# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0002071691-25-003396
**Filing Date:** 2025-10
**Character Count:** 218377
**Document Hash:** a81395d83202eeced6fdbae18d89ba82
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-003396.hdr.sgml**: 20251027

**ACCESSION NUMBER**: 0002071691-25-003396

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251027

**DATE AS OF CHANGE**: 20251027

**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:** 251418392

**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:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $996419500.90

**Total Liabilities:** $407763865.17

**Net Assets:** $588655635.73

**Delayed Delivery Securities:** $392760429.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -312.51000000 | **1-Year:** -2480.51000000 | **5-Year:** -2000.83000000 | **10-Year:** -8175.83000000 | **30-Year:** -21842.14000000

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

- **3-Month:** -399.73000000 | **1-Year:** 177991.04000000 | **5-Year:** -66097.90000000 | **10-Year:** 233073.17000000 | **30-Year:** -151792.82000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000213255 | 0.59%                | 0.39%                | 0.90%                |
| Class ID C000213253 | 0.68%                | 0.47%                | 0.99%                |
| Class ID C000152757 | 0.69%                | 0.48%                | 1.00%                |
| Class ID C000213254 | 0.66%                | 0.56%                | 0.86%                |
| Class ID C000219743 | 0.68%                | 0.48%                | 0.99%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2844113.02             | $13938623.34                               |
| Month 2  | $1778860.25              | $-9998406.92                               |
| Month 3  | $3322580.10              | $10686218.72                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BMO Mortgage Trust                                     | BMO Mortgage Trust, Series 2024-5C6, Class XA                                     | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15368772 | PA      | $706909.71    | 0.12%             | 2057-09-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H19, Class MI                                                   | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1320620 | PA      | $50883.48     | 0.01%             | 2067-04-20      | Variable      | 2.08%                 | 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        |    3650000 | PA      | $2135250.00   | 0.36%             | 2046-11-10      | Variable      | 5.11%                 | 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        |    1721714 | PA      | $1588972.58   | 0.27%             | 2046-09-25      | Floating      | 4.90%                 | 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      | $1530114.18   | 0.26%             | 2048-09-25      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3847767.56   | 0.65%             | 2055-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-105, Class LI                                                   | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341040 | PA      | $73461.56     | 0.01%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-62, Class ES                                                    | CUSIP: 38382FNL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27264018 | PA      | $3716862.64   | 0.63%             | 2050-05-20      | Floating      | 1.70%                 | 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      | $345025.96    | 0.06%             | 2059-01-15      | Variable      | 5.12%                 | 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        |     915000 | PA      | $833713.23    | 0.14%             | 2057-06-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class SD                                                   | CUSIP: 38383Y5C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10915385 | PA      | $1304368.81   | 0.22%             | 2049-11-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5410, Class AS                                                      | CUSIP: 3137HCTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39265012 | PA      | $2443858.30   | 0.42%             | 2054-05-25      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                          | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                         | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      41182 | PA      | $41194.63     | 0.01%             | 2051-02-27      | Fixed         | 6.24%                 | 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        |     655218 | PA      | $661725.08    | 0.11%             | 2038-10-25      | Fixed         | 7.00%                 | 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        |     735000 | PA      | $624264.68    | 0.11%             | 2058-09-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-4, Class A1                               | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |    1246909 | PA      | $1262362.82   | 0.21%             | 2069-06-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SB                                                    | CUSIP: 38383VWQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22660327 | PA      | $2515980.65   | 0.43%             | 2053-02-20      | Floating      | 2.65%                 | 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      | $3555882.55   | 0.60%             | 2033-10-25      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                    | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4616257 | PA      | $898526.28    | 0.15%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA2, Class B2                               | CUSIP: 35565LBE5<br>LEI: 5493000ITBJ4KEFYWF83 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3615412.80   | 0.61%             | 2050-03-25      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14914705 | PA      | $2212034.20   | 0.38%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                      | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5359373 | PA      | $1200594.92   | 0.20%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-10, Class GI                                                    | CUSIP: 38383GGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4613154 | PA      | $1103808.66   | 0.19%             | 2052-01-20      | Fixed         | 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-C10, Class C      | CUSIP: 61762MCB5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1543000 | PA      | $1421953.81   | 0.24%             | 2046-07-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $905933.63    | 0.15%             |  |  |  | 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      | $2663760.23   | 0.45%             | 2042-04-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                     | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7362685 | PA      | $1853110.47   | 0.31%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H16, Class JI                                                   | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210622 | PA      | $9595.53      | 0.00%             | 2067-08-20      | Variable      | 1.59%                 | 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        |     242827 | PA      | $244216.09    | 0.04%             | 2054-09-25      | Fixed         | 6.33%                 | 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        |    1741000 | PA      | $1606671.75   | 0.27%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1762879 | PA      | $51440.80     | 0.01%             | 2067-04-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     827259 | PA      | $829659.08    | 0.14%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                    | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270229 | PA      | $251644.32    | 0.04%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-69, Class MI                                                    | CUSIP: 3136BJNN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12345342 | PA      | $1432317.74   | 0.24%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                   | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20897579 | PA      | $1342353.87   | 0.23%             | 2053-07-20      | Floating      | 1.65%                 | 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      | $313633.42    | 0.05%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class AI                                                   | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62888 | PA      | $882.32       | 0.00%             | 2065-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                        | COMM Mortgage Trust, Series 2013-CR12, Class AM                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    1450806 | PA      | $1392801.43   | 0.24%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-90, Class SB                                                    | CUSIP: 38383RD38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10378055 | PA      | $836995.36    | 0.14%             | 2052-05-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2024-5YR10, Class XA                                                | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17663485 | PA      | $748470.73    | 0.13%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     316651 | PA      | $57808.43     | 0.01%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $13809066.04  | 2.35%             | 2055-09-25      | Fixed         | 5.00%                 | 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        |    1546184 | PA      | $1664246.34   | 0.28%             | 2029-04-25      | Floating      | 13.71%                | 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      | $552309.50    | 0.09%             | 2042-09-25      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class KI                                                    | CUSIP: 3136BF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2129146 | PA      | $511733.56    | 0.09%             | 2051-04-25      | 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        |     516206 | PA      | $563086.83    | 0.10%             | 2029-07-25      | Floating      | 14.46%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120987 | PA      | $7754.56      | 0.00%             | 2066-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                   | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8511112 | PA      | $1586039.70   | 0.27%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57443 | PA      | $2625.78      | 0.00%             | 2066-10-20      | Variable      | 2.73%                 | 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        |      21801 | PA      | $29170.73     | 0.00%             | 2051-02-12      | Variable      | 8.36%                 | 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      | $2996125.38   | 0.51%             | 2030-07-25      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR19, Class D                                    | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19235 | PA      | $18720.35     | 0.00%             | 2047-08-10      | Variable      | 4.57%                 | 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        |     294331 | PA      | $285992.18    | 0.05%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H12, Class GI                                                   | CUSIP: 38380LWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6288755 | PA      | $260107.95    | 0.04%             | 2069-07-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  886445000 | PA      | $-2706997.25  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-34, Class IV                                                    | CUSIP: 38383MBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9654438 | PA      | $1897469.74   | 0.32%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C  | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193113 | PA      | $187005.67    | 0.03%             | 2047-12-15      | Variable      | 4.24%                 | 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        |    1510000 | PA      | $1323934.93   | 0.22%             | 2045-03-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class AS                                                     | CUSIP: 38384HXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19355032 | PA      | $1826033.04   | 0.31%             | 2054-01-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class EI                                                    | CUSIP: 38384JPU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52110463 | PA      | $3365027.94   | 0.57%             | 2054-02-20      | Floating      | 1.42%                 | 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        |    2145000 | PA      | $1440321.81   | 0.24%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H08                                                             | CUSIP: 38380Q2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23611863 | PA      | $908206.71    | 0.15%             | 2071-01-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CSMC Trust Mortgage-Backed Trust                       | CSMC Mortgage-Backed Trust, Series 2007-1, Class 1A3                              | CUSIP: 126378AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5466574 | PA      | $1246481.59   | 0.21%             | 2037-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B1              | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $529778.90    | 0.09%             | 2042-03-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-97, Class S                                                     | CUSIP: 38384PPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44814357 | PA      | $3565604.98   | 0.61%             | 2054-03-20      | Floating      | 1.45%                 | 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      | $500791.10    | 0.09%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21246324 | PA      | $1897496.43   | 0.32%             | 2053-02-20      | Floating      | 2.65%                 | 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        |    2780013 | PA      | $2580832.45   | 0.44%             | 2046-08-25      | Floating      | 4.78%                 | 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        |     889000 | PA      | $201745.39    | 0.03%             | 2050-02-10      | Fixed         | 3.25%                 | 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        |     759780 | PA      | $198975.64    | 0.03%             | 2037-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class HI                                                    | CUSIP: 3136BHDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5220446 | PA      | $903166.96    | 0.15%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SB                                                   | CUSIP: 38384EAG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34669467 | PA      | $2467647.88   | 0.42%             | 2053-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                               | BDS Ltd., Series 2021-FL9, Class A                                                | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     239481 | PA      | $240300.64    | 0.04%             | 2038-11-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H02, Class BI                                                   | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     789412 | PA      | $30460.24     | 0.01%             | 2067-01-20      | Variable      | 2.31%                 | 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        |     142380 | PA      | $122747.99    | 0.02%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-3, Class A                        | CUSIP: 85779TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2010000 | PA      | $2014407.93   | 0.34%             | 2026-09-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1024000 | PA      | $-112170.56   | -0.02%            |  |  |  | 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        |      72762 | PA      | $68680.46     | 0.01%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class SQ                                                    | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6687516 | PA      | $923277.08    | 0.16%             | 2051-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-91, Class AI                                                    | CUSIP: 38382TNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17007767 | PA      | $3005206.07   | 0.51%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H20, Class BI                                                   | CUSIP: 38380LNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3501984 | PA      | $140048.53    | 0.02%             | 2068-06-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F040693<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-933283.14   | -0.16%            | 2055-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-84, Class DS                                                    | CUSIP: 38384AN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18078626 | PA      | $1545304.88   | 0.26%             | 2053-06-20      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-61, Class SB                                                    | CUSIP: 38385FYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25305152 | PA      | $1981001.20   | 0.34%             | 2055-04-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-197, Class SC                                                   | CUSIP: 38385BBW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21095284 | PA      | $2217211.37   | 0.38%             | 2054-12-20      | Floating      | 1.65%                 | 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      | $2234884.32   | 0.38%             | 2042-01-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5116, Class BI                                                      | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10412537 | PA      | $2150169.16   | 0.37%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA1, Class B2                                     | CUSIP: 35563MBE5<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-MBS          | CORP              | US        |    2642000 | PA      | $3233780.26   | 0.55%             | 2049-02-25      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D      | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2004000 | PA      | $1891815.08   | 0.32%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B  | CUSIP: 46590MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1553000 | PA      | $1435597.39   | 0.24%             | 2049-08-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-98, Class FA                                                    | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1449343 | PA      | $1456823.84   | 0.25%             | 2053-12-25      | Floating      | 5.50%                 | 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      | $433123.21    | 0.07%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class NS                                                     | CUSIP: 38384HZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18400547 | PA      | $1205189.82   | 0.20%             | 2054-01-20      | Floating      | 1.40%                 | 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        |    3814000 | PA      | $2799512.23   | 0.48%             | 2044-12-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5558, Class SG                                                      | CUSIP: 3137HM4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34155557 | PA      | $3801960.98   | 0.65%             | 2055-07-25      | Floating      | 2.05%                 | 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      | $1683415.95   | 0.29%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455744 | PA      | $25590.92     | 0.00%             | 2066-06-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5274                                                                | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12969117 | PA      | $2212452.29   | 0.38%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IK                                                   | CUSIP: 38383CCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4499197 | PA      | $854027.17    | 0.15%             | 2051-10-20      | Fixed         | 5.50%                 | 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      | $89702.24     | 0.02%             | 2045-05-15      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20711854 | PA      | $1263311.22   | 0.21%             | 2054-01-20      | Floating      | 2.05%                 | 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      | $468446.82    | 0.08%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2015-DNA3, Class B                                 | CUSIP: 3137G0GZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2875741 | PA      | $2906886.84   | 0.49%             | 2028-04-25      | Floating      | 13.81%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                    | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31190989 | PA      | $2431094.27   | 0.41%             | 2054-02-20      | Floating      | 1.50%                 | 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      | $507348.16    | 0.09%             | 2050-03-15      | Fixed         | 3.41%                 | 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      | $1072968.75   | 0.18%             | 2057-10-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     836000 | PA      | $66567.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56185 | PA      | $11277.13     | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-167, Class PI                                                   | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2108100 | PA      | $393031.29    | 0.07%             | 2050-11-20      | Fixed         | 3.50%                 | 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        |     711000 | PA      | $699351.90    | 0.12%             | 2048-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-128, Class SH                                                   | CUSIP: 38383T8J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24411905 | PA      | $2680122.02   | 0.46%             | 2052-07-20      | Floating      | 1.63%                 | 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        |    3524000 | PA      | $3000236.69   | 0.51%             | 2048-02-10      | Fixed         | 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      | $888929.11    | 0.15%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SB                                                    | CUSIP: 38383HMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25274825 | PA      | $2051964.44   | 0.35%             | 2053-01-20      | Floating      | 1.90%                 | 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        |    1515522 | PA      | $1437338.21   | 0.24%             | 2046-07-15      | Variable      | 4.09%                 | 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        |    2940500 | PA      | $2708429.27   | 0.46%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5065, Class MI                                                      | CUSIP: 3137F8RM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2815943 | PA      | $543086.50    | 0.09%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS6, Class C                                    | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139450 | PA      | $135720.82    | 0.02%             | 2047-12-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     576000 | PA      | $4048.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-151, Class MI                                                   | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3869161 | PA      | $579033.92    | 0.10%             | 2050-10-20      | Fixed         | 2.50%                 | 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      | $966814.50    | 0.16%             | 2046-05-15      | Variable      | 3.93%                 | 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      | $1352293.41   | 0.23%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3233000 | PA      | $4574.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H14, Class IB                                                   | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144285 | PA      | $6057.66      | 0.00%             | 2069-08-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H01, Class AI                                                   | CUSIP: 38375U3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6123016 | PA      | $286906.17    | 0.05%             | 2068-01-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  126000000 | PA      | $126729034.74 | 21.53%            | 2055-09-25      | Fixed         | 5.50%                 | 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        |   12649010 | PA      | $285484.35    | 0.05%             | 2053-01-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38191 | PA      | $2001.03      | 0.00%             | 2065-04-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7594522 | PA      | $1345302.73   | 0.23%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-149, Class CI                                                   | CUSIP: 38382XBY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13815729 | PA      | $2047006.12   | 0.35%             | 2051-08-20      | Fixed         | 2.50%                 | 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        |     876094 | PA      | $876419.42    | 0.15%             | 2068-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-8, Class ID                                                     | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6627711 | PA      | $1439766.07   | 0.24%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4949                                                                | CUSIP: 3137FR6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10240102 | PA      | $2318498.35   | 0.39%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    3028000 | PA      | $3780204.25   | 0.64%             | 2048-10-25      | Floating      | 15.46%                | 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        |    2247000 | PA      | $1799769.48   | 0.31%             | 2047-05-10      | Variable      | 5.00%                 | 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      | $15717.89     | 0.00%             | 2036-05-25      | Floating      | 4.80%                 | 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      | $410050.69    | 0.07%             | 2055-03-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $979668.97    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-162                                                             | CUSIP: 38383AA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3015588 | PA      | $612601.99    | 0.10%             | 2051-09-20      | Fixed         | 4.00%                 | 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 E | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643000 | PA      | $25399.14     | 0.00%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-93, Class FD                                                    | CUSIP: 3136BTK28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1209945 | PA      | $1212114.78   | 0.21%             | 2054-12-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     418019 | PA      | $14531.18     | 0.00%             | 2064-10-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16179408 | PA      | $804907.77    | 0.14%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN POOL NO:   670317                   | GNMA                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   14398000 | PA      | $1001956.82   | 0.17%             | 2049-02-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25104431 | PA      | $1917466.38   | 0.33%             | 2053-04-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   37243300 | PA      | $475615.08    | 0.08%             |  |  |  | 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      | $160039.48    | 0.03%             | 2048-06-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3436000 | PA      | $-152244.10   | -0.03%            |  |  |  | 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        |     955084 | PA      | $767694.29    | 0.13%             | 2047-02-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-16230.75    | -0.00%            |  |  |  | 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      | $863797.03    | 0.15%             | 2047-02-10      | Variable      | 4.07%                 | 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      | $877254.24    | 0.15%             | 2057-06-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6347608 | PA      | $894602.08    | 0.15%             | 2050-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20000000 | PA      | $19265797.20  | 3.27%             | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303000 | PA      | $684101.06    | 0.12%             | 2045-11-15      | Variable      | 4.49%                 | 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        |    1124120 | PA      | $1134831.59   | 0.19%             | 2068-12-25      | Fixed         | 6.15%                 | 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        |    1647022 | PA      | $1661298.46   | 0.28%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $4685.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                    | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16892050 | PA      | $1365235.77   | 0.23%             | 2053-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14706825 | PA      | $1045419.96   | 0.18%             | 2053-11-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class SH                                                    | CUSIP: 38383VL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12171716 | PA      | $1148777.47   | 0.20%             | 2053-02-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class HI                                                   | CUSIP: 38376RF84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4518351 | PA      | $308427.13    | 0.05%             | 2066-09-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class CI                                                   | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1207218 | PA      | $25117.39     | 0.00%             | 2066-10-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2727000 | PA      | $2792595.80   | 0.47%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12912115 | PA      | $1913337.93   | 0.33%             | 2050-10-20      | Fixed         | 2.50%                 | 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        |     861639 | PA      | $825988.73    | 0.14%             | 2046-03-10      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3724000 | PA      | $424243.38    | 0.07%             |  |  |  | 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        |     811164 | PA      | $866837.45    | 0.15%             | 2028-10-25      | Floating      | 17.21%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-32, Class IM                                                    | CUSIP: 38382DQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9980753 | PA      | $2010376.13   | 0.34%             | 2050-03-16      | Fixed         | 3.50%                 | 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      | $627006.18    | 0.11%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                             | CSMC Trust, Series 2021-RPL7, Class A1                                            | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283850 | PA      | $282567.44    | 0.05%             | 2061-07-27      | Variable      | 4.20%                 | 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        |     796147 | PA      | $814511.01    | 0.14%             | 2069-06-25      | Fixed         | 6.33%                 | 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      | $1617720.67   | 0.27%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-7, Class SA                                                     | CUSIP: 38384GL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19649171 | PA      | $1428585.13   | 0.24%             | 2054-01-20      | Floating      | 2.05%                 | 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      | $126635.89    | 0.02%             | 2046-07-15      | Variable      | 4.09%                 | 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      | $217746.73    | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | 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      | $319468.51    | 0.05%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H05, Class BI                                                   | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     816230 | PA      | $35667.61     | 0.01%             | 2068-02-20      | Variable      | 2.31%                 | 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      | $1029963.70   | 0.17%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                            | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4001044 | PA      | $4043404.54   | 0.69%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-67, Class IG                                                    | CUSIP: 3136BJDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2999495 | PA      | $499466.90    | 0.08%             | 2051-10-25      | Fixed         | 3.00%                 | 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      | $1126027.40   | 0.19%             | 2049-09-25      | Floating      | 11.96%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class BI                                                   | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323628 | PA      | $10523.41     | 0.00%             | 2067-02-20      | Variable      | 2.38%                 | 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      | $565605.96    | 0.10%             | 2047-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M2                               | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    3160000 | PA      | $3395502.16   | 0.58%             | 2042-08-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class EI                                                   | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54823 | PA      | $1734.66      | 0.00%             | 2065-10-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1293000 | PA      | $4669.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-7522.41     | -0.00%            |  |  |  | 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        |    1242000 | PA      | $1208800.72   | 0.21%             | 2050-07-15      | Variable      | 4.29%                 | 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        |     783000 | PA      | $497230.92    | 0.08%             | 2048-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340478 | PA      | $75057.20     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2              | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2953699 | PA      | $2980217.51   | 0.51%             | 2041-11-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H07, Class EI                                                   | CUSIP: 38380LSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12487727 | PA      | $568641.13    | 0.10%             | 2069-03-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-149, Class SE                                                   | CUSIP: 38384DEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22067545 | PA      | $1005726.14   | 0.17%             | 2063-09-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     510241 | PA      | $70357.28     | 0.01%             | 2043-12-20      | Floating      | 2.25%                 | 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        |      19022 | PA      | $16830.50     | 0.00%             | 2036-06-25      | Variable      | 4.05%                 | 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      | $431455.41    | 0.07%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    4663000 | PA      | $-417198.21   | -0.07%            |  |  |  | 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        |      26858 | PA      | $23349.16     | 0.00%             | 2046-04-25      | Floating      | 4.84%                 | 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        |    3410000 | PA      | $3021292.40   | 0.51%             | 2048-04-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $10795845.19  | 1.83%             | 2055-09-25      | Fixed         | 2.50%                 | 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        |      21711 | PA      | $19286.57     | 0.00%             | 2037-01-25      | Floating      | 4.80%                 | 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      | $249507.20    | 0.04%             | 2050-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H09, Class BI                                                   | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1944597 | PA      | $79364.85     | 0.01%             | 2066-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-14, Class CI                                                    | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5373377 | PA      | $1176353.15   | 0.20%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  194000000 | PA      | $198213662.54 | 33.67%            | 2055-09-25      | Fixed         | 6.00%                 | 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 E | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9504000 | PA      | $375417.50    | 0.06%             | 2046-04-15      | Variable      | 3.25%                 | 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      | $940047.40    | 0.16%             | 2035-03-25      | Variable      | 3.00%                 | 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      | $701056.78    | 0.12%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-132                                                             | CUSIP: 38379EW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     526627 | PA      | $107371.76    | 0.02%             | 2044-09-20      | Fixed         | 5.00%                 | 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        |    2488500 | PA      | $2187394.98   | 0.37%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1526971 | PA      | $62314.33     | 0.01%             | 2067-02-20      | Variable      | 2.47%                 | 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      | $851321.16    | 0.14%             | 2046-05-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                    | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37453396 | PA      | $2329327.84   | 0.40%             | 2054-02-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-146, Class QI                                                   | CUSIP: 38382WZF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14007053 | PA      | $2364974.59   | 0.40%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2004791 | PA      | $116259.83    | 0.02%             | 2065-07-20      | Variable      | 2.02%                 | 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        |    2291000 | PA      | $2179546.29   | 0.37%             | 2047-12-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -310533900 | PA      | $-2148217.65  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C                     | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     627421 | PA      | $617917.26    | 0.10%             | 2045-09-10      | Variable      | 5.29%                 | 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        |     654388 | PA      | $651245.97    | 0.11%             | 2064-06-25      | Variable      | 4.75%                 | 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      | $610154.11    | 0.10%             | 2052-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-29, Class TI                                                    | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19917225 | PA      | $3252811.51   | 0.55%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1               | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3584000 | PA      | $3625099.88   | 0.62%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8868688 | PA      | $1339194.02   | 0.23%             | 2051-06-20      | Floating      | 1.85%                 | 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      | $566667.66    | 0.10%             | 2051-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2015-HQA2, Class B                                 | CUSIP: 3137G0HM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248106 | PA      | $252542.48    | 0.04%             | 2028-05-25      | Floating      | 14.96%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 1B               | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      26333 | PA      | $27552.25     | 0.00%             | 2028-08-25      | Floating      | 16.21%                | 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      | $561751.01    | 0.10%             | 2049-06-15      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1045722 | PA      | $31056.28     | 0.01%             | 2064-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1457000 | PA      | $5059.03      | 0.00%             |  |  |  | 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        |     469464 | PA      | $473246.60    | 0.08%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-5, Class PI                                                     | CUSIP: 3136BDZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2531659 | PA      | $453542.68    | 0.08%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $990154.60    | 0.17%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class IG                                                   | CUSIP: 38382YRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12205183 | PA      | $568798.13    | 0.10%             | 2072-04-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                   | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216881 | PA      | $207911.67    | 0.04%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-160, Class IB                                                   | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16493918 | PA      | $3517389.00   | 0.60%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $903516.89    | 0.15%             | 2055-09-25      | Fixed         | 3.50%                 | 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      | $881100.56    | 0.15%             | 2050-01-25      | Floating      | 9.56%                 | 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      | $473406.86    | 0.08%             | 2052-11-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-13, Class CI                                                    | CUSIP: 3136BL6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12858174 | PA      | $1964719.94   | 0.33%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class BS                                                   | CUSIP: 38383TWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12716921 | PA      | $1228734.36   | 0.21%             | 2052-07-20      | Floating      | 1.70%                 | 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        |     364677 | PA      | $351370.13    | 0.06%             | 2047-05-10      | Variable      | 4.78%                 | 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          | USGSE             | US        |    1350000 | PA      | $1396656.95   | 0.24%             | 2051-01-25      | Floating      | 8.10%                 | 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        |     190536 | PA      | $163108.88    | 0.03%             | 2046-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class EI                                                   | CUSIP: 38376RK47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8864593 | PA      | $360602.76    | 0.06%             | 2066-12-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class DI                                                   | CUSIP: 38383FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7921296 | PA      | $1362044.59   | 0.23%             | 2051-12-20      | Fixed         | 3.50%                 | 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        |    1799829 | PA      | $1573743.99   | 0.27%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  291848000 | PA      | $2846094.29   | 0.48%             |  |  |  | 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      | $1097810.47   | 0.19%             | 2048-08-15      | Variable      | 4.31%                 | 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      | $312756.50    | 0.05%             | 2052-09-17      | Fixed         | 2.50%                 | 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      | $595912.64    | 0.10%             | 2051-06-15      | Variable      | 5.03%                 | 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      | $34249.19     | 0.01%             | 2046-08-15      | Variable      | 3.60%                 | 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        |    1942000 | PA      | $1796363.59   | 0.31%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                   | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37475343 | PA      | $3441402.01   | 0.58%             | 2052-07-20      | Floating      | 1.70%                 | 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        |    3730987 | PA      | $3746585.12   | 0.64%             | 2054-07-25      | Floating      | 5.80%                 | 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      | $608635.96    | 0.10%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1534583 | PA      | $71140.21     | 0.01%             | 2066-09-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class E      | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     677000 | PA      | $619298.27    | 0.11%             | 2048-05-15      | Variable      | 4.30%                 | 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      | $542433.02    | 0.09%             | 2046-07-10      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed 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        |      30360 | PA      | $29645.35     | 0.01%             | 2045-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181104 | PA      | $5301.46      | 0.00%             | 2067-04-20      | Variable      | 1.89%                 | 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      | $431262.50    | 0.07%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16536782 | PA      | $1343926.07   | 0.23%             | 2053-01-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   30052000 | PA      | $719015.60    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   37243300 | PA      | $25281.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1567000 | PA      | $712744.53    | 0.12%             |  |  |  | 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      | $834192.33    | 0.14%             | 2048-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-191, Class HI                                                   | CUSIP: 38383CNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2692218 | PA      | $464729.34    | 0.08%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-173, Class MI                                                   | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14609668 | PA      | $2135690.92   | 0.36%             | 2050-11-20      | Fixed         | 2.50%                 | 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      | $1822211.90   | 0.31%             | 2047-11-15      | Variable      | 4.35%                 | 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        |     592933 | PA      | $637638.01    | 0.11%             | 2029-05-25      | Floating      | 13.96%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                    | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42454796 | PA      | $2707974.89   | 0.46%             | 2054-03-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -46276100 | PA      | $-6600.00     | -0.00%            |  |  |  | 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        |   38676000 | PA      | $840174.22    | 0.14%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-17218.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-78, Class QF                                                    | CUSIP: 38384NV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3540321 | PA      | $3557280.60   | 0.60%             | 2054-05-20      | Floating      | 5.45%                 | 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        |    1045000 | PA      | $1056684.35   | 0.18%             | 2028-11-25      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES Trust, Series 2024-NQM1, Class A1                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |     778562 | PA      | $785659.97    | 0.13%             | 2069-07-25      | Fixed         | 5.92%                 | 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        |    2906000 | PA      | $2917717.57   | 0.50%             | 2055-08-25      | Fixed         | 5.39%                 | 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        |     574000 | PA      | $531636.79    | 0.09%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-189, Class S                                                    | CUSIP: 38382MFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14477171 | PA      | $1690273.44   | 0.29%             | 2049-12-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                   | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27584842 | PA      | $2505255.33   | 0.43%             | 2054-08-20      | Floating      | 2.30%                 | 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      | $249595.51    | 0.04%             | 2047-08-10      | Variable      | 4.80%                 | 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      | $1320806.72   | 0.22%             | 2044-02-10      | Variable      | 5.03%                 | 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      | $2928089.18   | 0.50%             | 2042-03-25      | Floating      | 9.60%                 | 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        |     568587 | PA      | $608641.45    | 0.10%             | 2029-01-25      | Floating      | 14.71%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19226 | PA      | $2789.66      | 0.00%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5119, Class IB                                                      | CUSIP: 3137H0SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3962112 | PA      | $416951.23    | 0.07%             | 2041-06-25      | Fixed         | 3.00%                 | 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      | $2642657.14   | 0.45%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   95039134 | PA      | $2138979.26   | 0.36%             | 2071-08-20      | Variable      | 0.03%                 | 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        |     483553 | PA      | $483913.02    | 0.08%             | 2056-02-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     326000 | PA      | $262.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                   | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43847299 | PA      | $3125799.43   | 0.53%             | 2053-07-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class SL                                                   | CUSIP: 38384DXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23771078 | PA      | $1963605.15   | 0.33%             | 2053-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1809 | NC      | $-87776.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                      | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     579720 | PA      | $583519.17    | 0.10%             | 2054-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   14500000 | PA      | $14449096.59  | 2.45%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                     | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |     755000 | PA      | $887440.89    | 0.15%             | 2049-03-25      | Floating      | 14.96%                | 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      | $365007.12    | 0.06%             | 2052-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H01, Class EI                                                   | CUSIP: 38382YKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3817976 | PA      | $202734.52    | 0.03%             | 2072-01-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     223000 | PA      | $28322.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B       | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1372816 | PA      | $1331553.40   | 0.23%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     438000 | PA      | $28883.83     | 0.00%             |  |  |  | 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        |     134333 | PA      | $118222.26    | 0.02%             | 2036-08-25      | Floating      | 4.56%                 | 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          | USGSE             | US        |     593748 | PA      | $592390.37    | 0.10%             | 2051-01-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-56, Class QI                                                    | CUSIP: 3136BGJ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2896851 | PA      | $762678.06    | 0.13%             | 2051-09-25      | Fixed         | 4.50%                 | 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        |   12255003 | PA      | $1032245.05   | 0.18%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-43, Class SB                                                    | CUSIP: 3136BNSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13437013 | PA      | $924611.61    | 0.16%             | 2052-07-25      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H15, Class IH                                                   | CUSIP: 38380LC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7718537 | PA      | $313611.88    | 0.05%             | 2069-09-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class SD                                                    | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8366452 | PA      | $1207776.77   | 0.21%             | 2051-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22542 | PA      | $3255.07      | 0.00%             | 2038-04-20      | Floating      | 2.15%                 | 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      | $4665172.59   | 0.79%             | 2048-01-25      | Floating      | 12.81%                | 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      | $987860.15    | 0.17%             | 2050-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-69                                                              | CUSIP: 3136AP4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159042 | PA      | $33570.83     | 0.01%             | 2045-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-139                                                             | CUSIP: 38383M3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9384932 | PA      | $1828350.02   | 0.31%             | 2049-09-20      | Fixed         | 4.50%                 | 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        |    8277088 | PA      | $2000053.91   | 0.34%             | 2036-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     289000 | PA      | $-129984.37   | -0.02%            |  |  |  | No            |                  2 | 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        |    1275007 | PA      | $1278444.75   | 0.22%             | 2030-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64937 | PA      | $3372.93      | 0.00%             | 2065-06-20      | Variable      | 1.82%                 | 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      | $1471058.42   | 0.25%             | 2050-09-10      | Fixed         | 3.00%                 | 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        |     985423 | PA      | $275845.96    | 0.05%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class AI                                                   | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36550 | PA      | $1023.97      | 0.00%             | 2065-08-20      | Variable      | 1.85%                 | 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        |     696379 | PA      | $687928.16    | 0.12%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN30, Class XA                                                  | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17756697 | PA      | $889571.47    | 0.15%             | 2053-12-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-96, Class SQ                                                    | CUSIP: 38382UZC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1750384 | PA      | $256197.95    | 0.04%             | 2051-06-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-54, Class FC                                                    | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495975 | PA      | $498891.96    | 0.08%             | 2054-08-25      | Floating      | 5.32%                 | 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        |     216605 | PA      | $179780.14    | 0.03%             | 2035-10-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1423849 | PA      | $165389.85    | 0.03%             | 2049-09-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H04, Class AI                                                   | CUSIP: 38380LY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5383697 | PA      | $267634.35    | 0.05%             | 2070-02-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2921971 | PA      | $332659.39    | 0.06%             | 2044-05-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9443202 | PA      | $773721.21    | 0.13%             | 2057-10-15      | Variable      | 1.35%                 | 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      | $1207839.40   | 0.21%             | 2047-02-10      | Variable      | 3.79%                 | 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      | $1193254.66   | 0.20%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545472 | PA      | $26448.30     | 0.00%             | 2065-08-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                          | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1694000 | PA      | $1632202.03   | 0.28%             | 2057-06-15      | Variable      | 4.21%                 | 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      | $209557.62    | 0.04%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates   | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                 | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     688348 | PA      | $612528.60    | 0.10%             | 2047-11-25      | Floating      | 4.62%                 | 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        |    2730864 | PA      | $2741907.95   | 0.47%             | 2054-08-25      | Floating      | 5.95%                 | 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        |     740577 | PA      | $741863.12    | 0.13%             | 2054-10-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14014856 | PA      | $564664.14    | 0.10%             | 2063-03-15      | Variable      | 1.31%                 | 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        |    1173000 | PA      | $1185421.37   | 0.20%             | 2050-08-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-17218.75    | -0.00%            |  |  |  | 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      | $1004618.52   | 0.17%             | 2034-10-25      | Floating      | 13.35%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-99, Class IB                                                    | CUSIP: 3136BDFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7520436 | PA      | $1380978.33   | 0.23%             | 2050-05-25      | Fixed         | 3.50%                 | 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        |    2796756 | PA      | $2715180.19   | 0.46%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3466080.32   | 0.59%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1139000 | PA      | $1067831.07   | 0.18%             | 2046-10-15      | Variable      | 4.86%                 | 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      | $2222250.46   | 0.38%             | 2045-10-15      | Fixed         | 3.25%                 | 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        |    1037060 | PA      | $1033511.37   | 0.18%             | 2067-06-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  189910000 | PA      | $-2579985.31  | -0.44%            |  |  |  | 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      | $762692.27    | 0.13%             | 2044-06-15      | Variable      | 5.15%                 | 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 C      | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307271 | PA      | $297984.73    | 0.05%             | 2047-12-15      | Fixed         | 4.00%                 | 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      | $2629019.11   | 0.45%             | 2047-09-15      | Variable      | 4.20%                 | 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      | $503211.91    | 0.09%             | 2049-11-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-58, Class SA                                                    | CUSIP: 3136B6HD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8328161 | PA      | $1029379.02   | 0.17%             | 2049-10-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     943000 | PA      | $14046.11     | 0.00%             |  |  |  | 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      | $866115.68    | 0.15%             | 2047-09-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GS                                                     | CUSIP: 38384HYW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18160620 | PA      | $1234960.28   | 0.21%             | 2054-01-20      | Floating      | 1.35%                 | 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        |    2409199 | PA      | $2451891.00   | 0.42%             | 2068-09-25      | Fixed         | 7.83%                 | 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      | $716417.01    | 0.12%             | 2048-10-10      | Variable      | 3.67%                 | 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      | $2205739.50   | 0.37%             | 2047-09-10      | Variable      | 4.53%                 | 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      | $1118497.15   | 0.19%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                    | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11244318 | PA      | $1334953.52   | 0.23%             | 2049-08-20      | Fixed         | 2.50%                 | 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        |    2535452 | PA      | $2566421.00   | 0.44%             | 2055-04-25      | Fixed         | 6.37%                 | 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        |     928000 | PA      | $933946.44    | 0.16%             | 2030-12-28      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-INV3, Class A1                            | CUSIP: 92540CAA5<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |    1722012 | PA      | $1748304.27   | 0.30%             | 2068-11-25      | Variable      | 6.88%                 | 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      | $329005.65    | 0.06%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-17, Class IA                                                    | CUSIP: 38379T5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117042 | PA      | $22819.40     | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | 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      | $415709.08    | 0.07%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2955687 | PA      | $2857106.91   | 0.49%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                     | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   62391188 | NS      | $62391188.27  | 10.60%            |  |  |  | No            |                  1 | 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      | $748653.23    | 0.13%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H11, Class DI                                                   | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115202 | PA      | $5683.70      | 0.00%             | 2067-05-20      | Variable      | 2.10%                 | 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        |    1390000 | PA      | $1238168.91   | 0.21%             | 2046-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class C                                    | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202316 | PA      | $199527.52    | 0.03%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class CI                                                   | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40884 | PA      | $965.88       | 0.00%             | 2065-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     221000 | PA      | $13937.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-63, Class SB                                                    | CUSIP: 38383RBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3678503 | PA      | $348957.17    | 0.06%             | 2046-11-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2016-DNA1, Class B                                 | CUSIP: 3137G0HZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245332 | PA      | $253369.42    | 0.04%             | 2028-07-25      | Floating      | 14.46%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class EI                                                   | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30473 | PA      | $877.87       | 0.00%             | 2065-10-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4976, Class MI                                                      | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2218694 | PA      | $521183.21    | 0.09%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   30052000 | PA      | $1862680.05   | 0.32%             |  |  |  | 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        |     302071 | PA      | $285492.76    | 0.05%             | 2037-02-26      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class GI                                                    | CUSIP: 3136BF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1731504 | PA      | $352855.48    | 0.06%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class DI                                                   | CUSIP: 38376RDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     794829 | PA      | $58993.82     | 0.01%             | 2065-07-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   46276100 | PA      | $156417.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-45, Class SP                                                    | CUSIP: 38383MD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31642241 | PA      | $2555541.27   | 0.43%             | 2050-05-20      | Floating      | 1.45%                 | 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      | $1221220.44   | 0.21%             | 2051-01-25      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class ES                                                    | CUSIP: 38383VK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13689365 | PA      | $1096110.20   | 0.19%             | 2053-02-20      | Floating      | 1.85%                 | 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      | $1613864.40   | 0.27%             | 2042-06-25      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  310533900 | PA      | $306069.55    | 0.05%             |  |  |  | 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        |    1150538 | PA      | $306532.32    | 0.05%             | 2037-03-25      | Fixed         | 6.48%                 | 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        |     437000 | PA      | $440406.07    | 0.07%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     424000 | PA      | $53850.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-98, Class OI                                                    | CUSIP: 3136BDTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500933 | PA      | $2271110.92   | 0.39%             | 2051-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G       | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441000 | PA      | $84307.15     | 0.01%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                   | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1112000 | PA      | $661272.37    | 0.11%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-15, Class JI                                                    | CUSIP: 3136BFWT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2066325 | PA      | $542133.50    | 0.09%             | 2051-04-25      | Fixed         | 4.50%                 | 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      | $1070113.20   | 0.18%             | 2042-09-25      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC22, Class AS                          | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1929000 | PA      | $1811780.84   | 0.31%             | 2047-06-10      | Fixed         | 4.11%                 | 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      | $569043.20    | 0.10%             | 2042-05-25      | Floating      | 14.95%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149197 | PA      | $4785.93      | 0.00%             | 2067-03-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class GI                                                   | CUSIP: 38382YRN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16181496 | PA      | $829058.92    | 0.14%             | 2072-04-20      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1293000 | PA      | $61671.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-105, Class FC                                                   | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2414136 | PA      | $2423592.25   | 0.41%             | 2055-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-3, Class NI                                                     | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30566 | PA      | $4521.24      | 0.00%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   44778000 | PA      | $-679724.65   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25796760 | PA      | $2204487.94   | 0.37%             | 2054-01-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     200000 | PA      | $10373.15     | 0.00%             |  |  |  | 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        |   17073234 | PA      | $823177.46    | 0.14%             | 2052-08-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6061108 | PA      | $894813.54    | 0.15%             | 2056-08-15      | Floating      | 1.64%                 | 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        |   25128479 | PA      | $1407501.37   | 0.24%             | 2057-09-15      | Variable      | 1.82%                 | 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      | $947623.52    | 0.16%             | 2043-04-25      | Floating      | 10.70%                | 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      | $1229458.56   | 0.21%             | 2047-09-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H02, Class DI                                                   | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10228665 | PA      | $439056.26    | 0.07%             | 2068-11-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H04, Class KI                                                   | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5602057 | PA      | $128906.68    | 0.02%             | 2066-02-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| HTAP                                                   | HTAP Trust, Series 2024-1, Class A                                                | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1430743 | PA      | $1453301.68   | 0.25%             | 2037-04-25      | Fixed         | 7.00%                 | 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        |     282325 | PA      | $155659.41    | 0.03%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-96, Class SY                                                    | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13283445 | PA      | $1699193.03   | 0.29%             | 2049-08-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                   | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11907435 | PA      | $2374714.13   | 0.40%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $3022958.88   | 0.51%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-158, Class AS                                                   | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3045276 | PA      | $325358.49    | 0.06%             | 2043-09-16      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H15, Class AI                                                   | CUSIP: 38376RWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2693159 | PA      | $137445.12    | 0.02%             | 2066-07-20      | Variable      | 1.91%                 | 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      | $1163332.64   | 0.20%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class D                   | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537452 | PA      | $527010.87    | 0.09%             | 2058-09-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-14, Class BS                                                    | CUSIP: 38383VHN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19721345 | PA      | $1619341.36   | 0.28%             | 2053-01-20      | Floating      | 1.90%                 | 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      | $212211.02    | 0.04%             | 2047-06-10      | Variable      | 4.75%                 | 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        |     338191 | PA      | $358895.67    | 0.06%             | 2028-10-25      | Floating      | 16.21%                | 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      | $331254.85    | 0.06%             | 2050-04-14      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1069000 | PA      | $-153766.32   | -0.03%            |  |  |  | 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        |    3429848 | PA      | $1724725.04   | 0.29%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |     232228 | PA      | $28117.07     | 0.00%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IA                                                   | CUSIP: 38383CCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12474006 | PA      | $2082511.57   | 0.35%             | 2051-10-20      | Fixed         | 3.50%                 | 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        |   23394275 | PA      | $1403097.41   | 0.24%             | 2054-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                    | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50145303 | PA      | $4031777.64   | 0.68%             | 2054-04-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                              | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |    3929389 | PA      | $3959275.55   | 0.67%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-26, Class QS                                                    | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15744753 | PA      | $1795175.82   | 0.30%             | 2040-02-20      | Floating      | 1.80%                 | 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      | $1810969.26   | 0.31%             | 2026-07-23      | Floating      | 5.22%                 | 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      | $3605853.38   | 0.61%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-58, Class SP                                                    | CUSIP: 3136BQXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50054865 | PA      | $3984532.46   | 0.68%             | 2053-12-25      | Floating      | 2.55%                 | 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      | $704871.52    | 0.12%             | 2046-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-79, Class GI                                                    | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36564 | PA      | $7572.91      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $13261818.18  | 2.25%             | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                    | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492763 | PA      | $478428.97    | 0.08%             | 2047-05-10      | Fixed         | 4.38%                 | 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      | $776286.91    | 0.13%             | 2047-08-15      | Variable      | 4.23%                 | 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      | $457702.16    | 0.08%             | 2045-05-10      | Variable      | 5.00%                 | 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      | $2931330.48   | 0.50%             | 2042-03-25      | Floating      | 15.35%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class IK                                                    | CUSIP: 38382RRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5649292 | PA      | $1115214.21   | 0.19%             | 2051-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-186                                                             | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8428913 | PA      | $1283709.06   | 0.22%             | 2051-09-20      | Fixed         | 3.00%                 | 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      | $582541.16    | 0.10%             | 2040-05-28      | Fixed         | 8.16%                 | 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      | $381490.44    | 0.06%             | 2065-04-25      | Variable      | 3.39%                 | 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      | $385416.84    | 0.07%             | 2047-09-15      | Variable      | 4.66%                 | 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      | $389677.88    | 0.07%             | 2049-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-39782.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-50                                                              | CUSIP: 3136BAZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5468180 | PA      | $1457978.17   | 0.25%             | 2050-03-25      | Fixed         | 4.50%                 | 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        |     515825 | PA      | $464686.01    | 0.08%             | 2035-09-25      | Floating      | 5.72%                 | 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      | $701533.00    | 0.12%             | 2047-11-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SK                                                   | CUSIP: 38384EAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39612404 | PA      | $2760620.10   | 0.47%             | 2053-08-20      | Floating      | 1.50%                 | 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      | $873487.52    | 0.15%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IG                                                   | CUSIP: 38383CJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17431472 | PA      | $2512870.39   | 0.43%             | 2051-10-20      | Fixed         | 3.50%                 | 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      | $1055390.94   | 0.18%             | 2051-04-10      | Variable      | 3.20%                 | 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      | $407966.36    | 0.07%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class DI                                                   | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32721 | PA      | $1469.97      | 0.00%             | 2065-10-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2926248 | PA      | $367961.88    | 0.06%             | 2049-10-20      | Floating      | 1.55%                 | 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      | $2050951.00   | 0.35%             | 2042-02-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1253 | NC      | $-471591.61   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461999 | PA      | $19825.31     | 0.00%             | 2067-02-20      | Variable      | 2.25%                 | 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      | $498843.81    | 0.08%             | 2051-01-15      | 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 C       | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694593 | PA      | $648937.43    | 0.11%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class GI                                                    | CUSIP: 3136BBWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11262607 | PA      | $2302122.02   | 0.39%             | 2048-06-25      | Fixed         | 4.00%                 | 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        |    1344750 | PA      | $788625.77    | 0.13%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2025-2, Class A11                              | CUSIP: 46593NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3696440 | PA      | $3693702.41   | 0.63%             | 2055-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                    | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73290 | PA      | $12031.09     | 0.00%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $7189.36      | 0.00%             |  |  |  | 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      | $134557.00    | 0.02%             | 2047-10-10      | Fixed         | 3.55%                 | 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        |     740000 | PA      | $70023.24     | 0.01%             | 2046-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9823899 | PA      | $1693014.32   | 0.29%             | 2051-02-25      | Fixed         | 2.50%                 | 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        |    2945247 | PA      | $2943156.55   | 0.50%             | 2054-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2025-55, Class FG                                                    | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347146 | PA      | $1351864.90   | 0.23%             | 2055-07-25      | Floating      | 5.45%                 | 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      | $288514.21    | 0.05%             | 2050-02-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2010-C1, Class D                             | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342899 | PA      | $338742.80    | 0.06%             | 2043-08-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2024-10, Class A                       | CUSIP: 85779PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2010107.60   | 0.34%             | 2025-10-27      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-82, Class FE                                                    | CUSIP: 3136BTGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3272375 | PA      | $3271983.88   | 0.56%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class CI                                                   | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26485 | PA      | $1029.64      | 0.00%             | 2065-10-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 427, Class C93                                                       | CUSIP: 31423XQX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10461301 | PA      | $1854626.82   | 0.32%             | 2042-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-179, Class WI                                                   | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234855 | PA      | $54434.94     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      47000 | PA      | $22236.24     | 0.00%             |  |  |  | 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          | USGSE             | US        |    2059000 | PA      | $2136005.78   | 0.36%             | 2051-11-25      | Floating      | 8.35%                 | 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      | $545361.18    | 0.09%             | 2049-01-25      | Floating      | 15.21%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-104, Class GI                                                   | CUSIP: 38380FYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5370264 | PA      | $1091803.10   | 0.19%             | 2047-07-20      | Fixed         | 4.00%                 | 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      | $967719.68    | 0.16%             | 2050-06-25      | Floating      | 13.81%                | 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        |     156008 | PA      | $138608.10    | 0.02%             | 2046-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class BI                                                   | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24854 | PA      | $533.22       | 0.00%             | 2065-09-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2018-H3, Class C                           | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     823000 | PA      | $765286.71    | 0.13%             | 2051-07-15      | Variable      | 5.00%                 | 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      | $607506.37    | 0.10%             | 2050-02-10      | Variable      | 3.98%                 | 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        |    1652989 | PA      | $1650853.23   | 0.28%             | 2055-03-25      | Floating      | 5.60%                 | 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      | $1575238.65   | 0.27%             | 2043-10-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H11, Class KI                                                   | CUSIP: 38375UXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32161327 | PA      | $1150172.66   | 0.20%             | 2066-05-20      | Variable      | 2.07%                 | 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      | $1100638.69   | 0.19%             | 2047-02-10      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Putnam Funds Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer