0.51%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5459, Class KI                                                      | CUSIP: 3137HFZ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12851044 | PA      | $1593236.41   | 0.38%             | 2048-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                      | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5047197 | PA      | $1101416.54   | 0.26%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5558, Class SG                                                      | CUSIP: 3137HM4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31912290 | PA      | $3090481.86   | 0.74%             | 2055-07-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 427, Class C93                                                       | CUSIP: 31423XQX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9733587 | PA      | $1657242.39   | 0.40%             | 2042-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2025-HE5, Class A                                             | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     386651 | PA      | $392183.49    | 0.09%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M1        | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |     373260 | PA      | $372674.52    | 0.09%             | 2051-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M2        | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |    1350000 | PA      | $1404105.57   | 0.34%             | 2051-01-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2        | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | CORP              | US        |    2059000 | PA      | $2136252.65   | 0.51%             | 2051-11-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                     | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |     439000 | PA      | $542253.94    | 0.13%             | 2049-01-25      | Floating      | 14.53%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                     | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    1318000 | PA      | $1513715.09   | 0.36%             | 2048-09-25      | Floating      | 11.53%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    3028000 | PA      | $3733413.78   | 0.90%             | 2048-10-25      | Floating      | 14.78%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                               | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1235239.06   | 0.30%             | 2051-01-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B2                               | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | CORP              | US        |    2879000 | PA      | $3662575.70   | 0.88%             | 2033-10-25      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                               | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    1975000 | PA      | $2024099.09   | 0.49%             | 2042-02-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                               | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    2759000 | PA      | $2879206.04   | 0.69%             | 2042-03-25      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B2                               | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2847454.48   | 0.68%             | 2042-03-25      | Floating      | 14.67%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                               | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    1471000 | PA      | $1575411.43   | 0.38%             | 2042-06-25      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $4661317.83   | 1.12%             | 2048-01-25      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA3, Class B2                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1116447.60   | 0.27%             | 2049-09-25      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $875635.52    | 0.21%             | 2047-09-25      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA1, Class B2                               | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $891425.60    | 0.21%             | 2050-01-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B2                               | CUSIP: 35565WBE1<br>LEI: 5493000ITGOA1OPGRQ72 | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $971817.15    | 0.23%             | 2050-06-25      | Floating      | 13.13%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2013-GC13, Class D                           | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |     739000 | PA      | $558229.15    | 0.13%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-17, Class A1                                  | CUSIP: 362257AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8168958 | PA      | $1941100.35   | 0.47%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2007-2, Class AF4A                                 | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1134424 | PA      | $303806.13    | 0.07%             | 2037-03-25      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                | GSR Mortgage Loan Trust, Series 2007-OA1, Class 2A3A                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276152 | PA      | $154731.46    | 0.04%             | 2037-05-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-1, Class A1                                   | CUSIP: 362341Z28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     968791 | PA      | $262881.37    | 0.06%             | 2036-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-8, Class 2A2                                  | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      74820 | PA      | $15335.78     | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                            | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3043000 | PA      | $399197.17    | 0.10%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2019-GC38, Class D                           | CUSIP: 36252SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439000 | PA      | $382364.65    | 0.09%             | 2052-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                           | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2306000 | PA      | $2243997.19   | 0.54%             | 2047-09-10      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                           | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920000 | PA      | $1325729.09   | 0.32%             | 2047-09-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-HE1, Class A1                    | CUSIP: 36270AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2339127 | PA      | $2350228.00   | 0.56%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279260 | PA      | $276442.52    | 0.07%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H01, Class AI                                                   | CUSIP: 38375U3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5269164 | PA      | $230900.05    | 0.06%             | 2068-01-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1277309 | PA      | $38564.51     | 0.01%             | 2067-04-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H16, Class JI                                                   | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170044 | PA      | $6999.85      | 0.00%             | 2067-08-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H19, Class MI                                                   | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     966164 | PA      | $34813.77     | 0.01%             | 2067-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210986 | PA      | $10423.34     | 0.00%             | 2064-10-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H11, Class KI                                                   | CUSIP: 38375UXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21428499 | PA      | $897234.81    | 0.22%             | 2066-05-20      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H02, Class BI                                                   | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     539741 | PA      | $23325.97     | 0.01%             | 2067-01-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128193 | PA      | $3932.44      | 0.00%             | 2067-04-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102328 | PA      | $3818.62      | 0.00%             | 2067-03-20      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H11, Class DI                                                   | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80308 | PA      | $3982.31      | 0.00%             | 2067-05-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39710 | PA      | $2005.08      | 0.00%             | 2066-10-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class CI                                                   | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19120 | PA      | $578.02       | 0.00%             | 2065-04-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25432 | PA      | $1408.86      | 0.00%             | 2065-04-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48954 | PA      | $2639.77      | 0.00%             | 2065-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class DI                                                   | CUSIP: 38376RDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     522188 | PA      | $48229.76     | 0.01%             | 2065-07-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1377851 | PA      | $84696.50     | 0.02%             | 2065-07-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class CI                                                   | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719250 | PA      | $19457.14     | 0.00%             | 2066-10-20      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class HI                                                   | CUSIP: 38376RF84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3538597 | PA      | $246636.64    | 0.06%             | 2066-09-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class AI                                                   | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20660 | PA      | $788.87       | 0.00%             | 2065-08-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377081 | PA      | $18801.63     | 0.00%             | 2065-08-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class BI                                                   | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14428 | PA      | $394.74       | 0.00%             | 2065-09-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100389 | PA      | $6125.43      | 0.00%             | 2066-09-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class AI                                                   | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34183 | PA      | $650.87       | 0.00%             | 2065-09-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class CI                                                   | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16370 | PA      | $774.14       | 0.00%             | 2065-10-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class EI                                                   | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16158 | PA      | $621.34       | 0.00%             | 2065-10-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class DI                                                   | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18188 | PA      | $965.25       | 0.00%             | 2065-10-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class EI                                                   | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34746 | PA      | $1273.53      | 0.00%             | 2065-10-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class EI                                                   | CUSIP: 38376RK47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6462123 | PA      | $280669.39    | 0.07%             | 2066-12-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H04, Class KI                                                   | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3527981 | PA      | $89995.96     | 0.02%             | 2066-02-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1106803 | PA      | $46944.05     | 0.01%             | 2067-02-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H09, Class BI                                                   | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1183286 | PA      | $48759.67     | 0.01%             | 2066-04-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class BI                                                   | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213983 | PA      | $7645.81      | 0.00%             | 2067-02-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H15, Class AI                                                   | CUSIP: 38376RWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2093927 | PA      | $104760.45    | 0.03%             | 2066-07-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     334366 | PA      | $13717.02     | 0.00%             | 2067-02-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320471 | PA      | $19151.96     | 0.00%             | 2066-06-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1013082 | PA      | $46069.88     | 0.01%             | 2066-09-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-26, Class QS                                                    | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14822684 | PA      | $1711727.96   | 0.41%             | 2040-02-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21102 | PA      | $2497.82      | 0.00%             | 2038-04-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478713 | PA      | $70863.16     | 0.02%             | 2043-12-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     697946 | PA      | $23015.75     | 0.01%             | 2064-12-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-132                                                             | CUSIP: 38379EW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491602 | PA      | $98005.66     | 0.02%             | 2044-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53035 | PA      | $10456.97     | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-79, Class GI                                                    | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34358 | PA      | $6970.15      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-105, Class LI                                                   | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322024 | PA      | $67883.17     | 0.02%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297897 | PA      | $52108.60     | 0.01%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16514 | PA      | $2265.55      | 0.00%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-104, Class GI                                                   | CUSIP: 38380FYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5117431 | PA      | $1047962.83   | 0.25%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H05, Class BI                                                   | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     621404 | PA      | $27011.17     | 0.01%             | 2068-02-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H15, Class IH                                                   | CUSIP: 38380LC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6321429 | PA      | $241497.56    | 0.06%             | 2069-09-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H20, Class BI                                                   | CUSIP: 38380LNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2702469 | PA      | $107984.19    | 0.03%             | 2068-06-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H02, Class DI                                                   | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7978907 | PA      | $345520.19    | 0.08%             | 2068-11-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H07, Class EI                                                   | CUSIP: 38380LSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10056683 | PA      | $453797.75    | 0.11%             | 2069-03-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H12, Class GI                                                   | CUSIP: 38380LWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4894200 | PA      | $203688.30    | 0.05%             | 2069-07-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H04, Class AI                                                   | CUSIP: 38380LY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4311305 | PA      | $209443.18    | 0.05%             | 2070-02-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H14, Class IB                                                   | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110056 | PA      | $4754.41      | 0.00%             | 2069-08-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H08                                                             | CUSIP: 38380Q2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23627810 | PA      | $863383.79    | 0.21%             | 2071-01-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-179, Class WI                                                   | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224163 | PA      | $50025.20     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   15968862 | PA      | $836680.52    | 0.20%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-96, Class SY                                                    | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12578737 | PA      | $1682915.54   | 0.40%             | 2049-08-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2789537 | PA      | $369116.83    | 0.09%             | 2049-10-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2741121 | PA      | $316759.27    | 0.08%             | 2044-05-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6025009 | PA      | $897990.78    | 0.22%             | 2050-08-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-151, Class MI                                                   | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3681189 | PA      | $533924.37    | 0.13%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12423687 | PA      | $1820939.88   | 0.44%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-167, Class PI                                                   | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2048204 | PA      | $456390.55    | 0.11%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14306890 | PA      | $2140146.18   | 0.51%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-189, Class S                                                    | CUSIP: 38382MFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13820941 | PA      | $1669448.07   | 0.40%             | 2049-12-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-29, Class TI                                                    | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19329170 | PA      | $3368320.58   | 0.81%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class SD                                                    | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7990761 | PA      | $1179344.41   | 0.28%             | 2051-03-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class EI                                                    | CUSIP: 38382TD68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3816853 | PA      | $588786.55    | 0.14%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                    | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10501307 | PA      | $1220267.63   | 0.29%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-149, Class CI                                                   | CUSIP: 38382XBY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13357150 | PA      | $1967401.41   | 0.47%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93833443 | PA      | $1818238.77   | 0.44%             | 2071-08-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H01, Class EI                                                   | CUSIP: 38382YKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3140954 | PA      | $163502.38    | 0.04%             | 2072-01-20      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H04, Class JI                                                   | CUSIP: 38382YMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22560609 | PA      | $1074744.54   | 0.26%             | 2072-02-20      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class GI                                                   | CUSIP: 38382YRN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13237074 | PA      | $637206.27    | 0.15%             | 2072-04-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class IG                                                   | CUSIP: 38382YRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9675561 | PA      | $447639.84    | 0.11%             | 2072-04-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IA                                                   | CUSIP: 38383CCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11922703 | PA      | $2162717.59   | 0.52%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IK                                                   | CUSIP: 38383CCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4008630 | PA      | $790011.92    | 0.19%             | 2051-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-191, Class HI                                                   | CUSIP: 38383CNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2528010 | PA      | $444580.57    | 0.11%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                   | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11403091 | PA      | $2290951.72   | 0.55%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14580623 | PA      | $1045054.51   | 0.25%             | 2053-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SB                                                    | CUSIP: 38383HMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22348014 | PA      | $1520498.54   | 0.37%             | 2053-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-H16, Class ID                                                   | CUSIP: 38383KAP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15459649 | PA      | $478460.67    | 0.11%             | 2072-04-20      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-213, Class IH                                                   | CUSIP: 38383LC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1967552 | PA      | $377962.24    | 0.09%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-139                                                             | CUSIP: 38383M3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8812735 | PA      | $1746462.96   | 0.42%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-45, Class SP                                                    | CUSIP: 38383MD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30039298 | PA      | $3028339.72   | 0.73%             | 2050-05-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-128, Class SH                                                   | CUSIP: 38383T8J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23341627 | PA      | $2611746.02   | 0.63%             | 2052-07-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                   | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35271842 | PA      | $3059059.80   | 0.73%             | 2052-07-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class BS                                                   | CUSIP: 38383TWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11969182 | PA      | $1038418.74   | 0.25%             | 2052-07-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class ES                                                    | CUSIP: 38383VK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11835165 | PA      | $905597.21    | 0.22%             | 2053-02-20      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class SH                                                    | CUSIP: 38383VL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10867438 | PA      | $919078.82    | 0.22%             | 2053-02-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SB                                                    | CUSIP: 38383VWQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19449974 | PA      | $1868646.56   | 0.45%             | 2053-02-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17173057 | PA      | $1323027.74   | 0.32%             | 2053-02-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                    | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14652821 | PA      | $1055561.36   | 0.25%             | 2053-02-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20771850 | PA      | $1373895.84   | 0.33%             | 2053-04-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class SD                                                   | CUSIP: 38383Y5C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10307746 | PA      | $1214777.12   | 0.29%             | 2049-11-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-160, Class IB                                                   | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15581530 | PA      | $3233937.21   | 0.78%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-84, Class DS                                                    | CUSIP: 38384AN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16505436 | PA      | $1339016.72   | 0.32%             | 2053-06-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                   | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18554997 | PA      | $1319056.20   | 0.32%             | 2053-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                   | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37764480 | PA      | $2474151.21   | 0.59%             | 2053-07-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-149, Class SE                                                   | CUSIP: 38384DEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18321310 | PA      | $1295589.62   | 0.31%             | 2063-09-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class SL                                                   | CUSIP: 38384DXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20003576 | PA      | $1636442.56   | 0.39%             | 2053-10-20      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SB                                                   | CUSIP: 38384EAG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30089043 | PA      | $2027086.80   | 0.49%             | 2053-08-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SK                                                   | CUSIP: 38384EAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33701395 | PA      | $1974197.37   | 0.47%             | 2053-08-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16594163 | PA      | $1108987.90   | 0.27%             | 2054-01-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11093333 | PA      | $864104.07    | 0.21%             | 2053-11-20      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-7, Class SA                                                     | CUSIP: 38384GL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15968491 | PA      | $1061735.40   | 0.26%             | 2054-01-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21122584 | PA      | $1521861.06   | 0.37%             | 2054-01-20      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class AS                                                     | CUSIP: 38384HXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16511279 | PA      | $1654478.00   | 0.40%             | 2054-01-20      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GS                                                     | CUSIP: 38384HYW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16364556 | PA      | $1163403.74   | 0.28%             | 2054-01-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7185868 | PA      | $1367089.15   | 0.33%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                     | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7149932 | PA      | $1779761.88   | 0.43%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class NS                                                     | CUSIP: 38384HZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16541024 | PA      | $1145737.20   | 0.28%             | 2054-01-20      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                    | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30696792 | PA      | $1765645.69   | 0.42%             | 2054-02-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class EI                                                    | CUSIP: 38384JPU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46060217 | PA      | $3229654.89   | 0.78%             | 2054-02-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                    | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27916936 | PA      | $1879675.23   | 0.45%             | 2054-02-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                    | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37331962 | PA      | $2217436.40   | 0.53%             | 2054-03-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                    | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43904731 | PA      | $3283981.66   | 0.79%             | 2054-04-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                   | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23509648 | PA      | $1900545.79   | 0.46%             | 2054-08-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-186                                                             | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8048724 | PA      | $1223975.05   | 0.29%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-197, Class SC                                                   | CUSIP: 38385BBW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20232426 | PA      | $1707881.82   | 0.41%             | 2054-12-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-62, Class HS                                                    | CUSIP: 38385FNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12605752 | PA      | $1671502.50   | 0.40%             | 2047-11-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-61, Class SB                                                    | CUSIP: 38385FYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22097094 | PA      | $1567139.14   | 0.38%             | 2055-04-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-171, Class PI                                                   | CUSIP: 38385HVM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4709973 | PA      | $962369.85    | 0.23%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES Trust, Series 2024-NQM1, Class A1                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |     687678 | PA      | $695914.48    | 0.17%             | 2069-07-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                             | HTAP Trust, Series 2024-1, Class A                                                | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1406428 | PA      | $1416571.63   | 0.34%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd.                                           | Home Re Ltd., Series 2022-1, Class B1                                             | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     900000 | PA      | $989861.94    | 0.24%             | 2034-10-25      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A3                          | CUSIP: 45276NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975309 | PA      | $973487.26    | 0.23%             | 2067-06-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1                          | CUSIP: 45290BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     775290 | PA      | $773464.63    | 0.19%             | 2068-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                       | IndyMac INDX Mortgage Loan Trust, Series 2006-AR11, Class 2A1                     | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17944 | PA      | $16020.94     | 0.00%             | 2036-06-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D               | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1101000 | PA      | $540369.92    | 0.13%             | 2049-06-15      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4              | CUSIP: 46590TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515835 | PA      | $510090.18    | 0.12%             | 2050-03-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-HE2, Class A1                             | CUSIP: 46593HAA6<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-O            | CORP              | US        |     559071 | PA      | $560180.58    | 0.13%             | 2054-10-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust             | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D              | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388000 | PA      | $277484.02    | 0.07%             | 2050-09-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class E | CUSIP: 46631QAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15718 | PA      | $22272.57     | 0.01%             | 2051-02-12      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class G   | CUSIP: 46634SAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90554.96     | 0.02%             | 2045-05-15      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D   | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $424924.47    | 0.10%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D  | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1799000 | PA      | $1757349.19   | 0.42%             | 2047-12-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C  | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193113 | PA      | $187466.95    | 0.05%             | 2047-12-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E              | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625000 | PA      | $434300.00    | 0.10%             | 2045-07-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D              | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $939008.00    | 0.23%             | 2045-07-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899582 | PA      | $8977.83      | 0.00%             | 2046-04-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class F              | CUSIP: 46640LAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402000 | PA      | $34426.48     | 0.01%             | 2046-08-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class D              | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1135000 | PA      | $1039845.91   | 0.25%             | 2047-02-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class B              | CUSIP: 46642NBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $390268.00    | 0.09%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C              | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354000 | PA      | $337624.07    | 0.08%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D              | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2857000 | PA      | $2637538.69   | 0.63%             | 2047-09-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class D              | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1390000 | PA      | $677597.20    | 0.16%             | 2047-11-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B              | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1947000 | PA      | $1818946.78   | 0.44%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-10, Class A11                             | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250258 | PA      | $1256242.04   | 0.30%             | 2055-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     221000 | PA      | $12772.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     223000 | PA      | $28998.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1024000 | PA      | $-111573.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     289000 | PA      | $-130861.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3436000 | PA      | $-67831.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     326000 | PA      | $-9588.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12982000 | PA      | $610985.54    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     424000 | PA      | $55136.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     200000 | PA      | $6961.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $6588.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $4084.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    4663000 | PA      | $-414478.13   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3724000 | PA      | $360711.25    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1567000 | PA      | $686011.21    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     576000 | PA      | $-13357.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1069000 | PA      | $-153142.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     438000 | PA      | $30212.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      47000 | PA      | $22378.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1293000 | PA      | $68261.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12982000 | PA      | $353168.97    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     836000 | PA      | $69103.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $642239.81    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $985942.27    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-33645.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-44036.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $80060.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-15833.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1293000 | PA      | $-1921.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     943000 | PA      | $30133.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -310533900 | PA      | $-2577855.33  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  310533900 | PA      | $102316.18    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   22615300 | PA      | $401038.95    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3233000 | PA      | $186558.27    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-35328.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1457000 | PA      | $-2367.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                  | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     747060 | PA      | $748174.31    | 0.18%             | 2028-11-25      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                        | Lehman XS Trust, Series 2006-17, Class 1A4A                                       | CUSIP: 52523KBH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2669282 | PA      | $2551548.06   | 0.61%             | 2046-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2023-NQM3, Class A1                                             | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400714 | PA      | $402935.85    | 0.10%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                          | MAD Commercial Mortgage Trust, Series 2025-11MD, Class D                          | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737000 | PA      | $1782657.57   | 0.43%             | 2042-10-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| MAST LLC                                               | MAST LLC, Series 2026-1A, Class A                                                 | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1965000 | PA      | $1985530.32   | 0.48%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-NPL1, Class A1                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226124 | PA      | $226679.05    | 0.05%             | 2054-09-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                 | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3, Class A4                 | CUSIP: 590212AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     752280 | PA      | $198769.52    | 0.05%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C      | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2015000 | PA      | $1756576.25   | 0.42%             | 2048-04-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     568741 | PA      | $554359.27    | 0.13%             | 2050-07-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D      | CUSIP: 61690VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503908 | PA      | $484276.89    | 0.12%             | 2048-10-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-BNK2, Class C                         | CUSIP: 61690YBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571000 | PA      | $498723.96    | 0.12%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB12, Class C                         | CUSIP: 61691EBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498000 | PA      | $397473.22    | 0.10%             | 2049-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                          | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281460 | PA      | $276001.72    | 0.07%             | 2037-02-26      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class G                           | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753000 | PA      | $728835.18    | 0.18%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class C       | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694593 | PA      | $652296.48    | 0.16%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303000 | PA      | $728780.93    | 0.18%             | 2045-11-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G       | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441000 | PA      | $84337.41     | 0.02%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class G       | CUSIP: 61762DAL5<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1137057.30   | 0.27%             | 2046-05-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C       | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     917000 | PA      | $864910.27    | 0.21%             | 2046-05-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F      | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1286000 | PA      | $185927.82    | 0.04%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B      | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1503854 | PA      | $1440989.55   | 0.35%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class C      | CUSIP: 61762MCB5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1543000 | PA      | $1437486.73   | 0.35%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1139000 | PA      | $1064121.80   | 0.26%             | 2046-10-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E      | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405000 | PA      | $312348.35    | 0.08%             | 2046-10-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D      | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     414240 | PA      | $408268.08    | 0.10%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C      | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691000 | PA      | $616086.89    | 0.15%             | 2052-11-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D      | CUSIP: 61767EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     663000 | PA      | $504789.24    | 0.12%             | 2052-11-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                         | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2716000 | PA      | $2677790.50   | 0.64%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1        | CUSIP: 61775UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     946351 | PA      | $955242.53    | 0.23%             | 2068-12-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF           | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2127517 | PA      | $2134629.32   | 0.51%             | 2054-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1431000 | PA      | $1217278.29   | 0.29%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| PK Alift Loan Funding 7 LP                             | PK Alift Loan Funding 7 LP, Series 2025-2, Class A                                | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     286200 | PA      | $288461.21    | 0.07%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2026-NPL3, Class A1                                              | CUSIP: 69383QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1648000 | PA      | $1651061.98   | 0.40%             | 2056-02-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2026-NPL1, Class A1                                              | CUSIP: 69383TAA6<br>LEI: 2549002NGM9N1GT2FK83 | Long             | ABS-MBS          | CORP              | US        |     292002 | PA      | $292280.20    | 0.07%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL9, Class A1                                              | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2733090 | PA      | $2740882.51   | 0.66%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL4, Class A1                                              | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2314016 | PA      | $2321008.14   | 0.56%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                              | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |    3597755 | PA      | $3603148.27   | 0.87%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2024-CMG1, Class A1                             | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3415728 | PA      | $3425445.56   | 0.82%             | 2054-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                             | PRPM Trust, Series 2024-NQM2, Class A1                                            | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     697056 | PA      | $707016.56    | 0.17%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2026-1, Class A1                                                 | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $638981.07    | 0.15%             | 2031-02-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Putnam Short Term Investment Fund                      | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   21642842 | NS      | $21642842.05  | 5.20%             |  |  |  | No            |                  1 | On Loan: No      |
| RCO VIII Mortgage LLC                                  | RCO VIII Mortgage LLC, Series 2025-3, Class A1                                    | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1074831 | PA      | $1077905.67   | 0.26%             | 2030-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| SF Abs Issuer LLC                                      | SF ABS Issuer LLC, Series 2025-1A, Class A2                                       | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1262000 | PA      | $1262186.27   | 0.30%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                           | Sabey Data Center Issuer LLC, Series 2026-1, Class A2                             | CUSIP: 78520EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     809000 | PA      | $822911.89    | 0.20%             | 2051-01-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1               | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2979000 | PA      | $3010024.50   | 0.72%             | 2030-07-25      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-1, Class A                        | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810000 | PA      | $1838628.77   | 0.44%             | 2026-07-23      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128033 | PA      | $116461.94    | 0.03%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A1        | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20253 | PA      | $18593.11     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   79308000 | PA      | $3236772.11   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  257892000 | PA      | $-5684283.23  | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  587734000 | PA      | $5465834.22   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  907023000 | PA      | $-818885.02   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                            | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503044 | PA      | $479778.09    | 0.12%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C1, Class D                            | CUSIP: 90276EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223000 | PA      | $1046709.93   | 0.25%             | 2050-06-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                           | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2195000 | PA      | $1465252.28   | 0.35%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                           | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641000 | PA      | $601371.33    | 0.14%             | 2051-06-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     800000 | PA      | $795834.22    | 0.19%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797TN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1400000 | PA      | $1381292.32   | 0.33%             | 2026-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Unlock Hea Trust                                       | Unlock Hea Trust, Series 2023-1, Class A                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     646217 | PA      | $650453.06    | 0.16%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                               | VCAT LLC, Series 2026-NPL1, Class A1                                              | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     252606 | PA      | $253450.65    | 0.06%             | 2056-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust          | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C4       | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27899 | PA      | $27142.00     | 0.01%             | 2045-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E                          | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806022 | PA      | $773380.12    | 0.19%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                         | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379099 | PA      | $1248058.81   | 0.30%             | 2045-03-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                         | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    1593000 | PA      | $1464978.24   | 0.35%             | 2046-08-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D                         | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    1317468 | PA      | $928827.84    | 0.22%             | 2046-08-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class B                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    2759697 | PA      | $2722199.16   | 0.65%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                         | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |     816000 | PA      | $779055.60    | 0.19%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class B                         | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $1091582.66   | 0.26%             | 2057-10-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class D                  | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |     381000 | PA      | $260985.00    | 0.06%             | 2046-07-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D                  | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     215448 | PA      | $26069.68     | 0.01%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D                  | CUSIP: 94989AAA3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    1981000 | PA      | $1903845.60   | 0.46%             | 2047-12-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E                   | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2341500 | PA      | $1486594.94   | 0.36%             | 2048-11-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C                   | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9833 | PA      | $9689.71      | 0.00%             | 2048-11-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                   | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1488500 | PA      | $1350561.00   | 0.32%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                  | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $193847.50    | 0.05%             | 2059-01-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                   | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $917675.90    | 0.22%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                   | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1112000 | PA      | $497932.36    | 0.12%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D                   | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     919000 | PA      | $635305.07    | 0.15%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                  | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16716457 | PA      | $699928.09    | 0.17%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class XA                  | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23281193 | PA      | $1274528.89   | 0.31%             | 2054-04-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   13783522 | PA      | $878339.79    | 0.21%             | 2049-02-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1432 | NC      | $-449461.84   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1196 | NC      | $-786800.56   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                       | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     647275 | PA      | $623908.46    | 0.15%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2025-1A, Class A                       | CUSIP: 89617CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     381190 | PA      | $236299.96    | 0.06%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Putnam Funds Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer